# EDGAR Filing Document

**Accession Number:** 0001021882
**File Stem:** 0001021882-26-000117
**Filing Date:** 2026-1
**Character Count:** 1925797
**Document Hash:** d15c30845deaccd1635a22cc71139083
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001021882-26-000117.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0001021882-26-000117

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260128

**DATE AS OF CHANGE**: 20260127

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD SCOTTSDALE FUNDS
- **CENTRAL INDEX KEY:** 0001021882

**ORGANIZATION NAME:**
- **EIN:** 232439140
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07803
- **FILM NUMBER:** 26567990

**BUSINESS ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD TREASURY FUND
- **DATE OF NAME CHANGE:** 19960829

## Series and Classes Contracts Data

### Vanguard Mortgage-Backed Securities Index Fund (Series ID: S000026865)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080859 | Admiral Shares       | VMBSX           |
| C000080860 | Institutional Shares | VMBIX           |
| C000080861 | ETF Shares           | VMBS            |

## Nport-Ex

Vanguard<sup>®</sup> Mortgage-Backed Securities Index Fund

Schedule of Investments (unaudited)

As of November 30, 2025

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's website at www.sec.gov.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** |
| **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** |  |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;1/1/2028–12/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1380 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;4/1/2027–3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20816 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;1/1/2026–6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp;122201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113762 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;12/1/2025–2/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp;119238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113165 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;3/1/2026–6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88260 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;3/1/2028–11/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37773 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37894 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;12/1/2025–11/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11968 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;10/1/2026–6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10501 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;6.000% | &nbsp;&nbsp;11/1/2028–5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4807 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;7.000% | &nbsp;&nbsp;7/1/2028–12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;6/15/2027–6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;1/15/2026–8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6275 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;2/15/2026–9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10350 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;4/15/2039–6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8827 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8603 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;8/15/2033–7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13100 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;3/15/2034–4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5244 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;10/15/2028–1/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 |
| <sup>1</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;2/20/2051–12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12017 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9596 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;8/20/2050–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;469211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;391291 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;6/20/2027–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;466117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;404945 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;10/20/2026–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;460197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;418301 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;12/20/2025–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;385075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360409 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;2/20/2026–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;285351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;274762 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;2/20/2039–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;369527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;364166 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;2/20/2039–1/15/2056 | &nbsp;&nbsp;&nbsp;&nbsp;525780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;527411 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;2/20/2049–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;640994 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;649475 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;6.000% | &nbsp;&nbsp;12/20/2052–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;392387 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;401384 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;10/20/2028–12/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;127910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;132298 |
| <sup>1</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;7.000% | &nbsp;&nbsp;4/20/2038–12/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22979 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23734 |
| <sup>1</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;7.500% | &nbsp;&nbsp;1/20/2054–2/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1380 |
| <sup>1,2</sup> | UMBS Pool | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;7/1/2035–4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp;607188 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;504168 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;11/1/2027–12/25/2055 | &nbsp;&nbsp;2597174 | &nbsp;&nbsp;&nbsp;&nbsp;2188098 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;3/1/2027–12/25/2055 | &nbsp;&nbsp;1816161 | &nbsp;&nbsp;&nbsp;&nbsp;1583348 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;11/1/2026–12/25/2055 | &nbsp;&nbsp;1110421 | &nbsp;&nbsp;&nbsp;&nbsp;1009652 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;12/1/2025–12/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;705459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;663592 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;1/1/2026–12/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;638056 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;617592 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;3/1/2029–1/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp;588846 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;583183 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;5/1/2030–1/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp;967040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;972355 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;12/1/2030–1/25/2056 | &nbsp;&nbsp;1428204 | &nbsp;&nbsp;&nbsp;&nbsp;1455935 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;6.000% | &nbsp;&nbsp;7/1/2026–12/25/2055 | &nbsp;&nbsp;1367599 | &nbsp;&nbsp;&nbsp;&nbsp;1410016 |
| <sup>1,2,3</sup> | UMBS Pool | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;11/1/2052–12/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;572911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;597774 |
| <sup>1,2</sup> | UMBS Pool | &nbsp;&nbsp;7.000% | &nbsp;&nbsp;10/1/2033–8/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;106466 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;111948 |
| <sup>1,2</sup> | UMBS Pool | &nbsp;&nbsp;7.500% | &nbsp;&nbsp;11/1/2053–1/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6263 |
|  |  |  |  |  | &nbsp;&nbsp;**16109325** |
| **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** |  |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.290% | &nbsp;&nbsp;6.126% | &nbsp;&nbsp;12/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.310% | &nbsp;&nbsp;6.060% | &nbsp;&nbsp;9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.472% | &nbsp;&nbsp;6.374% | &nbsp;&nbsp;3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.527% | &nbsp;&nbsp;6.169% | &nbsp;&nbsp;10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.560% | &nbsp;&nbsp;6.282% | &nbsp;&nbsp;7/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.621% | &nbsp;&nbsp;6.353% | &nbsp;&nbsp;6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.627% | &nbsp;&nbsp;6.502% | &nbsp;&nbsp;3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.675% | &nbsp;&nbsp;6.407% | &nbsp;&nbsp;10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.690% | &nbsp;&nbsp;6.312% | &nbsp;&nbsp;10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.690% | &nbsp;&nbsp;6.440% | &nbsp;&nbsp;9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.700% | &nbsp;&nbsp;6.535% | &nbsp;&nbsp;12/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.715% | &nbsp;&nbsp;6.517% | &nbsp;&nbsp;8/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.744% | &nbsp;&nbsp;6.725% | &nbsp;&nbsp;5/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.790% | &nbsp;&nbsp;6.522% | &nbsp;&nbsp;2/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.790% | &nbsp;&nbsp;6.695% | &nbsp;&nbsp;5/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.792% | &nbsp;&nbsp;6.625% | &nbsp;&nbsp;3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.793% | &nbsp;&nbsp;6.499% | &nbsp;&nbsp;8/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 |

---

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.802% | &nbsp;&nbsp;6.466% | &nbsp;&nbsp;11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.805% | &nbsp;&nbsp;6.350% | &nbsp;&nbsp;11/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.810% | &nbsp;&nbsp;6.310% | &nbsp;&nbsp;10/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.810% | &nbsp;&nbsp;6.685% | &nbsp;&nbsp;12/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.812% | &nbsp;&nbsp;6.742% | &nbsp;&nbsp;2/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.813% | &nbsp;&nbsp;6.366% | &nbsp;&nbsp;1/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.813% | &nbsp;&nbsp;6.471% | &nbsp;&nbsp;11/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.815% | &nbsp;&nbsp;6.315% | &nbsp;&nbsp;11/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.815% | &nbsp;&nbsp;6.447% | &nbsp;&nbsp;12/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.815% | &nbsp;&nbsp;6.576% | &nbsp;&nbsp;5/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.824% | &nbsp;&nbsp;6.700% | &nbsp;&nbsp;3/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.830% | &nbsp;&nbsp;6.705% | &nbsp;&nbsp;4/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.834% | &nbsp;&nbsp;6.519% | &nbsp;&nbsp;9/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.835% | &nbsp;&nbsp;6.835% | &nbsp;&nbsp;5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.839% | &nbsp;&nbsp;6.425% | &nbsp;&nbsp;12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31 |
| <sup>1,2,4</sup> | Fannie Mae Pool, RFUCCT1Y + 1.909% | &nbsp;&nbsp;6.909% | &nbsp;&nbsp;4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.640% | &nbsp;&nbsp;6.390% | &nbsp;&nbsp;11/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.660% | &nbsp;&nbsp;6.660% | &nbsp;&nbsp;10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.695% | &nbsp;&nbsp;6.628% | &nbsp;&nbsp;2/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.745% | &nbsp;&nbsp;6.620% | &nbsp;&nbsp;12/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.834% | &nbsp;&nbsp;6.707% | &nbsp;&nbsp;2/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.880% | &nbsp;&nbsp;6.575% | &nbsp;&nbsp;6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.881% | &nbsp;&nbsp;6.638% | &nbsp;&nbsp;6/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.892% | &nbsp;&nbsp;6.641% | &nbsp;&nbsp;9/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.895% | &nbsp;&nbsp;6.752% | &nbsp;&nbsp;12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.900% | &nbsp;&nbsp;6.525% | &nbsp;&nbsp;6/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.910% | &nbsp;&nbsp;6.815% | &nbsp;&nbsp;2/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 |
| <sup>1,2,4</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 2.085% | &nbsp;&nbsp;6.960% | &nbsp;&nbsp;3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |
| <sup>1,4</sup> | Ginnie Mae II Pool, 1YR CMT + 1.500% | &nbsp;&nbsp;4.750% | &nbsp;&nbsp;11/20/2040–12/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79 |
| <sup>1,4</sup> | Ginnie Mae II Pool, 1YR CMT + 1.500% | &nbsp;&nbsp;5.375% | &nbsp;&nbsp;7/20/2041–8/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 |
| <sup>1,4</sup> | Ginnie Mae II Pool, 1YR CMT + 1.500% | &nbsp;&nbsp;5.625% | &nbsp;&nbsp;1/20/2041–4/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69 |
| <sup>1,4</sup> | Ginnie Mae II Pool, 1YR CMT + 2.000% | &nbsp;&nbsp;6.125% | &nbsp;&nbsp;5/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,4</sup> | Ginnie Mae II Pool, 1YR CMT + 2.000% | &nbsp;&nbsp;6.375% | &nbsp;&nbsp;11/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**737** |
| **Total U.S. Government and Agency Obligations (Cost $16,758,879)** | **Total U.S. Government and Agency Obligations (Cost $16,758,879)** | **Total U.S. Government and Agency Obligations (Cost $16,758,879)** | **Total U.S. Government and Agency Obligations (Cost $16,758,879)** | **Total U.S. Government and Agency Obligations (Cost $16,758,879)** | **16110062** |
|  |  |  |  | &nbsp;&nbsp;Shares |  |
| **Temporary Cash Investments (3.1%)** | **Temporary Cash Investments (3.1%)** | **Temporary Cash Investments (3.1%)** | **Temporary Cash Investments (3.1%)** | **Temporary Cash Investments (3.1%)** | **Temporary Cash Investments (3.1%)** |
| **Money Market Fund (3.1%)** | **Money Market Fund (3.1%)** | **Money Market Fund (3.1%)** | **Money Market Fund (3.1%)** | **Money Market Fund (3.1%)** | **Money Market Fund (3.1%)** |
| <sup>5</sup> | Vanguard Market Liquidity Fund **(Cost $498,302)** | &nbsp;&nbsp;4.024% |  | &nbsp;&nbsp;4983140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**498314** |
| **Total Investments (102.5%) (Cost $17,257,181)** | **Total Investments (102.5%) (Cost $17,257,181)** | **Total Investments (102.5%) (Cost $17,257,181)** | **Total Investments (102.5%) (Cost $17,257,181)** |  | &nbsp;&nbsp;**16608376** |
| **Other Assets and Liabilities—Net (-2.5%)** | **Other Assets and Liabilities—Net (-2.5%)** | **Other Assets and Liabilities—Net (-2.5%)** | **Other Assets and Liabilities—Net (-2.5%)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(398028)** |
| **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** |  | &nbsp;&nbsp;**16210348** |

---

Cost is in $000.

---

| | |
|:---|:---|
| 1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 2 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of November 30, 2025. |
| 4 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |

---

---

| |
|:---|
| 1YR—1-year. |
| CMT—Constant Maturing Treasury Rate. |
| RFUCCT1Y—Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year. |
| UMBS—Uniform Mortgage-Backed Securities. |

---

------

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and other temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities' primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. The fund may sell a TBA that it does not hold (Sales Commitments) to manage portfolio risks while giving the fund more flexibility. The settlement date of a Sales Commitment is not set, and the positions can be increased or decreased to ensure appropriate hedging ratios for the fund and may be offset by entering into an equal amount of TBA purchases. When the fund is a buyer of TBA transactions, it maintains cash, short-term investments, or Treasuries in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.

At November 30, 2025, counterparties had deposited in segregated accounts cash of $10,000 in connection with TBA transactions.

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase substantially similar securities in the future at a predetermined price on a predetermined date. The fund forgoes principal and interest paid on the securities sold. In exchange for the forgone principal and interest paid, the fund is compensated by investing the proceeds of the sale, typically in high-quality short-term fixed income securities, and earning interest on such investments. Further the fund receives a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell substantially similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

#### Level 1 —Quoted prices in active markets for identical securities.

#### Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
**Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.**

The following table summarizes the market value of the fund's investments as of November 30, 2025, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Level 1<br> ($000) | &nbsp;&nbsp;&nbsp;Level 2<br> ($000) | &nbsp;&nbsp;&nbsp;Level 3<br> ($000) | &nbsp;&nbsp;&nbsp;Total<br> ($000) |
| **Investments** |  |  |  |  |
| Assets |  |  |  |  |
| U.S. Government and Agency Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;16110062 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;16110062 |
| Temporary Cash Investments | 498314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;498314 |
| Total | 498314 | &nbsp;&nbsp;&nbsp;16110062 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;16608376 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VANGUARD SCOTTSDALE FUNDS

- **b. Investment Company Act file number:** 811-07803

- **c. CIK number of Registrant:** 0001021882

- **d. LEI of Registrant:** 549300Y88GQ3VLJIBX57

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

  - **Street Address 1:** 100 Vanguard Boulevard

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

  - **Telephone number:** 610-669-1000

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

- **a. Name of Series:** VANGUARD MORTGAGE-BACKED SECURITIES INDEX FUND

- **b. EDGAR series identifier (if any):** S000026865

- **c. LEI of Series:** 157FPOCFDEEVUKWE4M41

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $16574964474.34

**Total Liabilities:** $371824979.05

**Net Assets:** $16203139495.29

**Delayed Delivery Securities:** $284904410.88

**Cash Not Reported:** $32799372.17

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -42144.46624182 | **1-Year:** -673045.12281345 | **5-Year:** -1837966.61029479 | **10-Year:** -3262240.04460474 | **30-Year:** -891258.30905255

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000080860 | 1.09%                | 0.80%                | 0.66%                |
| Class ID C000080859 | 1.08%                | 0.79%                | 0.66%                |
| Class ID C000080861 | 1.09%                | 0.82%                | 0.64%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2956823.04              | $115896709.32                              |
| Month 2  | $-11349445.61            | $93511915.19                               |
| Month 3  | $1122190.45              | $49168929.63                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ginnie Mae II Pool                                | G2 MA1603                      | CUSIP: 36179NX86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     99409 | PA      | $101618.33    | 0.00%             | 2044-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0319                      | CUSIP: 3142GQK92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4698478 | PA      | $4989790.33   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18471                      | CUSIP: 3128MMQZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172722 | PA      | $169141.68    | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6109                      | CUSIP: 3140X9YF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4652508 | PA      | $4029448.23   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8058                      | CUSIP: 3132D55T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4059531 | PA      | $3864222.47   | 0.02%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3458                      | CUSIP: 3140X6ZY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1360487 | PA      | $1232017.55   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4306                      | CUSIP: 3140X7YC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1026847 | PA      | $948055.84    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0015                      | CUSIP: 3140XFAR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    222900 | PA      | $215774.00    | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2559                      | CUSIP: 31418BZZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223074 | PA      | $203681.88    | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0481                      | CUSIP: 3132CWRA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1818483 | PA      | $1764816.13   | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7272                      | CUSIP: 31417ECJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    318808 | PA      | $296426.68    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0593                      | CUSIP: 3132DMUS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    810607 | PA      | $734568.84    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2955                      | CUSIP: 3138WCH97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25888 | PA      | $25323.02     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1447                      | CUSIP: 36179NTC2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     74322 | PA      | $68946.24     | 0.00%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6711                      | CUSIP: 36179VN48<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1859584 | PA      | $1730884.26   | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8874                      | CUSIP: 36179X2F2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    684246 | PA      | $622712.70    | 0.00%             | 2053-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02581                      | CUSIP: 3128M4FW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    227849 | PA      | $232991.16    | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1131                      | CUSIP: 3132DNHG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    560379 | PA      | $538787.08    | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2883                      | CUSIP: 3132DQFY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1535052 | PA      | $1584275.42   | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5375                      | CUSIP: 3140XL6M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5106748 | PA      | $4254369.00   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08369                      | CUSIP: 3128MJMT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171588 | PA      | $175846.94    | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8427                      | CUSIP: 36179XLG9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22965886 | PA      | $22634453.69  | 0.14%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91876                      | CUSIP: 312940CM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70009 | PA      | $71767.57     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3057                      | CUSIP: 3132DQME3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1661887 | PA      | $1706763.80   | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3956                      | CUSIP: 31418DME9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    532621 | PA      | $517734.66    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02682                      | CUSIP: 3128M4J38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9391 | PA      | $10183.94     | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7168                      | CUSIP: 3140XN6E9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2207761 | PA      | $2347331.79   | 0.01%             | 2054-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4510                      | CUSIP: 36179TAK1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3421840 | PA      | $3212820.97   | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9606                      | CUSIP: 36179YU77<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5698009 | PA      | $5828875.67   | 0.04%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4441                      | CUSIP: 3140X75B1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1744741 | PA      | $1599827.46   | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0036                      | CUSIP: 3140XFBE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1835955 | PA      | $1689552.91   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9846                      | CUSIP: 3138ER5G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    629035 | PA      | $632018.60    | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03698                      | CUSIP: 3128M5NP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58833 | PA      | $62383.71     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890833                      | CUSIP: 31410LV25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193194 | PA      | $181990.45    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3387                      | CUSIP: 3140X6XR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1366866 | PA      | $1349119.83   | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8473                      | CUSIP: 3132DWMW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5155214 | PA      | $5050351.94   | 0.03%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3092                      | CUSIP: 3140QANJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1784277 | PA      | $1780322.91   | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6822                      | CUSIP: 36179VSK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3092118 | PA      | $2984040.09   | 0.02%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782373                      | CUSIP: 36241KT65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1192 | PA      | $1262.80      | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR7400                      | CUSIP: 3138W5GJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174305 | PA      | $161146.81    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8504                      | CUSIP: 3132DWNV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1492859 | PA      | $1462025.94   | 0.01%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737689                      | CUSIP: 3620ARRJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     73237 | PA      | $71505.47     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0014                      | CUSIP: 3142J6AQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12558462 | PA      | $12855725.80  | 0.08%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67700                      | CUSIP: 3132XCRV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4886253 | PA      | $4629616.05   | 0.03%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08785                      | CUSIP: 3128MJ2T6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    236087 | PA      | $228952.07    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4746                        | CUSIP: 36202FHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    542980 | PA      | $544709.60    | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2611                      | CUSIP: 3142GS3V8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6414832 | PA      | $6520298.35   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2892                      | CUSIP: 36179RF95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2584170 | PA      | $2443072.40   | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8894                      | CUSIP: 3140XQ3C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10305665 | PA      | $9335728.99   | 0.06%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723430                      | CUSIP: 3620A9VX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    331580 | PA      | $332527.83    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4559                        | CUSIP: 36202FB47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    583140 | PA      | $595563.25    | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04877                      | CUSIP: 3128M6XE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16664 | PA      | $17702.95     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995018                      | CUSIP: 31416BK72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    227225 | PA      | $236354.42    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF5472                      | CUSIP: 3133BTCH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6586389 | PA      | $6769768.16   | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0180                      | CUSIP: 3140Q7FW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89959 | PA      | $84573.76     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8004                      | CUSIP: 3132DV3M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1816429 | PA      | $1640931.58   | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08682                      | CUSIP: 3128MJXL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194494 | PA      | $189771.23    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8997                      | CUSIP: 31417F7K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23597 | PA      | $23242.86     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8347                      | CUSIP: 36179XHY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  35956006 | PA      | $35437107.25  | 0.22%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1954                      | CUSIP: 3132AEE36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251702 | PA      | $256201.27    | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9607                      | CUSIP: 36179YU85<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5158477 | PA      | $5328876.00   | 0.03%             | 2054-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8221                      | CUSIP: 3140XQD38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4698583 | PA      | $4860823.29   | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18360                      | CUSIP: 3128PYJD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82328 | PA      | $81724.69     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07068                      | CUSIP: 3128M9FH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    253041 | PA      | $259108.27    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3148                      | CUSIP: 3140QAQA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62489 | PA      | $61599.47     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18587                      | CUSIP: 3128MMUM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    895788 | PA      | $879728.14    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09002                      | CUSIP: 31294UAB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125980 | PA      | $124600.90    | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725946                      | CUSIP: 31402DP79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    225454 | PA      | $233897.21    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO9694                      | CUSIP: 3138M1XY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    131656 | PA      | $129257.05    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4709                      | CUSIP: 31418EGT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3824146 | PA      | $3847098.26   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9849                      | CUSIP: 36179Y5J9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3280615 | PA      | $3214561.44   | 0.02%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2090                      | CUSIP: 3132AEKB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214008 | PA      | $193331.63    | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3442                      | CUSIP: 3140X6ZG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    478748 | PA      | $430248.68    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3853                        | CUSIP: 36202EH69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6810 | PA      | $7229.16      | 0.00%             | 2036-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7340                      | CUSIP: 3140QTEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4084338 | PA      | $4206862.23   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8647                      | CUSIP: 36179XTC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12907612 | PA      | $12977676.02  | 0.08%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2044                      | CUSIP: 36179QHV6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     68062 | PA      | $67046.98     | 0.00%             | 2029-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2179                      | CUSIP: 3140XHM53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9761513 | PA      | $8083388.83   | 0.05%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4299                      | CUSIP: 3140J8X57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242492 | PA      | $240392.37    | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3015                      | CUSIP: 3140XJK51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1974287 | PA      | $1832318.93   | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7248                      | CUSIP: 3138WHBS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    649135 | PA      | $632237.54    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2197                      | CUSIP: 31418BNP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209844 | PA      | $202750.65    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4644                      | CUSIP: 31418EES5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    522476 | PA      | $501365.03    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783024                      | CUSIP: 36241LLD6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    143310 | PA      | $146401.78    | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02998                      | CUSIP: 3128M4UX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102580 | PA      | $108554.41    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q15774                      | CUSIP: 3132J62G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414274 | PA      | $383602.83    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1701                      | CUSIP: 3140XG3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    383136 | PA      | $365619.96    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3707                      | CUSIP: 3131XKDL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102470 | PA      | $98088.86     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2856                      | CUSIP: 31329LE57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10471 | PA      | $10333.42     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5305                        | CUSIP: 36202F3N4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    177942 | PA      | $174008.22    | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW8597                      | CUSIP: 3138XYRT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    472806 | PA      | $465715.47    | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4746                      | CUSIP: 3132A5HX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    537910 | PA      | $488124.50    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5406                      | CUSIP: 3132DTAF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2241776 | PA      | $2354498.67   | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7535                      | CUSIP: 36179WLQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17681357 | PA      | $15971123.86  | 0.10%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 990741                      | CUSIP: 31415VS63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3473 | PA      | $3680.95      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4947                        | CUSIP: 36202FP83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    175355 | PA      | $179184.88    | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07939                      | CUSIP: 3128MAEL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    364821 | PA      | $367246.10    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1556                      | CUSIP: 3133L7WR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17191588 | PA      | $16402088.13  | 0.10%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03163                      | CUSIP: 3128M4Z48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38038 | PA      | $39637.54     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8080                      | CUSIP: 3132D56R8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1699759 | PA      | $1617450.28   | 0.01%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91928                      | CUSIP: 3128P8D99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    307141 | PA      | $300781.47    | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ8719                      | CUSIP: 3138MQVM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126984 | PA      | $125229.91    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7733                      | CUSIP: 31417ESX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2137666 | PA      | $1979767.91   | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5933                      | CUSIP: 36179USW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    822097 | PA      | $836321.90    | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06072                      | CUSIP: 3128M8CH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57221 | PA      | $60581.73     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6865                      | CUSIP: 36179VTW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16599051 | PA      | $14435623.88  | 0.09%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14660                      | CUSIP: 3128MDMH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    134897 | PA      | $132582.35    | 0.00%             | 2028-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3906                      | CUSIP: 3138ELKU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223622 | PA      | $229059.02    | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15454                      | CUSIP: 3128MEH79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21119 | PA      | $20854.88     | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5024                      | CUSIP: 3140J9SN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162723 | PA      | $147661.98    | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8997                      | CUSIP: 3140XC7K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5124894 | PA      | $4422557.33   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 12/25                 | CUSIP: 01F0426C2<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -5760000 | PA      | $-5638950.14  | -0.03%            | 2025-12-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18611                      | CUSIP: 3128MMVD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8403 | PA      | $8149.01      | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8347                      | CUSIP: 3132DWHY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1023684 | PA      | $1006380.56   | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8256                      | CUSIP: 3132DWE58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13282202 | PA      | $12724767.74  | 0.08%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3339                      | CUSIP: 3132DQV86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1679263 | PA      | $1705084.92   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254693                      | CUSIP: 31371K3A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28156 | PA      | $29096.55     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0463                      | CUSIP: 36179MQQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    172463 | PA      | $168489.14    | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5463                      | CUSIP: 31419GB94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1304955 | PA      | $1285981.47   | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2120                      | CUSIP: 3140XHLA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    765459 | PA      | $734529.79    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0093                      | CUSIP: 3132DMC60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1636201 | PA      | $1666473.99   | 0.01%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8398                      | CUSIP: 3132DWKK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3353594 | PA      | $3511630.39   | 0.02%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5070                      | CUSIP: 3140XLT40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2941517 | PA      | $3044925.47   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3572                      | CUSIP: 3140X66J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162761 | PA      | $162756.44    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3240                      | CUSIP: 31418CS62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    480452 | PA      | $479087.01    | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8162                      | CUSIP: 3140XQB89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6700642 | PA      | $6917355.30   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3283                      | CUSIP: 31418CUH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    616252 | PA      | $601222.82    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738546                      | CUSIP: 3620ASP78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     97088 | PA      | $94725.76     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3042                      | CUSIP: 3140XJLY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3568138 | PA      | $3530124.65   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14606                      | CUSIP: 3128MDKT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11160 | PA      | $11024.63     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08789                      | CUSIP: 3128MJ2X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1181612 | PA      | $1145901.95   | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9723                      | CUSIP: 36179YYU2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9053342 | PA      | $8870349.07   | 0.05%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1746                      | CUSIP: 3138WA5G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219024 | PA      | $216077.21    | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0392                      | CUSIP: 31427MNJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7509228 | PA      | $7734375.20   | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0366                      | CUSIP: 3618N5MQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15893666 | PA      | $16066645.14  | 0.10%             | 2055-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2062                      | CUSIP: 3138WPJG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    647171 | PA      | $637465.91    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4466                      | CUSIP: 31418D6C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17366473 | PA      | $14883385.35  | 0.09%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6135                      | CUSIP: 3140X9Y90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6843853 | PA      | $5656616.67   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08581                      | CUSIP: 3128MJUF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    224480 | PA      | $213241.23    | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8140                      | CUSIP: 3132DWBH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15385309 | PA      | $12620187.08  | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2833                      | CUSIP: 3138EKEF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2244934 | PA      | $2204346.47   | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08620                      | CUSIP: 3128MJVN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    921779 | PA      | $872581.08    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778973                      | CUSIP: 36176XFN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    492727 | PA      | $468455.42    | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6740                      | CUSIP: 3140XNP24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4145937 | PA      | $4094447.97   | 0.03%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5.5 12/25                 | CUSIP: 21H0526C7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2525390.50   | 0.02%             | 2025-12-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02390                      | CUSIP: 3128LXUP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100003 | PA      | $105723.38    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 479494                      | CUSIP: 36209RUT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     67496 | PA      | $65768.22     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3145                      | CUSIP: 3132DQP67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8442714 | PA      | $8708161.07   | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09055                      | CUSIP: 31292SBY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211318 | PA      | $207237.60    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5153                      | CUSIP: 3133KYWN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5099217 | PA      | $4459318.89   | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9858                      | CUSIP: 3133KR5T7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3438014 | PA      | $3550012.39   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2802                      | CUSIP: 31418CDG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    854406 | PA      | $817601.26    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK3774                      | CUSIP: 3131X7FP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82064 | PA      | $81455.63     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0052                      | CUSIP: 3132D9BV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4482312 | PA      | $4222934.67   | 0.03%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0453                      | CUSIP: 3132DMQE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5431995 | PA      | $4533815.96   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782371                      | CUSIP: 36241KT40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    142288 | PA      | $145222.00    | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555679                      | CUSIP: 31385XJY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    283733 | PA      | $288772.06    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0424                      | CUSIP: 3132CWPH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3024513 | PA      | $2818366.02   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7502                      | CUSIP: 3132DVKP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7304013 | PA      | $6869018.31   | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5105                      | CUSIP: 3133KYU64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5724630 | PA      | $5048976.86   | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8798                      | CUSIP: 36179XX35<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4668610 | PA      | $4466403.59   | 0.03%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2967                      | CUSIP: 3140XJJM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2503857 | PA      | $2517319.93   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2903                      | CUSIP: 3140X6GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    527941 | PA      | $498229.86    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7147                      | CUSIP: 3138EP5H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    538193 | PA      | $540849.85    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4315                      | CUSIP: 3140X7YM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    906178 | PA      | $839992.21    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91557                      | CUSIP: 3128P7WS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    418808 | PA      | $408494.88    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5488                      | CUSIP: 3140X9C29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2360474 | PA      | $2285013.25   | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5303                      | CUSIP: 3132DS3L4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8781727 | PA      | $9067805.96   | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4248                      | CUSIP: 3132E0WH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2295852 | PA      | $2375126.73   | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08364                      | CUSIP: 3128MJMN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115281 | PA      | $116250.17    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4144                      | CUSIP: 3138LUTA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    556451 | PA      | $546067.66    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5174                        | CUSIP: 36202FXB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1179748 | PA      | $1154208.99   | 0.01%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03205                      | CUSIP: 3128M43N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72908 | PA      | $75647.57     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4652                      | CUSIP: 36179TEZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6486028 | PA      | $6083755.03   | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5497                      | CUSIP: 3140X9DB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1258669 | PA      | $1172880.06   | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4071                      | CUSIP: 36179SQY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     27299 | PA      | $27347.63     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725589                      | CUSIP: 31402DC24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51772 | PA      | $52764.70     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1179                      | CUSIP: 31427NJZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3272097 | PA      | $3314645.90   | 0.02%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18525                      | CUSIP: 3128MMSP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197072 | PA      | $195813.97    | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4120                      | CUSIP: 31418DSJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10191838 | PA      | $8782365.50   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08742                      | CUSIP: 3128MJZG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    993002 | PA      | $934951.23    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7016                      | CUSIP: 3138WGYN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    421966 | PA      | $398022.75    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08706                      | CUSIP: 3128MJYC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3161263 | PA      | $2981396.16   | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A94611                      | CUSIP: 312943DQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95870 | PA      | $96663.27     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87580                      | CUSIP: 312934M58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91025 | PA      | $93273.49     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08677                      | CUSIP: 3128MJXF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1207822 | PA      | $1180460.70   | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3768                      | CUSIP: 3132E0FH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3320741 | PA      | $3085613.81   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06025                      | CUSIP: 3128M8A20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42087 | PA      | $42436.32     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4078                      | CUSIP: 31418DQ88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14557235 | PA      | $12544054.14  | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3900                      | CUSIP: 31417AKN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27022 | PA      | $26832.28     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1041                      | CUSIP: 3132DNEN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4307606 | PA      | $3895456.98   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4380                      | CUSIP: 31418D2N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3655985 | PA      | $3274193.11   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9839                      | CUSIP: 31417G4Z6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    750648 | PA      | $713310.68    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3611                      | CUSIP: 3140J8AM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    273129 | PA      | $267855.58    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q03620                      | CUSIP: 3132GJVM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    937474 | PA      | $923257.06    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3855                      | CUSIP: 3140QPH91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1915132 | PA      | $1841340.25   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0095                      | CUSIP: 3618N5C98<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5923032 | PA      | $6100750.66   | 0.04%             | 2054-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5530                      | CUSIP: 36179UEB4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    249232 | PA      | $253388.24    | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1041                      | CUSIP: 3140XGEP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7537641 | PA      | $7407707.47   | 0.05%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0187                      | CUSIP: 3140EUF53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149644 | PA      | $145556.36    | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8176                      | CUSIP: 3132DWCM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    678783 | PA      | $527214.39    | 0.00%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08588                      | CUSIP: 3128MJUN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403303 | PA      | $395201.54    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786679                      | CUSIP: 3622ACJY7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3021627 | PA      | $3076702.92   | 0.02%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8485                      | CUSIP: 3138ANNB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114876 | PA      | $117657.79    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5026                      | CUSIP: 3133KYSP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    343109 | PA      | $314194.45    | 0.00%             | 2039-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX7566                      | CUSIP: 3138Y9MQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    432443 | PA      | $409043.08    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08856                      | CUSIP: 3128MJ5S5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78505 | PA      | $73719.23     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890707                      | CUSIP: 31410LR46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2077041 | PA      | $2021105.10   | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1175                      | CUSIP: 31418AJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    535264 | PA      | $497080.81    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1496                      | CUSIP: 3132CXUV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    945063 | PA      | $956066.09    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA5350                      | CUSIP: 36178C5K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11985 | PA      | $11872.73     | 0.00%             | 2027-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745515                      | CUSIP: 31403DGY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46673 | PA      | $47671.45     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82888                       | CUSIP: 36225FF61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     18004 | PA      | $18445.34     | 0.00%             | 2041-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05661                      | CUSIP: 3128M7TS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138462 | PA      | $141856.70    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6089                      | CUSIP: 36179UXS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10605717 | PA      | $9629590.94   | 0.06%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5197                      | CUSIP: 3140J9X30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1075807 | PA      | $1081491.13   | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0951                      | CUSIP: 3132DNBU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6346252 | PA      | $5737064.03   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06530                      | CUSIP: 3128M8ST2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59360 | PA      | $63014.43     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9164                      | CUSIP: 3132AAFD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    540586 | PA      | $526029.80    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC2043                      | CUSIP: 3133L8HU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1828188 | PA      | $1651442.27   | 0.01%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3135                      | CUSIP: 3138WCPV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204955 | PA      | $194127.27    | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6141                      | CUSIP: 3140XMZF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4583542 | PA      | $3779819.08   | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00632                      | CUSIP: 31292GVZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       391 | PA      | $409.97       | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4623                      | CUSIP: 3140QQD51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1726516 | PA      | $1735799.72   | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07020                      | CUSIP: 3128M9DZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6032 | PA      | $6170.78      | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8268                      | CUSIP: 36179XFH4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22706833 | PA      | $22379139.68  | 0.14%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4149                      | CUSIP: 3142GUTF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8613546 | PA      | $8757853.36   | 0.05%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08837                      | CUSIP: 3128MJ4X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2147655 | PA      | $2141345.78   | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0365                      | CUSIP: 3618N5MP1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27927392 | PA      | $27913165.57  | 0.17%             | 2055-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1828                      | CUSIP: 3132DPA57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5022516 | PA      | $4965869.74   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6773                      | CUSIP: 3140XNQ31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5394205 | PA      | $5736903.05   | 0.04%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4303                      | CUSIP: 31418DX98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1083704 | PA      | $1005098.74   | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6867                      | CUSIP: 3138EPTZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    217603 | PA      | $214112.93    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY7263                      | CUSIP: 3140NQB98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5462612 | PA      | $5616239.48   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 933313                      | CUSIP: 31412SK20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1244 | PA      | $1287.56      | 0.00%             | 2038-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8456                      | CUSIP: 3132DWMD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3739973 | PA      | $3917677.86   | 0.02%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5383                      | CUSIP: 3140X86V4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1117415 | PA      | $1096905.77   | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781840                      | CUSIP: 36241KBH0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    154815 | PA      | $155335.59    | 0.00%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9172                      | CUSIP: 36179YFM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4842761 | PA      | $4967605.40   | 0.03%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890386                      | CUSIP: 31410LF31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1318 | PA      | $1371.74      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG4091                      | CUSIP: 3133C4RL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4205354 | PA      | $4220081.05   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0655                      | CUSIP: 31427MWR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5638567 | PA      | $5787636.80   | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5220                      | CUSIP: 31418EYS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    594297 | PA      | $616378.72    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91619                      | CUSIP: 3128P7YQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    435362 | PA      | $424202.97    | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7565                      | CUSIP: 3132DVMN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1186046 | PA      | $1218888.98   | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4333                      | CUSIP: 31418DY71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10179048 | PA      | $8966538.86   | 0.06%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8249                      | CUSIP: 3133KQEW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1408086 | PA      | $1436516.23   | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5784                      | CUSIP: 3140XMNA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2837554 | PA      | $2955042.47   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB0352                      | CUSIP: 3133KTL99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2071203 | PA      | $1774017.50   | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9725                      | CUSIP: 36179YYW8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16998771 | PA      | $17193072.32  | 0.11%             | 2054-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5077                      | CUSIP: 3140X8UB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    789660 | PA      | $716820.76    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2522                      | CUSIP: 36179QYT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    175377 | PA      | $170667.81    | 0.00%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5986                      | CUSIP: 3140QDUL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6638432 | PA      | $5772238.25   | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5991                      | CUSIP: 3140X9UR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3425466 | PA      | $2965659.73   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784106                      | CUSIP: 3622A2R38<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3916499 | PA      | $3685831.18   | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2503                      | CUSIP: 3132DPX86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1926533 | PA      | $1947728.36   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0698                      | CUSIP: 31417YX44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5336 | PA      | $5317.06      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2091                      | CUSIP: 3132AEKC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165483 | PA      | $161426.56    | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E03048                      | CUSIP: 31294ML58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48417 | PA      | $48076.73     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08331                      | CUSIP: 3128MJLM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    201321 | PA      | $203018.39    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759087                      | CUSIP: 36230UCY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    407310 | PA      | $397539.34    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2805                      | CUSIP: 3140QADK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    740221 | PA      | $736498.81    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3395                      | CUSIP: 31416YXZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145223 | PA      | $146236.26    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1640                      | CUSIP: 3132ADZD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1320260 | PA      | $1317334.20   | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889505                      | CUSIP: 31410KGN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49538 | PA      | $52244.75     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7314                      | CUSIP: 3138LYDU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205479 | PA      | $202057.33    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7977                      | CUSIP: 3138LY2K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    137954 | PA      | $136721.98    | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3988                      | CUSIP: 31418DNE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    346952 | PA      | $325682.82    | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 929009                      | CUSIP: 31412MDN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8851 | PA      | $9372.46      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2921                      | CUSIP: 3138EKG74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1980389 | PA      | $1891885.99   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2332                      | CUSIP: 3133KHSV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    459104 | PA      | $415607.33    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5094                      | CUSIP: 3133KYUT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2902590 | PA      | $2484259.36   | 0.02%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0455                      | CUSIP: 31427MQH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14151622 | PA      | $11674560.58  | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8295                      | CUSIP: 3132D6GC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1450649 | PA      | $1502736.83   | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5118                      | CUSIP: 3138MLVL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104111 | PA      | $102709.05    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95825                      | CUSIP: 312944PJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    404863 | PA      | $399378.71    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190360                      | CUSIP: 31368HMH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148547 | PA      | $151643.66    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4065                      | CUSIP: 3140X7QT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165925 | PA      | $156902.19    | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9394                      | CUSIP: 3138ERNL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6300095 | PA      | $5628398.92   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7796                      | CUSIP: 3140QTUW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3975817 | PA      | $4204617.74   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5985                      | CUSIP: 36179UUJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1252319 | PA      | $1167212.73   | 0.01%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1027                      | CUSIP: 31418AD96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    488500 | PA      | $466343.07    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4693                      | CUSIP: 3132A5GA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3992160 | PA      | $3623916.10   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7500                      | CUSIP: 3132DVKM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1155412 | PA      | $1125696.82   | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254869                      | CUSIP: 31371LCE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    355946 | PA      | $368320.83    | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0624                      | CUSIP: 3618N5VS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13158452 | PA      | $13462720.34  | 0.08%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0499                      | CUSIP: 3132DMRU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    462989 | PA      | $418835.32    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2684                      | CUSIP: 3132DP6V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2128586 | PA      | $1761990.30   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4924                      | CUSIP: 3140XLPJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18202448 | PA      | $16403968.20  | 0.10%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91581                      | CUSIP: 3128P7XJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1037695 | PA      | $1011877.51   | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3373                      | CUSIP: 3140X6XB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    740129 | PA      | $729594.28    | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4807                      | CUSIP: 31418EKV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13968259 | PA      | $14250291.94  | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3188                      | CUSIP: 3132DQRH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3777054 | PA      | $3914792.55   | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BK5546                      | CUSIP: 3617J6ET7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    196166 | PA      | $181390.94    | 0.00%             | 2049-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08675                      | CUSIP: 3128MJXD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1263994 | PA      | $1155452.21   | 0.01%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08727                      | CUSIP: 3128MJYZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1134820 | PA      | $1070252.30   | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1883                      | CUSIP: 3132DPCU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2528522 | PA      | $2412921.85   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q25103                      | CUSIP: 3132M5KQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12236 | PA      | $11990.01     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4457                      | CUSIP: 3140X75T2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168999 | PA      | $164751.38    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0305                      | CUSIP: 3140XFKT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2796340 | PA      | $2371980.84   | 0.01%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0827                      | CUSIP: 3138A14M0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $61.78        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4016                      | CUSIP: 31418DPA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5587629 | PA      | $5099142.77   | 0.03%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4184                      | CUSIP: 31418RUJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34949 | PA      | $35779.39     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3179                      | CUSIP: 3140XJQ97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28436558 | PA      | $23343576.48  | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0934                      | CUSIP: 31418ABC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4680 | PA      | $4647.44      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9578                      | CUSIP: 3138ERUC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53900 | PA      | $52844.77     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8651                      | CUSIP: 36179XTG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    401725 | PA      | $415787.14    | 0.00%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190340                      | CUSIP: 31368HLV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73460 | PA      | $74791.39     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G31003                      | CUSIP: 3132J4KR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    522686 | PA      | $487704.09    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL2156                      | CUSIP: 31427PME1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8131040 | PA      | $8425142.62   | 0.05%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786858                      | CUSIP: 3622ACQK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2691399 | PA      | $2786644.87   | 0.02%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4102                      | CUSIP: 31417ARY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    297340 | PA      | $283988.15    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3544                      | CUSIP: 31418C5E0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    288938 | PA      | $286111.72    | 0.00%             | 2038-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0220                      | CUSIP: 36179MG53<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1469780 | PA      | $1400674.10   | 0.01%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9290                      | CUSIP: 31417WKC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160222 | PA      | $164151.10    | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0855                      | CUSIP: 36179M5Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    155107 | PA      | $158367.46    | 0.00%             | 2043-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9108                      | CUSIP: 36178WDM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    534829 | PA      | $494973.23    | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2444                      | CUSIP: 3140XHWE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3927269 | PA      | $3801719.82   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08694                      | CUSIP: 3128MJXY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    548765 | PA      | $535439.15    | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3164                      | CUSIP: 3140X6QS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1115337 | PA      | $1047169.96   | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2441                      | CUSIP: 3132DPWA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2118017 | PA      | $2205051.38   | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738535                      | CUSIP: 3620ASPU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    178292 | PA      | $174096.56    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3407                      | CUSIP: 31416YYD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4538 | PA      | $4518.49      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4122                      | CUSIP: 31418DSL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104776 | PA      | $95268.28     | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5124                      | CUSIP: 3140QQVS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4315702 | PA      | $4249495.15   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8266                      | CUSIP: 36179XFF8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5013556 | PA      | $4656389.70   | 0.03%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2003                      | CUSIP: 3140J6GM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2481438 | PA      | $2405212.09   | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8089                      | CUSIP: 3132D57A4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3755988 | PA      | $3492942.50   | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18659                      | CUSIP: 3128MMWV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    787890 | PA      | $770320.47    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5801                      | CUSIP: 3133KMNS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1559222 | PA      | $1348462.93   | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89760                      | CUSIP: 312936ZZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162497 | PA      | $163858.14    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8053                      | CUSIP: 3140XP5P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5765750 | PA      | $5812968.51   | 0.04%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0016                      | CUSIP: 3138W9AS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246713 | PA      | $227772.25    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786358                      | CUSIP: 3622AB5T5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9909252 | PA      | $9756182.42   | 0.06%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8954                      | CUSIP: 3140QG5Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1165540 | PA      | $1005809.32   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3195                      | CUSIP: 3138EKRR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22572 | PA      | $22252.82     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67708                      | CUSIP: 3132XCR56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1046601 | PA      | $988033.27    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0614                      | CUSIP: 31417YVG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269133 | PA      | $265036.89    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8083                      | CUSIP: 3132D56U1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10266398 | PA      | $9305945.91   | 0.06%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735667                      | CUSIP: 31402RJL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171280 | PA      | $174543.86    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5583                      | CUSIP: 3138A7FZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    463313 | PA      | $466569.50    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97040                      | CUSIP: 312945ZD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1120450 | PA      | $1104811.91   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7486                      | CUSIP: 3132DVJ71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8606851 | PA      | $7376228.66   | 0.05%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4210                      | CUSIP: 31418DVC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13525392 | PA      | $11638002.25  | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8948                      | CUSIP: 36179X5H5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17339768 | PA      | $17623311.50  | 0.11%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4269                      | CUSIP: 31418DW73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1155523 | PA      | $1048796.62   | 0.01%             | 2041-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01806                      | CUSIP: 3128LXAF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27944 | PA      | $28554.20     | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0203                      | CUSIP: 3618N5GM5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6415460 | PA      | $6279771.73   | 0.04%             | 2055-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8128                      | CUSIP: 3132DWA52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  50501105 | PA      | $41456367.06  | 0.26%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0885                      | CUSIP: 3140EU6X2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1620123 | PA      | $1475236.50   | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4722                      | CUSIP: 36179TG74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    125896 | PA      | $128979.24    | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9643                      | CUSIP: 3140QVWD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3447476 | PA      | $3478940.61   | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7986                      | CUSIP: 36179W2T4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2720380 | PA      | $2268718.58   | 0.01%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 486598                      | CUSIP: 36210ART6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1065 | PA      | $1097.79      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784605                      | CUSIP: 3622AAAE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    964974 | PA      | $967580.13    | 0.01%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8925                      | CUSIP: 3140XQ4K0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2806512 | PA      | $2886242.58   | 0.02%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6312                      | CUSIP: 3140XNAN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4505131 | PA      | $4784455.95   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04924                      | CUSIP: 3128M6YV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47218 | PA      | $50192.44     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4720                      | CUSIP: 36179TG58<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1474948 | PA      | $1428465.19   | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5233                        | CUSIP: 36202FY67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1756470 | PA      | $1718094.36   | 0.01%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257003                      | CUSIP: 31371NNU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45469 | PA      | $47362.59     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3953                      | CUSIP: 3140XKMB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4657703 | PA      | $4358477.67   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8469                      | CUSIP: 3132DWMS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8363638 | PA      | $8472394.47   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9906                      | CUSIP: 36180AAF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16196642 | PA      | $16375448.56  | 0.10%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8768                      | CUSIP: 3140XCW61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3530015 | PA      | $3057278.38   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8857                      | CUSIP: 3138ETZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    767004 | PA      | $749914.60    | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5115                        | CUSIP: 36202FVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1612047 | PA      | $1616876.79   | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0073                      | CUSIP: 3132DMCJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35050 | PA      | $35244.13     | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08671                      | CUSIP: 3128MJW97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    898113 | PA      | $847921.93    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4383                      | CUSIP: 36179S2Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1481148 | PA      | $1436320.65   | 0.01%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7704                      | CUSIP: 36179WRZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27067581 | PA      | $22565121.58  | 0.14%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698479                      | CUSIP: 36296Q6Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     78343 | PA      | $76657.10     | 0.00%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0137                      | CUSIP: 3140Y6EK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5571867 | PA      | $5846811.54   | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0525                      | CUSIP: 3138A1SP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145181 | PA      | $143023.65    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5722                      | CUSIP: 3138WFLC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3123959 | PA      | $2946415.38   | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4616                      | CUSIP: 3132DSDV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5276815 | PA      | $5603984.89   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9015                      | CUSIP: 36179YAQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9709724 | PA      | $9541530.87   | 0.06%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3090                      | CUSIP: 31418CNG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    595367 | PA      | $581625.09    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ7859                      | CUSIP: 3138MPWV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     37080 | PA      | $36580.44     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725222                      | CUSIP: 31402CVP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     97722 | PA      | $101152.90    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8214                      | CUSIP: 3132DWDT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25835170 | PA      | $23989748.05  | 0.15%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5386                      | CUSIP: 3132DS6X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2874773 | PA      | $2975449.15   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW1007                      | CUSIP: 3138XQDM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    792353 | PA      | $777727.47    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9780                      | CUSIP: 36179Y2M5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  28523012 | PA      | $29115708.86  | 0.18%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4183                      | CUSIP: 31418DUH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6852625 | PA      | $5896381.25   | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2495                      | CUSIP: 31418BXZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1274888 | PA      | $1202546.50   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5141                        | CUSIP: 36202FWA0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     45497 | PA      | $46493.90     | 0.00%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8276                      | CUSIP: 3132DWFR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25195894 | PA      | $25315621.89  | 0.16%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6598                      | CUSIP: 3140XNKL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7881960 | PA      | $7299241.62   | 0.05%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91596                      | CUSIP: 3128P7XZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    567972 | PA      | $553557.98    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8149                      | CUSIP: 36179XBS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3858597 | PA      | $3583710.57   | 0.02%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7721                      | CUSIP: 3140XBSK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6039739 | PA      | $5234677.09   | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18474                      | CUSIP: 3128MMQ48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138635 | PA      | $135676.99    | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2801                      | CUSIP: 3140QADF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    187026 | PA      | $186611.81    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783390                      | CUSIP: 36241LXT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    243216 | PA      | $237198.02    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BM3956                      | CUSIP: 3617JUMD0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    266790 | PA      | $275654.34    | 0.00%             | 2049-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5341                      | CUSIP: 31418E5B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3476624 | PA      | $3313332.64   | 0.02%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7582                      | CUSIP: 3138WHM82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2596470 | PA      | $2364269.94   | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4286                      | CUSIP: 3140X7XQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1910870 | PA      | $1582367.67   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2076                      | CUSIP: 3132DPJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2988711 | PA      | $2459971.57   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ0535                      | CUSIP: 3138MFSZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    483510 | PA      | $450438.59    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93497                      | CUSIP: 3129413E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178272 | PA      | $179757.34    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93093                      | CUSIP: 312941NJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    307088 | PA      | $309660.59    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6709                      | CUSIP: 36179VN22<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7072870 | PA      | $6155451.86   | 0.04%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2909                      | CUSIP: 31418CGT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    643554 | PA      | $629762.27    | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q44452                      | CUSIP: 3132WH5N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    695802 | PA      | $632355.96    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 1/26                  | CUSIP: 01F042616<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5760000 | PA      | $5634225.22   | 0.03%             | 2026-01-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03812                      | CUSIP: 3128M5R93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100596 | PA      | $104951.47    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9668                      | CUSIP: 36179YW59<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5436632 | PA      | $5500898.34   | 0.03%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93990                      | CUSIP: 312942NF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1807389 | PA      | $1783655.88   | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1200                      | CUSIP: 31418AKN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1209134 | PA      | $1178394.83   | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8497                      | CUSIP: 3140XCNP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5420453 | PA      | $5042532.25   | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3075                      | CUSIP: 3140X6MZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2419936 | PA      | $2349926.18   | 0.01%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03517                      | CUSIP: 31292K4A2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193288 | PA      | $194889.02    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5122                      | CUSIP: 3140XLVQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1731255 | PA      | $1813351.53   | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8430                      | CUSIP: 3132DWLK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3200292 | PA      | $3201498.25   | 0.02%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7418                      | CUSIP: 36179WG36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  23367496 | PA      | $20292697.65  | 0.13%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8515                      | CUSIP: 3132DWN82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7679045 | PA      | $7778899.45   | 0.05%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO9121                      | CUSIP: 3140K5D38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    575065 | PA      | $520582.24    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03432                      | CUSIP: 3128M5ED8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28591 | PA      | $29781.47     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2433                      | CUSIP: 3140XHV38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2454713 | PA      | $2484021.14   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 831105                      | CUSIP: 31407HKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7758 | PA      | $8059.47      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08068                      | CUSIP: 3128MJCE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153197 | PA      | $159271.34    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4024                      | CUSIP: 3140QBPJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    306661 | PA      | $287247.97    | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR0454                      | CUSIP: 3140KXQG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    640302 | PA      | $555754.24    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745950                      | CUSIP: 31403DWK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     96344 | PA      | $101670.40    | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6300                      | CUSIP: 3140QSAA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4947497 | PA      | $4730581.05   | 0.03%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5265                      | CUSIP: 3140X8Z75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1433915 | PA      | $1185167.07   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9778                      | CUSIP: 36179Y2K9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9141019 | PA      | $9150645.52   | 0.06%             | 2054-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08784                      | CUSIP: 3128MJ2S8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3104876 | PA      | $2920454.81   | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9043                      | CUSIP: 3140XDBM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60650 | PA      | $58654.60     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2694                      | CUSIP: 3142GS7G7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4194281 | PA      | $4284210.48   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5217                      | CUSIP: 3140X8YP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3046751 | PA      | $2516312.47   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0291                      | CUSIP: 3132DMKC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1063707 | PA      | $1082723.28   | 0.01%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0416                      | CUSIP: 3140XFPA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4465353 | PA      | $4018575.25   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4922                      | CUSIP: 3140QQPG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1506499 | PA      | $1566520.81   | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0023                      | CUSIP: 36179MAY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    490145 | PA      | $479177.38    | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90320                      | CUSIP: 312938K93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9672 | PA      | $9914.07      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745755                      | CUSIP: 31403DQG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193812 | PA      | $197658.02    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4694                      | CUSIP: 3140QQGC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1752168 | PA      | $1799044.55   | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5140                        | CUSIP: 36202FV94<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    957744 | PA      | $960597.28    | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4558                        | CUSIP: 36202FB39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    307348 | PA      | $308376.02    | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8184                      | CUSIP: 3132DWCV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4417840 | PA      | $3963390.57   | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3690                      | CUSIP: 3133KKC31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13048842 | PA      | $10850440.89  | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08738                      | CUSIP: 3128MJZC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    740197 | PA      | $696925.32    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4839                      | CUSIP: 36179TLU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    335559 | PA      | $335828.09    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX5440                      | CUSIP: 3140NABJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1097214 | PA      | $1119195.93   | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05852                      | CUSIP: 3128M7ZR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    123462 | PA      | $128952.69    | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5617                      | CUSIP: 31418FG35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4625839 | PA      | $4679696.22   | 0.03%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0727                      | CUSIP: 3140W0YZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2641823 | PA      | $2804587.42   | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08631                      | CUSIP: 3128MJVZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    293952 | PA      | $269925.65    | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5106                      | CUSIP: 31418EU81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11477062 | PA      | $11506493.38  | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0027                      | CUSIP: 3142J6A52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11500989 | PA      | $11650542.54  | 0.07%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7771                      | CUSIP: 3133KPT40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    837216 | PA      | $803648.87    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7163                      | CUSIP: 3140XA5Z1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381092 | PA      | $379532.67    | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0944                      | CUSIP: 3138A2BN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    228438 | PA      | $225070.50    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 4.5 12/25                 | CUSIP: 01F0424C4<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2800000 | PA      | $-2800656.32  | -0.02%            | 2025-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08783                      | CUSIP: 3128MJ2R0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339952 | PA      | $308847.57    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7396                      | CUSIP: 3140QFGE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3958525 | PA      | $3731432.24   | 0.02%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0046                      | CUSIP: 3132ACBP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5356470 | PA      | $5210340.28   | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA9987                      | CUSIP: 3133A5CY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2063108 | PA      | $1911870.97   | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6432                      | CUSIP: 31418UEE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    483331 | PA      | $486766.41    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4379                      | CUSIP: 3131XX2L4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    543101 | PA      | $510246.69    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8065                      | CUSIP: 3132D56A5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    700138 | PA      | $636607.06    | 0.00%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1626                      | CUSIP: 3140X4YY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32762 | PA      | $31714.77     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8150                      | CUSIP: 3132DWBT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32429217 | PA      | $26600882.83  | 0.16%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6658                      | CUSIP: 36179VMF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    247423 | PA      | $238311.29    | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8366                      | CUSIP: 3132DWJK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6573771 | PA      | $6586520.60   | 0.04%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08528                      | CUSIP: 3128MJSS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1134604 | PA      | $1051217.51   | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1754                      | CUSIP: 3140X45Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1149986 | PA      | $1085347.79   | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7575                      | CUSIP: 31417EMZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    620176 | PA      | $574398.11    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5655                      | CUSIP: 3140XMH90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3750152 | PA      | $3775706.66   | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01797                      | CUSIP: 31292H7J7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3470 | PA      | $3600.73      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4689                      | CUSIP: 31417BF77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39051 | PA      | $37234.30     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8191                      | CUSIP: 3138ANC50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41321 | PA      | $41606.01     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8397                      | CUSIP: 3138ETKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    658259 | PA      | $625536.88    | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A14237                      | CUSIP: 31296NV61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15129 | PA      | $15428.92     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1547                      | CUSIP: 31427NWH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3416683 | PA      | $3273289.46   | 0.02%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9120                      | CUSIP: 3140XRD28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1737033 | PA      | $1838624.17   | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2964                      | CUSIP: 31418CJJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    432456 | PA      | $422858.21    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8583                      | CUSIP: 3140XCRD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5270192 | PA      | $4893739.36   | 0.03%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8422                      | CUSIP: 3133KQLB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3718878 | PA      | $3826081.03   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8801                      | CUSIP: 36179XX68<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18661586 | PA      | $18953622.91  | 0.12%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0363                      | CUSIP: 3618N5MM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2554077 | PA      | $2423501.46   | 0.01%             | 2055-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ9182                      | CUSIP: 3140E2FY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    693400 | PA      | $680919.92    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2385                      | CUSIP: 3140W2UK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8814923 | PA      | $9071093.68   | 0.06%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61658                      | CUSIP: 31335BZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    843647 | PA      | $861294.36    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2979                      | CUSIP: 3140X6JZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1051138 | PA      | $1017534.90   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96409                      | CUSIP: 312945DN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1059910 | PA      | $1018277.64   | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0978                      | CUSIP: 31418ACQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34978 | PA      | $34706.34     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2807                      | CUSIP: 3132DQDL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3612647 | PA      | $3005136.35   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4335                      | CUSIP: 3133KKY86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2528387 | PA      | $2102417.45   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698199                      | CUSIP: 36296QUY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    188387 | PA      | $188946.61    | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BU4047                      | CUSIP: 3140M5P90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10435205 | PA      | $10616553.37  | 0.07%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888276                      | CUSIP: 31410F2H7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72598 | PA      | $75436.82     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA5940                      | CUSIP: 31329PS53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450560 | PA      | $449561.61    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0318                      | CUSIP: 36179MK74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2168687 | PA      | $2066278.88   | 0.01%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8213                      | CUSIP: 3132DWDS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19337299 | PA      | $17245403.59  | 0.11%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8535                      | CUSIP: 3132DWPU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7014661 | PA      | $7259416.64   | 0.04%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7506                      | CUSIP: 3132DVKT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4560403 | PA      | $4426014.92   | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2835                      | CUSIP: 31418CEH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311031 | PA      | $302351.16    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4119                      | CUSIP: 3133KKSG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2704112 | PA      | $2251072.42   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8534                      | CUSIP: 3132DWPT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6257020 | PA      | $6405125.99   | 0.04%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AZ1002                      | CUSIP: 36197DDF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    301812 | PA      | $280640.79    | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08842                      | CUSIP: 3128MJ5C0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3961431 | PA      | $3835520.79   | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2091                      | CUSIP: 3140W2KD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4832177 | PA      | $5086099.72   | 0.03%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1284                      | CUSIP: 36179NM96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10995635 | PA      | $10201128.00  | 0.06%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4097                      | CUSIP: 31418DRT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5574673 | PA      | $5006450.28   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3592                      | CUSIP: 31418C7E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32504 | PA      | $31414.14     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1867                      | CUSIP: 31427PCD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17393028 | PA      | $17765951.95  | 0.11%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8443                      | CUSIP: 3140XQLZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4083912 | PA      | $4227480.37   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2962                      | CUSIP: 3133KJJF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1956919 | PA      | $1686288.79   | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8428                      | CUSIP: 36179XLH7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18791340 | PA      | $18916830.56  | 0.12%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995672                      | CUSIP: 31416CCH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    615442 | PA      | $619858.05    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3988                      | CUSIP: 3133KKND7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2970739 | PA      | $2564544.73   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3280                      | CUSIP: 3140J7UE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    642223 | PA      | $642004.43    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9138                      | CUSIP: 3140XDEL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35234 | PA      | $34074.86     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7368                      | CUSIP: 36179WFH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2865160 | PA      | $2586952.84   | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5267                      | CUSIP: 3140XLZ92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2414971 | PA      | $2491654.69   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3184                      | CUSIP: 31418CRE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1427340 | PA      | $1423285.21   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ2969                      | CUSIP: 3140H4JP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79890 | PA      | $72495.68     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7555                      | CUSIP: 3140XPMD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3157435 | PA      | $3209983.32   | 0.02%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0181                      | CUSIP: 3132D9FW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1094696 | PA      | $991189.00    | 0.01%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3106                      | CUSIP: 36179RNX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1620249 | PA      | $1574223.43   | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8473                      | CUSIP: 3140QGMX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1964441 | PA      | $1633482.60   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8147                      | CUSIP: 36179XBQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11185294 | PA      | $9721348.38   | 0.06%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8600                      | CUSIP: 3138ETRW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27317 | PA      | $27114.32     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6606                      | CUSIP: 3140XAKU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4026004 | PA      | $3751597.13   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC4777                      | CUSIP: 3140F0JX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1600092 | PA      | $1550228.51   | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1089                      | CUSIP: 36179NF60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1070324 | PA      | $994026.94    | 0.01%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5140                      | CUSIP: 31418EWA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4060113 | PA      | $4211293.80   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08578                      | CUSIP: 3128MJUC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231310 | PA      | $232752.58    | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0926                      | CUSIP: 31418NA42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10183 | PA      | $10637.92     | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9851                      | CUSIP: 36179Y5L4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25463568 | PA      | $25744677.74  | 0.16%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4361                      | CUSIP: 31418DZ39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4474420 | PA      | $4247964.86   | 0.03%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3766                      | CUSIP: 3140XKFG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2000001 | PA      | $1655551.61   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7603                      | CUSIP: 3140QTNV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113304 | PA      | $116260.68    | 0.00%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7614                      | CUSIP: 31418VN81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39241 | PA      | $40182.21     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7530                      | CUSIP: 3140XBLL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1893546 | PA      | $1714148.40   | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4182                      | CUSIP: 3140X7UG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1963660 | PA      | $1927799.95   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5193                      | CUSIP: 36179TXW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2420723 | PA      | $2419640.31   | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1329                      | CUSIP: 3132CXPN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2616725 | PA      | $2423653.61   | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3314                      | CUSIP: 3140XJVG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1761846 | PA      | $1736905.62   | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08372                      | CUSIP: 3128MJMW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    378917 | PA      | $382096.56    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8100                      | CUSIP: 36179W7M4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13515649 | PA      | $12972495.71  | 0.08%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9575                      | CUSIP: 3138ERT91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104271 | PA      | $104821.69    | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6651                      | CUSIP: 31419HL91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       507 | PA      | $526.13       | 0.00%             | 2040-12-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5181                      | CUSIP: 3133KYXJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1711404 | PA      | $1637825.07   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7938                      | CUSIP: 36179WZB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5900310 | PA      | $5481815.18   | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2739                      | CUSIP: 3142GTBH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6370947 | PA      | $6415157.55   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3537                      | CUSIP: 3140J74X0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    123831 | PA      | $122371.40    | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2962                      | CUSIP: 31418CJG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104457 | PA      | $102185.64    | 0.00%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4119                      | CUSIP: 31418DSH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  38056011 | PA      | $31299649.45  | 0.19%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX6736                      | CUSIP: 3140NBPW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3083846 | PA      | $3171055.84   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI4891                      | CUSIP: 3138AJNH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205223 | PA      | $206658.03    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4734                      | CUSIP: 3140XLHL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10883250 | PA      | $9507398.31   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8311                      | CUSIP: 3138WJGV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    275919 | PA      | $250467.61    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14153                      | CUSIP: 3128PTTJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       343 | PA      | $342.31       | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786714                      | CUSIP: 3622ACK33<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8883451 | PA      | $9117549.33   | 0.06%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1527                      | CUSIP: 31418AVV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    682774 | PA      | $663599.61    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8021                      | CUSIP: 3132DV4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6463063 | PA      | $5546476.81   | 0.03%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6090                      | CUSIP: 36179UXT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    948035 | PA      | $883607.78    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0069                      | CUSIP: 3138EGCF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136875 | PA      | $140109.64    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60342                      | CUSIP: 31335ALX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57055 | PA      | $57528.18     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9106                      | CUSIP: 36179YDK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10543162 | PA      | $10701563.31  | 0.07%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18710                      | CUSIP: 3128MMYG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    871855 | PA      | $861405.97    | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 729037                      | CUSIP: 3620AF4W4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    247739 | PA      | $253083.61    | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4680                      | CUSIP: 31417BFW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24428 | PA      | $23386.10     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4379                      | CUSIP: 3140X72M0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381310 | PA      | $346256.77    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY1394                      | CUSIP: 3138YERQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1326997 | PA      | $1216734.48   | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0406                      | CUSIP: 3132CWNX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    293456 | PA      | $279887.95    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3524                      | CUSIP: 36179R4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    147328 | PA      | $150617.95    | 0.00%             | 2046-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6410                      | CUSIP: 36179VDP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3103937 | PA      | $2892026.86   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8383                      | CUSIP: 3132DWJ46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11610240 | PA      | $11786611.05  | 0.07%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0533                      | CUSIP: 36179MSW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1769876 | PA      | $1647577.38   | 0.01%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3598                      | CUSIP: 36179R7K9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1577437 | PA      | $1534132.48   | 0.01%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 779084                      | CUSIP: 36176XJ59<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    313895 | PA      | $291233.25    | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ2940                      | CUSIP: 3138YUHS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    734039 | PA      | $692879.10    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5054                        | CUSIP: 36202FTK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    184749 | PA      | $180832.14    | 0.00%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5059                      | CUSIP: 3133KYTQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    350663 | PA      | $319521.14    | 0.00%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18522                      | CUSIP: 3128MMSL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194546 | PA      | $191780.45    | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT9140                      | CUSIP: 3138WXEN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1804279 | PA      | $1723132.17   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0138                      | CUSIP: 36179MEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    116891 | PA      | $115622.79    | 0.00%             | 2027-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9933                      | CUSIP: 3140XEBB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11311634 | PA      | $10052600.89  | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV5404                      | CUSIP: 3140MKAE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2250189 | PA      | $2174035.12   | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8879                      | CUSIP: 36179X2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17415966 | PA      | $17688509.94  | 0.11%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A46278                      | CUSIP: 3128K66P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40196 | PA      | $41093.96     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3293                      | CUSIP: 3131XJUS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1658066 | PA      | $1582410.67   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2472                      | CUSIP: 31418BXA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    551600 | PA      | $530884.99    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61070                      | CUSIP: 31335BFK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1881335 | PA      | $1740616.33   | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8421                      | CUSIP: 3132DWLA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9056216 | PA      | $9286852.72   | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890335                      | CUSIP: 31410LEG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1861 | PA      | $1855.88      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4519                      | CUSIP: 31418EAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14453381 | PA      | $12244045.69  | 0.08%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU6961                      | CUSIP: 3138X6WX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    319486 | PA      | $315521.86    | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3604                      | CUSIP: 3138WDAE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89900 | PA      | $88486.75     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0659                      | CUSIP: 31427MWV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5584400 | PA      | $5833786.24   | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BL3846                      | CUSIP: 3617JGHX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    256351 | PA      | $253674.53    | 0.00%             | 2049-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8505                      | CUSIP: 3132DWNW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24986422 | PA      | $24948990.13  | 0.15%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5122                        | CUSIP: 36202FVP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4998 | PA      | $4978.57      | 0.00%             | 2026-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3173                      | CUSIP: 3140X6Q38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2524220 | PA      | $2404390.08   | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8289                      | CUSIP: 3132DWF65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11774525 | PA      | $12001225.72  | 0.07%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2874                      | CUSIP: 3132DQFP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3535607 | PA      | $3493520.81   | 0.02%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18516                      | CUSIP: 3128MMSE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     99810 | PA      | $99194.78     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1165                      | CUSIP: 31418AJK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3378149 | PA      | $3292248.95   | 0.02%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1846                      | CUSIP: 3138EJBQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14308 | PA      | $14767.95     | 0.00%             | 2037-10-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3737                      | CUSIP: 31417AEK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    565613 | PA      | $539968.71    | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8222                      | CUSIP: 3132DWD34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1354213 | PA      | $1299494.85   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0500                      | CUSIP: 31417YRW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57952 | PA      | $59346.34     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6939                      | CUSIP: 3140XNV92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2786429 | PA      | $2655702.83   | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9908                      | CUSIP: 36180AAH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8688269 | PA      | $8958297.78   | 0.06%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3462                      | CUSIP: 31418CZ49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    147085 | PA      | $145174.87    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4320                      | CUSIP: 3140X7YS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1495306 | PA      | $1426077.37   | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5453                      | CUSIP: 31418FBX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5750673 | PA      | $5872175.82   | 0.04%             | 2044-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6060                      | CUSIP: 3140X9WW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2073463 | PA      | $1727376.37   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD8249                      | CUSIP: 3140FGEX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    282500 | PA      | $258648.43    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2619                      | CUSIP: 3132DP4C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3624903 | PA      | $3699226.49   | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5471                      | CUSIP: 31418FCH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8087362 | PA      | $8285111.22   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0497                      | CUSIP: 3140XFRT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    804346 | PA      | $671347.40    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4329                      | CUSIP: 31418DY30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7711820 | PA      | $7152453.00   | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3935                      | CUSIP: 36179SLQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    581339 | PA      | $514443.83    | 0.00%             | 2046-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2714                      | CUSIP: 3138EKAQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197799 | PA      | $188178.85    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7467                      | CUSIP: 3138EQJM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    502354 | PA      | $494787.90    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4054                      | CUSIP: 31418DQG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2837758 | PA      | $2587274.69   | 0.02%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3937                      | CUSIP: 36179SLS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3360728 | PA      | $3162793.45   | 0.02%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0437                      | CUSIP: 3132CWPW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4553073 | PA      | $4242741.12   | 0.03%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9204                      | CUSIP: 3140XRGN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16302980 | PA      | $16912581.25  | 0.10%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4697                      | CUSIP: 3132A5GE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1912324 | PA      | $1735927.73   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91336                      | CUSIP: 3128P7PV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73259 | PA      | $73699.27     | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5539                      | CUSIP: 31418FEM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270847 | PA      | $274165.49    | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY3376                      | CUSIP: 3138YGXE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    429077 | PA      | $404861.30    | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4742                      | CUSIP: 31417BHU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    383836 | PA      | $356437.80    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6374                      | CUSIP: 31418UCL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    330671 | PA      | $338578.19    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1812                      | CUSIP: 3132DPAM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4117685 | PA      | $4139825.02   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3990                      | CUSIP: 3140XKNG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2247601 | PA      | $2258281.63   | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3531                      | CUSIP: 3131XJ4Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4781987 | PA      | $4579523.71   | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8377                      | CUSIP: 3132DWJW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    378560 | PA      | $396351.84    | 0.00%             | 2053-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5167                      | CUSIP: 3133KYW47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2653860 | PA      | $2543908.81   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09030                      | CUSIP: 31294UA78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19292 | PA      | $19030.86     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5357                      | CUSIP: 31417B5T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95120 | PA      | $94023.46     | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7829                      | CUSIP: 36179WVW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3868839 | PA      | $3594431.85   | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 550613                      | CUSIP: 36213CVE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     59779 | PA      | $60905.43     | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2282                      | CUSIP: 3140W2RC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5907915 | PA      | $6180056.62   | 0.04%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2014                      | CUSIP: 3140XHGY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1448779 | PA      | $1401043.06   | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5107                      | CUSIP: 31418EU99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6781085 | PA      | $6888334.63   | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9278                      | CUSIP: 3138E2JY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    344390 | PA      | $329293.86    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778875                      | CUSIP: 36176XCL1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    341241 | PA      | $324431.98    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6630                      | CUSIP: 3140KELL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2187307 | PA      | $1820851.48   | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5399                      | CUSIP: 3140X87M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4707000 | PA      | $4519750.96   | 0.03%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0205                      | CUSIP: 3138W9GP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    341585 | PA      | $315726.41    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5037                      | CUSIP: 31418ES35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2369146 | PA      | $2329098.88   | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783308                      | CUSIP: 36241LU95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1514 | PA      | $1510.29      | 0.00%             | 2026-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60491                      | CUSIP: 31335ARL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342221 | PA      | $337736.72    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q49490                      | CUSIP: 3132WPRL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4368491 | PA      | $4109015.04   | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA8518                      | CUSIP: 3133A3PB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    949313 | PA      | $858780.24    | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9128                      | CUSIP: 3138EREA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50461 | PA      | $50813.27     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8697                      | CUSIP: 3140XQUX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9234194 | PA      | $9014018.20   | 0.06%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08737                      | CUSIP: 3128MJZB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5493141 | PA      | $4992253.09   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3542                      | CUSIP: 3132DQ5B8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1159920 | PA      | $1192039.34   | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6154                      | CUSIP: 3140XMZU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4852964 | PA      | $5066273.27   | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3173                      | CUSIP: 36179RQ28<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2716566 | PA      | $2565679.64   | 0.02%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6307                      | CUSIP: 3138EPAH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    774331 | PA      | $778545.58    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1516                      | CUSIP: 3142GRVJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5963898 | PA      | $6086179.13   | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J20466                      | CUSIP: 31306XQT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80496 | PA      | $79550.11     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0698                      | CUSIP: 36179MX39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2932405 | PA      | $2728346.77   | 0.02%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ9175                      | CUSIP: 3140KVFR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1547152 | PA      | $1281177.59   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3757                      | CUSIP: 3140XKE71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6801945 | PA      | $6983921.18   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6111                      | CUSIP: 3138WFYH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574747 | PA      | $560576.56    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4236                      | CUSIP: 31418DV66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28147598 | PA      | $21862388.30  | 0.13%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD9744                      | CUSIP: 31418XZJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       145 | PA      | $144.14       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1061                      | CUSIP: 3142GRFB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4077104 | PA      | $4174714.23   | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3105                      | CUSIP: 3140QNNX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    777751 | PA      | $646233.17    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783417                      | CUSIP: 36241LYN0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    212400 | PA      | $212379.69    | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4786                      | CUSIP: 3138M8J87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    648198 | PA      | $601758.32    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7942                      | CUSIP: 3132A8ZF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12992 | PA      | $12688.49     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3518                      | CUSIP: 31418C4C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144946 | PA      | $145633.65    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40054                      | CUSIP: 3132FCBX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159899 | PA      | $157689.16    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 928147                      | CUSIP: 31412LEU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15153 | PA      | $16018.68     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6311                      | CUSIP: 3138WGAM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    415195 | PA      | $391635.54    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9257                      | CUSIP: 3140XDJB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8097343 | PA      | $6909206.04   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0946                      | CUSIP: 3138A2BQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    369146 | PA      | $363655.87    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP2132                      | CUSIP: 3138M5LN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1486099 | PA      | $1418355.19   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7256                      | CUSIP: 36179WBZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9238712 | PA      | $8350869.66   | 0.05%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782528                      | CUSIP: 36241KYZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    357692 | PA      | $365068.40    | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7525                      | CUSIP: 3132DVLE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9067737 | PA      | $7898731.62   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6656                      | CUSIP: 36179VMD9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4198239 | PA      | $3800035.09   | 0.02%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4283                      | CUSIP: 3140X7XM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3482166 | PA      | $3244825.83   | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698481                      | CUSIP: 36296Q6S3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    219260 | PA      | $219886.58    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7827                      | CUSIP: 36179WVU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25668099 | PA      | $22294589.57  | 0.14%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2868                      | CUSIP: 31418CFJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1370554 | PA      | $1326299.03   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3662                      | CUSIP: 3140X7B81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1507419 | PA      | $1359892.52   | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5766                      | CUSIP: 36179UMP4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     24301 | PA      | $25161.40     | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725027                      | CUSIP: 31402CPL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1672705 | PA      | $1703013.65   | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01846                      | CUSIP: 31292JBP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55629 | PA      | $56771.86     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4511                      | CUSIP: 31418EAM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29962854 | PA      | $24530968.83  | 0.15%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0728                      | CUSIP: 31419AY27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1535 | PA      | $1628.68      | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4013                      | CUSIP: 31418DN73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1116255 | PA      | $1062899.42   | 0.01%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6802                      | CUSIP: 31418URY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81584 | PA      | $83296.23     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0848                      | CUSIP: 31417Y5J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1756 | PA      | $1748.77      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8155                      | CUSIP: 3132D6BY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3216560 | PA      | $3096629.85   | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9308                      | CUSIP: 36179YKV5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2944395 | PA      | $3045622.51   | 0.02%             | 2053-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7366                      | CUSIP: 36179WFF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12868678 | PA      | $10728084.42  | 0.07%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01840                      | CUSIP: 3128LXBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    318363 | PA      | $325035.68    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2994                      | CUSIP: 31418CKG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    319930 | PA      | $300776.39    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8095                      | CUSIP: 3138WH7H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3736860 | PA      | $3539999.97   | 0.02%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8323                      | CUSIP: 3132DWG80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1287291 | PA      | $1291798.72   | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7864                      | CUSIP: 3140XPW21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1418531 | PA      | $1473345.74   | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7507                      | CUSIP: 3132DVKU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4464336 | PA      | $4053932.84   | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4018                        | CUSIP: 36202EPB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6880 | PA      | $7306.27      | 0.00%             | 2037-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08347                      | CUSIP: 3128MJL57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    512920 | PA      | $517236.23    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783403                      | CUSIP: 36241LX84<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    755858 | PA      | $720193.01    | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2833                      | CUSIP: 31418CEF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7241757 | PA      | $6573763.87   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6173                      | CUSIP: 3140X92F1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    959871 | PA      | $947787.88    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4035                      | CUSIP: 3142GUPV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4708065 | PA      | $4847828.18   | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01841                      | CUSIP: 3128LXBJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185354 | PA      | $192231.58    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7274                      | CUSIP: 3140XPCL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3915618 | PA      | $3930553.94   | 0.02%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3791                      | CUSIP: 3140XKF96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1570721 | PA      | $1652645.67   | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1370                      | CUSIP: 3140X4QY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2264237 | PA      | $2081626.77   | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5930                      | CUSIP: 36179UST0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9287684 | PA      | $8656503.14   | 0.05%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782956                      | CUSIP: 36241LH90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    160016 | PA      | $160467.73    | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1920                      | CUSIP: 36179QDZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    197150 | PA      | $192046.41    | 0.00%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1159                      | CUSIP: 3140Q8JD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    553274 | PA      | $520150.66    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8043                      | CUSIP: 36179W5C8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16975998 | PA      | $15326032.93  | 0.09%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1245                      | CUSIP: 3140X4L38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148362 | PA      | $149111.90    | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1350                      | CUSIP: 3132DNQB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    326451 | PA      | $322870.87    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09032                      | CUSIP: 31292SA91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1347437 | PA      | $1284034.54   | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8098                      | CUSIP: 3132DV7K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24649824 | PA      | $20250451.86  | 0.12%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4196                      | CUSIP: 36179SUV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    968091 | PA      | $909864.10    | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07288                      | CUSIP: 3128M9ND0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150727 | PA      | $157047.91    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4719                      | CUSIP: 36179TG41<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9642598 | PA      | $9044550.56   | 0.06%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7416                      | CUSIP: 36179WGZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1420493 | PA      | $1134495.03   | 0.01%             | 2051-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2160                      | CUSIP: 3132DPMH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2991214 | PA      | $3087021.27   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06875                      | CUSIP: 3128M86L3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101362 | PA      | $105405.39    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8305                      | CUSIP: 3140XQGP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12507377 | PA      | $11353673.82  | 0.07%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781594                      | CUSIP: 36225BXX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6561 | PA      | $6866.69      | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3743                      | CUSIP: 3132E0EQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4323562 | PA      | $4539273.34   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08085                      | CUSIP: 3128MJCX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32309 | PA      | $33036.50     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1402                      | CUSIP: 3132DNRX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2550687 | PA      | $1981132.22   | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9999                      | CUSIP: 3133KSDC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2438222 | PA      | $2550986.35   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3522                      | CUSIP: 3140X64G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14182 | PA      | $13881.67     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL2491                      | CUSIP: 31427PXV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10512509 | PA      | $10913805.53  | 0.07%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0687                      | CUSIP: 3618N5XR5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13478695 | PA      | $13794579.98  | 0.09%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD3975                      | CUSIP: 3140FBMZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    753194 | PA      | $712573.44    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0039                      | CUSIP: 3140XFBH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1691948 | PA      | $1539581.22   | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4317                      | CUSIP: 3140X7YP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5467360 | PA      | $4923744.64   | 0.03%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995685                      | CUSIP: 31416CCW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129337 | PA      | $132280.41    | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6500                      | CUSIP: 3132DUGH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2067376 | PA      | $1837268.10   | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4749                      | CUSIP: 3140X8H34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1449501 | PA      | $1428869.59   | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0200                      | CUSIP: 31417YGJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129609 | PA      | $130036.42    | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0554                      | CUSIP: 3138W9TL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    479356 | PA      | $482264.94    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5806                      | CUSIP: 31418FNY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1204466 | PA      | $1227280.15   | 0.01%             | 2045-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18642                      | CUSIP: 3128MMWC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    318163 | PA      | $315244.71    | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08667                      | CUSIP: 3128MJW55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1959239 | PA      | $1850118.49   | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1546                      | CUSIP: 3132ADWF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2200377 | PA      | $2189312.29   | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6038                      | CUSIP: 3132DTV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6414024 | PA      | $6720685.07   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06020                      | CUSIP: 3128M8AV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    278668 | PA      | $290791.98    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6338                      | CUSIP: 36179VBF6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7499653 | PA      | $6792996.47   | 0.04%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3427                      | CUSIP: 31418CYZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43680 | PA      | $43900.34     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1257                      | CUSIP: 3132ADME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2562485 | PA      | $2380858.86   | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4855                        | CUSIP: 36202FMC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     84097 | PA      | $85903.46     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8265                      | CUSIP: 3132DWFE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8545826 | PA      | $8184500.24   | 0.05%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7367                      | CUSIP: 36179WFG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16576271 | PA      | $14395092.68  | 0.09%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7471                      | CUSIP: 36179WJQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29764737 | PA      | $24813628.96  | 0.15%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4422                      | CUSIP: 31418D4G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5082087 | PA      | $4463534.27   | 0.03%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6468                      | CUSIP: 3140XAFJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    889442 | PA      | $860174.30    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1374                      | CUSIP: 36179NQ35<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    680167 | PA      | $631190.88    | 0.00%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2195                      | CUSIP: 3132AENL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4663 | PA      | $4645.26      | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89385                      | CUSIP: 312936NA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    152516 | PA      | $153799.00    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA4209                      | CUSIP: 31329MVA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1034396 | PA      | $957925.20    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8616                      | CUSIP: 31417VSE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       209 | PA      | $216.90       | 0.00%             | 2040-01-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2898                      | CUSIP: 3132DQGF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4913560 | PA      | $4998182.02   | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5063                      | CUSIP: 3140XLTV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3450062 | PA      | $3544519.48   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5908                      | CUSIP: 36184CR56<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    167084 | PA      | $157300.72    | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01649                      | CUSIP: 31283HZN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158977 | PA      | $162079.74    | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7598                      | CUSIP: 3140QFNQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10381031 | PA      | $9062181.04   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8062                      | CUSIP: 3132D55X6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1281041 | PA      | $1219408.77   | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01981                      | CUSIP: 3128LXFW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14253 | PA      | $14582.52     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14649                      | CUSIP: 3128MDL68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101069 | PA      | $99804.78     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2469                      | CUSIP: 3133KHW69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    946205 | PA      | $885122.09    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3101                      | CUSIP: 3140QNNT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342934 | PA      | $284622.10    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3276                      | CUSIP: 31418CUA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1330746 | PA      | $1249413.32   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735230                      | CUSIP: 31402QY39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150284 | PA      | $155675.23    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6657                      | CUSIP: 36179VME7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4175064 | PA      | $3890026.31   | 0.02%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD1716                      | CUSIP: 36180C3Z0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     49405 | PA      | $45658.66     | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5354                      | CUSIP: 3133KY5P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2361546 | PA      | $2383838.07   | 0.01%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4048                      | CUSIP: 31418DQA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4882079 | PA      | $4387503.72   | 0.03%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5231                      | CUSIP: 3138EMY54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1046517 | PA      | $1053944.62   | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4143                      | CUSIP: 3140QBS90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1750014 | PA      | $1584760.96   | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4203                      | CUSIP: 31418DU59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1007590 | PA      | $915954.61    | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7337                      | CUSIP: 3140XBEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1047254 | PA      | $931344.67    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7136                      | CUSIP: 36179V4V9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11841613 | PA      | $10287142.32  | 0.06%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4836                      | CUSIP: 36179TLR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9070975 | PA      | $8287127.31   | 0.05%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3744                      | CUSIP: 31418DES7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2177553 | PA      | $1967164.47   | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8053                      | CUSIP: 3132D55N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    130304 | PA      | $124035.40    | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1672                      | CUSIP: 3132DN2D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4303852 | PA      | $4252620.81   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1387                      | CUSIP: 3140X4RH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2326590 | PA      | $2374726.19   | 0.01%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 736570                      | CUSIP: 3620AQJP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    658731 | PA      | $660523.57    | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40130                      | CUSIP: 3132FCEB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4252687 | PA      | $3956551.42   | 0.02%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5330                        | CUSIP: 36202F4P8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    194421 | PA      | $181355.83    | 0.00%             | 2042-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5557                      | CUSIP: 31418FE78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4954877 | PA      | $4958717.44   | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO3283                      | CUSIP: 3140JXUH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11213 | PA      | $10931.13     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4178                      | CUSIP: 31418DUC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10818452 | PA      | $9836780.44   | 0.06%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3340                      | CUSIP: 3140X6WA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1410021 | PA      | $1389952.01   | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782213                      | CUSIP: 36241KN61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    163253 | PA      | $166328.15    | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3990                      | CUSIP: 31418DNG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8536320 | PA      | $7363799.41   | 0.05%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5365                      | CUSIP: 3138WE6B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    594603 | PA      | $562048.83    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3455                      | CUSIP: 36179RZU6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    302901 | PA      | $294222.95    | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1136                      | CUSIP: 3140QLHN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12396566 | PA      | $10670571.43  | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4327                      | CUSIP: 31418DYZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    821161 | PA      | $739000.07    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3487                      | CUSIP: 3132DQ2U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5497441 | PA      | $4557516.84   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18441                      | CUSIP: 3128MMP31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70928 | PA      | $70122.06     | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8269                      | CUSIP: 36179XFJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19609164 | PA      | $19740116.19  | 0.12%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5082                        | CUSIP: 36202FUF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    392698 | PA      | $393881.28    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2439                      | CUSIP: 3132DPV88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2416494 | PA      | $2000314.00   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9963                      | CUSIP: 36180AB85<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7545030 | PA      | $7393113.90   | 0.05%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5697                      | CUSIP: 31418FKK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2382900 | PA      | $2270978.75   | 0.01%             | 2055-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AI8460                      | CUSIP: 36198VMH7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     92715 | PA      | $89943.30     | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4681                      | CUSIP: 3140J9FX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    398649 | PA      | $414401.95    | 0.00%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5271                      | CUSIP: 31418E2D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8341681 | PA      | $8465792.99   | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2088                      | CUSIP: 3132AEJ98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1517929 | PA      | $1507450.18   | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3876                      | CUSIP: 3132A4JV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43168 | PA      | $44087.00     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1684                      | CUSIP: 3140XG2S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2038531 | PA      | $1986739.67   | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1228                      | CUSIP: 3140J5LJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21325 | PA      | $20898.31     | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08488                      | CUSIP: 3128MJRJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    309006 | PA      | $295471.48    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2013                      | CUSIP: 3140XHGX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1834709 | PA      | $1775403.63   | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4441                      | CUSIP: 31418D5B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    305763 | PA      | $276202.11    | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4216                      | CUSIP: 3140X7VJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2885688 | PA      | $2709319.98   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2997                      | CUSIP: 31418CKK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61998 | PA      | $60593.47     | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5470                      | CUSIP: 31418FCG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21099077 | PA      | $21373438.62  | 0.13%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6588                      | CUSIP: 3140XAKA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7964924 | PA      | $7367285.85   | 0.05%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8933                      | CUSIP: 3140QG4T1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190901 | PA      | $157784.30    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3594                      | CUSIP: 31418C7G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    500980 | PA      | $510249.24    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7640                      | CUSIP: 3140XPP29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2386377 | PA      | $2468778.19   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3800                      | CUSIP: 3132A4GH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4111408 | PA      | $3910322.13   | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6460                      | CUSIP: 3140XNFA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2300409 | PA      | $2380559.99   | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8121                      | CUSIP: 3132DWAW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  42721710 | PA      | $35070260.25  | 0.22%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV2937                      | CUSIP: 3140MGHP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9497746 | PA      | $7775925.43   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J20129                      | CUSIP: 31306XEA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    389389 | PA      | $384965.60    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778882                      | CUSIP: 36176XCT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    911839 | PA      | $866715.75    | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6221                      | CUSIP: 36179U4E9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    178036 | PA      | $177845.61    | 0.00%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4232                      | CUSIP: 31418DV25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2404174 | PA      | $2123039.08   | 0.01%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2747                      | CUSIP: 31418CBR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181239 | PA      | $170727.95    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ8647                      | CUSIP: 3138MQTD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185032 | PA      | $176326.30    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784457                      | CUSIP: 3622A25S7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    543477 | PA      | $530563.50    | 0.00%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4784                      | CUSIP: 31418EJ68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17216908 | PA      | $16952783.50  | 0.10%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4180                      | CUSIP: 31418DUE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    132016 | PA      | $125664.31    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0195                      | CUSIP: 31427MGD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4471987 | PA      | $4662960.92   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786578                      | CUSIP: 3622ACFT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4939026 | PA      | $4961205.68   | 0.03%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4535                      | CUSIP: 31418EBD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3172072 | PA      | $2861437.27   | 0.02%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8496                      | CUSIP: 3132DWNM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19376752 | PA      | $19838434.58  | 0.12%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 710977                      | CUSIP: 36297F2J0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3897 | PA      | $3812.96      | 0.00%             | 2039-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4943                        | CUSIP: 36202FP42<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2872 | PA      | $2865.70      | 0.00%             | 2026-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO6225                      | CUSIP: 3140K14K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3086905 | PA      | $2779976.24   | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2974                      | CUSIP: 31418CJU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    801987 | PA      | $800460.42    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1561                      | CUSIP: 31418AWX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    438438 | PA      | $425867.33    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01974                      | CUSIP: 3128LXFP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163948 | PA      | $167695.95    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2780                      | CUSIP: 3140W3CS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5437609 | PA      | $5470244.57   | 0.03%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01490                      | CUSIP: 31292HUP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5382 | PA      | $5566.40      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1756                      | CUSIP: 3140J55S4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26681 | PA      | $26821.01     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2863                      | CUSIP: 36179RFC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     88376 | PA      | $86224.33     | 0.00%             | 2030-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91887                      | CUSIP: 3128P8CY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1163418 | PA      | $1114735.67   | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9223                      | CUSIP: 3140QVG99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4874380 | PA      | $5004228.72   | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8675                      | CUSIP: 3140XQT98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3099742 | PA      | $3255362.94   | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7338                      | CUSIP: 3132DVEK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7278192 | PA      | $7470634.37   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5259                      | CUSIP: 3138EMZZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251125 | PA      | $249376.31    | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6595                      | CUSIP: 3140XAKH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    618587 | PA      | $598231.33    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2148                      | CUSIP: 36179QL58<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1065990 | PA      | $1009773.13   | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 3 12/25                   | CUSIP: 21H0306C3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10600000 | PA      | $9564015.36   | 0.06%             | 2025-12-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0208                      | CUSIP: 3140XFGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    924099 | PA      | $802077.50    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0971                      | CUSIP: 3132A1CG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41666 | PA      | $42566.15     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5031                      | CUSIP: 3133KYSU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    418636 | PA      | $383001.57    | 0.00%             | 2039-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8501                      | CUSIP: 3132D6NS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3395429 | PA      | $3170367.19   | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4382                      | CUSIP: 36179S2P1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2237309 | PA      | $2100645.86   | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00080                      | CUSIP: 3132GDCR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    152887 | PA      | $150638.48    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3031                      | CUSIP: 3140QNLM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4608088 | PA      | $3943455.88   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7357                      | CUSIP: 3133KPE61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3843423 | PA      | $3785662.08   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2417                      | CUSIP: 31418BVK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    663188 | PA      | $652084.42    | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4577                        | CUSIP: 36202FCN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    503417 | PA      | $505086.46    | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QO2108                      | CUSIP: 3133WLKV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3679185 | PA      | $3724320.05   | 0.02%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4043                      | CUSIP: 36179SP43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     47157 | PA      | $45707.08     | 0.00%             | 2031-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ6046                      | CUSIP: 3138AXWG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15074 | PA      | $15687.30     | 0.00%             | 2041-12-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8182                      | CUSIP: 3132DWCT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  35693044 | PA      | $29266964.53  | 0.18%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3827                      | CUSIP: 31418DHD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2413105 | PA      | $2302286.86   | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1158                      | CUSIP: 3140EVJC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1390955 | PA      | $1312028.05   | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2314                      | CUSIP: 3140QMSC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1562612 | PA      | $1339187.03   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7767                      | CUSIP: 3138EQTZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    577291 | PA      | $581327.42    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1042                      | CUSIP: 3138WAEQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381970 | PA      | $374098.94    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4128                      | CUSIP: 31418DSS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    883430 | PA      | $781873.15    | 0.00%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5281                      | CUSIP: 3140QQ2P9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3107376 | PA      | $3122141.71   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3143                      | CUSIP: 31418CP57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    549381 | PA      | $498533.75    | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0026                      | CUSIP: 3618N5A41<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21164837 | PA      | $21400143.71  | 0.13%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1077                      | CUSIP: 3132DNFS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    394969 | PA      | $379750.31    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q06232                      | CUSIP: 3132GRHH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    875644 | PA      | $861115.39    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3582                      | CUSIP: 3140QN6U1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4585331 | PA      | $4107921.09   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3305                      | CUSIP: 31418CU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3433292 | PA      | $3223455.59   | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889493                      | CUSIP: 31410KGA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51958 | PA      | $55012.26     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735580                      | CUSIP: 31402RFV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    295278 | PA      | $301061.86    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08073                      | CUSIP: 3128MJCK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82305 | PA      | $85549.41     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0934                      | CUSIP: 3142GRBC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4137747 | PA      | $4289673.87   | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AF1078                      | CUSIP: 36181GFT1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1281790 | PA      | $1183345.48   | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91164                      | CUSIP: 3128P7JH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2388 | PA      | $2405.19      | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2074                      | CUSIP: 36179QJT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    995330 | PA      | $969197.76    | 0.01%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0309                      | CUSIP: 3618N5KX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9255733 | PA      | $9429263.18   | 0.06%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3024                      | CUSIP: 3140XJLE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1426366 | PA      | $1361154.54   | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9106                      | CUSIP: 36178WDK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    974117 | PA      | $902167.40    | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3874                      | CUSIP: 36179SJT5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    732374 | PA      | $689240.27    | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03150                      | CUSIP: 3128M4ZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22709 | PA      | $23645.47     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4359                      | CUSIP: 31418DZZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6468436 | PA      | $5857230.33   | 0.04%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6724                      | CUSIP: 3138EBPJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    493498 | PA      | $459347.97    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3227                      | CUSIP: 3140QASR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205347 | PA      | $203929.71    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3049                      | CUSIP: 3142GTL79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4711358 | PA      | $4905326.46   | 0.03%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3995                      | CUSIP: 3140XKNM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1906140 | PA      | $1982084.75   | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3639                      | CUSIP: 31418DBH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1272878 | PA      | $1264090.74   | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0524                      | CUSIP: 3140XFSN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5428378 | PA      | $4824176.14   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890604                      | CUSIP: 31410LNV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    123674 | PA      | $124343.69    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6291                      | CUSIP: 31417C7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54448 | PA      | $53933.93     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8103                      | CUSIP: 3132D6AC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4630792 | PA      | $4294903.27   | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4971                      | CUSIP: 3140X8QZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411704 | PA      | $392363.70    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2775                      | CUSIP: 31418CCM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    977127 | PA      | $946299.66    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3767                      | CUSIP: 3140FPFH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    483179 | PA      | $453950.42    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738313                      | CUSIP: 3620ASGW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    338390 | PA      | $339210.24    | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4882                        | CUSIP: 36202FM78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2406399 | PA      | $2357035.54   | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3181                      | CUSIP: 3132DQRA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2557393 | PA      | $2631406.07   | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1163                      | CUSIP: 3138AEJH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153598 | PA      | $154662.95    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01939                      | CUSIP: 3128LXEL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32678 | PA      | $33198.37     | 0.00%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888366                      | CUSIP: 31410F6B6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126619 | PA      | $137042.32    | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1505                      | CUSIP: 3138EHU75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    293589 | PA      | $288209.85    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05871                      | CUSIP: 3128M72C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170667 | PA      | $177358.62    | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5218                      | CUSIP: 31418EYQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3645110 | PA      | $3817396.10   | 0.02%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6906                      | CUSIP: 36179VU73<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    254763 | PA      | $245133.27    | 0.00%             | 2035-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5992                      | CUSIP: 3138WTUS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168643 | PA      | $155984.74    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ3381                      | CUSIP: 3138MJXK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    528152 | PA      | $489357.85    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03935                      | CUSIP: 31292LLQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163326 | PA      | $160407.79    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8351                      | CUSIP: 3132D6H45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2441134 | PA      | $2469554.95   | 0.02%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4493                      | CUSIP: 31418D7F3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21661584 | PA      | $18564374.15  | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5715                      | CUSIP: 3133KMK46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4411474 | PA      | $3617244.54   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6986                      | CUSIP: 3140QEXQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6917302 | PA      | $5695707.98   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1968                      | CUSIP: 3140XHFJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7736115 | PA      | $6651750.36   | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0345                      | CUSIP: 3140XFL33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2509058 | PA      | $2090265.23   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5650                      | CUSIP: 36179UH39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    563025 | PA      | $526697.65    | 0.00%             | 2048-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08086                      | CUSIP: 3128MJCY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81810 | PA      | $85054.56     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6877                      | CUSIP: 3140XAUB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    697855 | PA      | $714724.98    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2861                      | CUSIP: 3138EKFB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437790 | PA      | $418454.95    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4186                      | CUSIP: 3140XKUL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2975824 | PA      | $2914601.48   | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18435                      | CUSIP: 3128MMPV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69302 | PA      | $68572.13     | 0.00%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8350                      | CUSIP: 3132DWH30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8655728 | PA      | $8885633.22   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J32368                      | CUSIP: 31307NTZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    116895 | PA      | $115210.10    | 0.00%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08846                      | CUSIP: 3128MJ5G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69256 | PA      | $65055.82     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1368                      | CUSIP: 3140X4QW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2461583 | PA      | $2251205.29   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8494                      | CUSIP: 36179XNK8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    340498 | PA      | $352417.08    | 0.00%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0089                      | CUSIP: 36179MC24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    588442 | PA      | $575126.23    | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8106                      | CUSIP: 3132DWAF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  45490870 | PA      | $37371895.67  | 0.23%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8523                      | CUSIP: 3132DWPG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6364030 | PA      | $6354496.04   | 0.04%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08712                      | CUSIP: 3128MJYJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327579 | PA      | $319214.19    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91846                      | CUSIP: 3128P8BP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    281214 | PA      | $271542.33    | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1469                      | CUSIP: 3140QLT30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2395919 | PA      | $2219139.46   | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA1334                      | CUSIP: 31329JPT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2735689 | PA      | $2608722.56   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8068                      | CUSIP: 3132DV6D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2196121 | PA      | $1973644.61   | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4369                      | CUSIP: 3140X72B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3639367 | PA      | $3391312.21   | 0.02%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3438                      | CUSIP: 31418CZC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199625 | PA      | $197033.42    | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4140                      | CUSIP: 3140XKS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7005716 | PA      | $6333224.48   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0319                      | CUSIP: 36179MK82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    194691 | PA      | $190230.40    | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AJ1886                      | CUSIP: 36182WCX9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     21790 | PA      | $21158.51     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC2953                      | CUSIP: 31417MH71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115303 | PA      | $116128.73    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8097                      | CUSIP: 3132D57J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5104734 | PA      | $4627171.01   | 0.03%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2510                      | CUSIP: 3132DPYF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4563112 | PA      | $4584795.17   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18665                      | CUSIP: 3128MMW33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2145347 | PA      | $2070359.05   | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745516                      | CUSIP: 31403DGZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52717 | PA      | $54801.05     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0556                      | CUSIP: 3618N5TN9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22669490 | PA      | $22932152.81  | 0.14%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4270                        | CUSIP: 36202EW70<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     12522 | PA      | $13372.65     | 0.00%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02251                      | CUSIP: 3128LXQC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107151 | PA      | $113236.22    | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1061                      | CUSIP: 3140X4FB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58365 | PA      | $56149.13     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4151                      | CUSIP: 3138LUTH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1235205 | PA      | $1178155.36   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3967                      | CUSIP: 3140QBMR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1891679 | PA      | $1779609.84   | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1151                      | CUSIP: 3140X4H58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105398 | PA      | $103817.27    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1372                      | CUSIP: 31427NQ28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4707315 | PA      | $4862870.58   | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3935                      | CUSIP: 3138WDLR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1041556 | PA      | $987888.03    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8122                      | CUSIP: 3140XCAY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4696745 | PA      | $4409688.82   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4986                      | CUSIP: 3133KLRF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3139376 | PA      | $2583981.98   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4158                      | CUSIP: 31418DTQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14685928 | PA      | $12064860.01  | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4075                      | CUSIP: 31418DQ54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1485780 | PA      | $1414297.87   | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4854                        | CUSIP: 36202FMB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    469520 | PA      | $470994.50    | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q58157                      | CUSIP: 3132Y2B39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145405 | PA      | $140783.61    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4363                      | CUSIP: 31418DZ54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3760027 | PA      | $3204815.42   | 0.02%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4174                      | CUSIP: 3133KKT74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1433513 | PA      | $1241537.98   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3618                      | CUSIP: 3140QPAU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2118532 | PA      | $2032930.81   | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2935                      | CUSIP: 36179RHL6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    135675 | PA      | $133322.69    | 0.00%             | 2030-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8383                      | CUSIP: 3138ETJ56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42292 | PA      | $42588.56     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4946                        | CUSIP: 36202FP75<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     13995 | PA      | $14038.08     | 0.00%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4758                      | CUSIP: 3132A5JB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1772877 | PA      | $1608789.85   | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8191                      | CUSIP: 3132D6C40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2017486 | PA      | $2025354.77   | 0.01%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9468                      | CUSIP: 3140XDQW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339020 | PA      | $294254.01    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7837                      | CUSIP: 3140XBV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3810503 | PA      | $3424483.06   | 0.02%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3467                      | CUSIP: 31418CZ98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2137405 | PA      | $2067071.38   | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3206                      | CUSIP: 3133KJR38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    901442 | PA      | $749572.09    | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AF1079                      | CUSIP: 36181GFU8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    281078 | PA      | $259399.87    | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4792                      | CUSIP: 3140XLKE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2352267 | PA      | $2121913.98   | 0.01%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3494                      | CUSIP: 3140X63C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221179 | PA      | $193771.06    | 0.00%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2006                      | CUSIP: 3132DPGP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2830310 | PA      | $2904615.46   | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9510                      | CUSIP: 3140QVR89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4140291 | PA      | $4266757.62   | 0.03%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2516                      | CUSIP: 3132DPYM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4890873 | PA      | $4985038.93   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3033                      | CUSIP: 36179RLN7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1335756 | PA      | $1229442.62   | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4197                      | CUSIP: 36179SUW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1473212 | PA      | $1430467.03   | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03518                      | CUSIP: 31292K4B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48419 | PA      | $49661.51     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BN9283                      | CUSIP: 3617KDJ40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     42673 | PA      | $42187.36     | 0.00%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6389                      | CUSIP: 3138WGC36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1216068 | PA      | $1110356.02   | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60193                      | CUSIP: 31335AGA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180139 | PA      | $173164.75    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7881                      | CUSIP: 36179WXJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21451170 | PA      | $18633558.74  | 0.11%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5852                      | CUSIP: 3132DTQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2810663 | PA      | $2944211.56   | 0.02%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6934                      | CUSIP: 3140QEV41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33899 | PA      | $28903.33     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5666                      | CUSIP: 3138WFJL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166949 | PA      | $162994.15    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05923                      | CUSIP: 3128M74G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100827 | PA      | $105200.05    | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932279                      | CUSIP: 31412QXG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63911 | PA      | $65422.07     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO3192                      | CUSIP: 3140JXRN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    534925 | PA      | $481737.79    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3695                      | CUSIP: 31418DC91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2052431 | PA      | $2000839.35   | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7136                      | CUSIP: 31418U4W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    968830 | PA      | $992197.57    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701993                      | CUSIP: 36296U3A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     58566 | PA      | $58736.76     | 0.00%             | 2039-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8493                      | CUSIP: 36179XNJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4792780 | PA      | $4957089.57   | 0.03%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8310                      | CUSIP: 3132DWGT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2732629 | PA      | $2840784.58   | 0.02%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08344                      | CUSIP: 3128MJL24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144742 | PA      | $145961.65    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8540                      | CUSIP: 3133KQPZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2859120 | PA      | $2873599.61   | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8661                      | CUSIP: 3138WJTT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    290644 | PA      | $282079.52    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00543                      | CUSIP: 3132GDS86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    367857 | PA      | $370886.06    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3157                      | CUSIP: 3138WCQK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     85217 | PA      | $83372.05     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5595                      | CUSIP: 36179UGC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1226651 | PA      | $1185310.01   | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7191                      | CUSIP: 36179V7C8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    358637 | PA      | $286429.66    | 0.00%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7650                      | CUSIP: 36179WQB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13757873 | PA      | $12418541.04  | 0.08%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2725                      | CUSIP: 3138WQA36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    672252 | PA      | $621855.09    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5145                      | CUSIP: 3133KYWE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3106633 | PA      | $2719707.71   | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2119                      | CUSIP: 36179QK83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    128610 | PA      | $126692.64    | 0.00%             | 2029-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6702                      | CUSIP: 3132DUNT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6628955 | PA      | $6908312.66   | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5400                      | CUSIP: 36179T7M1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    353629 | PA      | $360079.78    | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6288                      | CUSIP: 3140X97A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1131244 | PA      | $1023361.16   | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4195                      | CUSIP: 36179SUU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5050473 | PA      | $4623518.02   | 0.03%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK7733                      | CUSIP: 3138ECSX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245269 | PA      | $241141.53    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3870                      | CUSIP: 3140X7JQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1370600 | PA      | $1287688.52   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4406                      | CUSIP: 3140XK3Q1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1484110 | PA      | $1498119.40   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18476                      | CUSIP: 3128MMQ63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136004 | PA      | $134494.60    | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0030                      | CUSIP: 31419AA80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23264 | PA      | $24221.42     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7509                      | CUSIP: 3132DVKW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7027397 | PA      | $6370393.14   | 0.04%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2529                      | CUSIP: 3140XHY35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    686851 | PA      | $533481.17    | 0.00%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0782                      | CUSIP: 36179M2P4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1721057 | PA      | $1600817.20   | 0.01%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759100                      | CUSIP: 36230UDD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    303623 | PA      | $289439.06    | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8079                      | CUSIP: 3132DV6Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24989841 | PA      | $20553212.37  | 0.13%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9655                      | CUSIP: 3140XRWR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10337408 | PA      | $10513826.29  | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3930                      | CUSIP: 31418DLL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    465380 | PA      | $444008.23    | 0.00%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4784                      | CUSIP: 3138M8J61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209071 | PA      | $194226.55    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7369                      | CUSIP: 36179WFJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1638572 | PA      | $1521584.09   | 0.01%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8877                      | CUSIP: 36179X2J4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11411935 | PA      | $11224954.70  | 0.07%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2187                      | CUSIP: 3138EJND6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13067 | PA      | $13602.10     | 0.00%             | 2042-03-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8880                      | CUSIP: 3140QU2N5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5399582 | PA      | $5741534.52   | 0.04%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745793                      | CUSIP: 3620C1RN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     37855 | PA      | $37954.37     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9211                      | CUSIP: 36178WGU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    159272 | PA      | $151105.14    | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18655                      | CUSIP: 3128MMWR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    655271 | PA      | $640801.74    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2978                      | CUSIP: 3140XJJY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4018342 | PA      | $3860999.98   | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3567                      | CUSIP: 3140J76D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    385665 | PA      | $375987.05    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7635                      | CUSIP: 3140XPPV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3798118 | PA      | $3661268.14   | 0.02%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5284                        | CUSIP: 36202F2R6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     13279 | PA      | $12383.18     | 0.00%             | 2042-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4417                      | CUSIP: 31418D4B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7794985 | PA      | $7058433.08   | 0.04%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5439                      | CUSIP: 3140QRBH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4734404 | PA      | $4777614.00   | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0934                      | CUSIP: 36179NBB3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2083902 | PA      | $1982490.01   | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3485                      | CUSIP: 3132DQ2S4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2516331 | PA      | $2095538.08   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5272                      | CUSIP: 3140XL2E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2556888 | PA      | $2666750.04   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3591                      | CUSIP: 3140QN7D8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18180395 | PA      | $16978341.64  | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5952                      | CUSIP: 3140XMTJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2536033 | PA      | $2649801.25   | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7601                      | CUSIP: 3138WHNT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2945795 | PA      | $2867271.55   | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC6891                      | CUSIP: 3133ARUQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3800470 | PA      | $3258260.06   | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9163                      | CUSIP: 3132AAFC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    647601 | PA      | $630316.36    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3902                      | CUSIP: 31417AKQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38867 | PA      | $38593.71     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7784                      | CUSIP: 3140QTUJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4938855 | PA      | $5148363.54   | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9816                      | CUSIP: 3140XR4A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5318509 | PA      | $5576287.56   | 0.03%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8247                      | CUSIP: 3138WJEV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1011843 | PA      | $979179.32    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60486                      | CUSIP: 31335ARF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    329470 | PA      | $325441.95    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8206                      | CUSIP: 3138ETDL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20197 | PA      | $20339.39     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82797                       | CUSIP: 36225FDB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1289 | PA      | $1320.32      | 0.00%             | 2041-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9760                      | CUSIP: 3138WKZ24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2204804 | PA      | $2200607.61   | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1785                      | CUSIP: 3140J56X2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1216684 | PA      | $1191149.22   | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3420                      | CUSIP: 3140X6YS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    694806 | PA      | $656222.32    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3307                      | CUSIP: 31418CU93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    282258 | PA      | $281367.58    | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4806                      | CUSIP: 31418EKU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8143721 | PA      | $8187508.79   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2847                      | CUSIP: 3140X6EV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    621525 | PA      | $574578.81    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2922                      | CUSIP: 31418CG81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1728300 | PA      | $1649892.22   | 0.01%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745283                      | CUSIP: 31403C6U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12567 | PA      | $13052.80     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0148                      | CUSIP: 3138EGEW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    217685 | PA      | $214701.78    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6311                      | CUSIP: 3133KNAL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1818376 | PA      | $1588498.69   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QH1061                      | CUSIP: 3133CDFA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1085750 | PA      | $1102243.42   | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7330                      | CUSIP: 3140QTEC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4337720 | PA      | $4426658.17   | 0.03%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5141                      | CUSIP: 3140X8WB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1856628 | PA      | $1607989.82   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 604548                      | CUSIP: 36200MTD5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     83897 | PA      | $84174.83     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3426                      | CUSIP: 3140X6YY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    525444 | PA      | $535986.75    | 0.00%             | 2050-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82669                       | CUSIP: 36225E6F4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     30976 | PA      | $31653.73     | 0.00%             | 2040-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1897                      | CUSIP: 31427PDB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9706450 | PA      | $9891058.36   | 0.06%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8727                      | CUSIP: 36179XVU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4465027 | PA      | $4582575.77   | 0.03%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3797                      | CUSIP: 31418DGF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    188195 | PA      | $179670.12    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1141                      | CUSIP: 31418AHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411078 | PA      | $400934.95    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2826                      | CUSIP: 36179RD71<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2973282 | PA      | $2810925.96   | 0.02%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4502                      | CUSIP: 3140X8AC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3691538 | PA      | $3073067.49   | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0261                      | CUSIP: 3140Y6JF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17142170 | PA      | $17772923.09  | 0.11%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5696                      | CUSIP: 3138WFKJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2951605 | PA      | $2783706.33   | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4038                      | CUSIP: 3140X7PY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180293 | PA      | $163933.06    | 0.00%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783613                      | CUSIP: 3622A2AN2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    164577 | PA      | $165053.90    | 0.00%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555424                      | CUSIP: 31385XAZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    258722 | PA      | $267273.64    | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8643                      | CUSIP: 36179XS80<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1222446 | PA      | $1110603.33   | 0.01%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6054                      | CUSIP: 3132DTWP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5975496 | PA      | $6152167.64   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93853                      | CUSIP: 312942H65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155217 | PA      | $159191.42    | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8944                      | CUSIP: 36179X5D4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    865144 | PA      | $799455.64    | 0.00%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8335                      | CUSIP: 3140QUHM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7086129 | PA      | $7295637.72   | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8265                      | CUSIP: 36179XFE1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4762949 | PA      | $4320856.76   | 0.03%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3155                      | CUSIP: 31418CQH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    582880 | PA      | $569167.85    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1890                      | CUSIP: 3140J6C47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1268620 | PA      | $1233966.78   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8460                      | CUSIP: 3132DWMH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247146 | PA      | $242119.16    | 0.00%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0752                      | CUSIP: 3138LQZS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182627 | PA      | $169785.36    | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8053                      | CUSIP: 3132DV5N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242111 | PA      | $240061.29    | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06814                      | CUSIP: 3128M83X0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    451374 | PA      | $445368.61    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1097                      | CUSIP: 3132DNGE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21222924 | PA      | $18307812.89  | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6421                      | CUSIP: 3140QED33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161013 | PA      | $145053.67    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5259                      | CUSIP: 3140X8ZZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215652 | PA      | $201797.53    | 0.00%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18484                      | CUSIP: 3128MMRE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    288066 | PA      | $284712.66    | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4067                      | CUSIP: 36179SQU4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2529702 | PA      | $2238545.16   | 0.01%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1456                      | CUSIP: 3140X4TN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72004 | PA      | $71034.64     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08035                      | CUSIP: 3128MJBD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210679 | PA      | $215227.91    | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932841                      | CUSIP: 31412RLW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.05        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4229                      | CUSIP: 31418DVX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1514528 | PA      | $1408459.88   | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738009                      | CUSIP: 3620AR3S8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     36891 | PA      | $36001.98     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7705                      | CUSIP: 36179WR26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21242871 | PA      | $18447640.41  | 0.11%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8154                      | CUSIP: 3132D6BX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1096552 | PA      | $1036941.95   | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1000                      | CUSIP: 3140X4DE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4933363 | PA      | $4478300.28   | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8041                      | CUSIP: 3132D55A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95461 | PA      | $92793.03     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC5848                      | CUSIP: 3133AQP92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8857078 | PA      | $7621124.53   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E03088                      | CUSIP: 31294MND9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8291 | PA      | $8235.45      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 646729                      | CUSIP: 36292EPN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    107463 | PA      | $109781.18    | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5702                      | CUSIP: 31418FKQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23311159 | PA      | $24124531.93  | 0.15%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00836                      | CUSIP: 31292G4V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3375 | PA      | $3537.68      | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6538                      | CUSIP: 3140XAHQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3229909 | PA      | $2695843.94   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11908                      | CUSIP: 3132HNDM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34594 | PA      | $33057.06     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7448                      | CUSIP: 31417EH20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     93718 | PA      | $92424.08     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5048                      | CUSIP: 3133KYTD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    895307 | PA      | $816610.43    | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC1228                      | CUSIP: 3140Y7LJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6510597 | PA      | $6629845.52   | 0.04%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4686                      | CUSIP: 31417BF44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381758 | PA      | $364812.32    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4208                      | CUSIP: 31418DVA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23510417 | PA      | $19299706.36  | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4224                        | CUSIP: 36202EVR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1105 | PA      | $1179.74      | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737839                      | CUSIP: 3620ARV81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       231 | PA      | $230.90       | 0.00%             | 2026-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1375                      | CUSIP: 3140XGQ51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18171057 | PA      | $14113556.56  | 0.09%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4347                      | CUSIP: 3140X7ZM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5646609 | PA      | $4890419.89   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4857                      | CUSIP: 3138LVMF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    343262 | PA      | $328526.67    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3249                      | CUSIP: 3140X6TF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    444650 | PA      | $402800.71    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18681                      | CUSIP: 3128MMXK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31444 | PA      | $30709.43     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8236                      | CUSIP: 3132DWEH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3955483 | PA      | $3670468.21   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5988                      | CUSIP: 36179UUM2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    199207 | PA      | $202529.59    | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738902                      | CUSIP: 3620AS3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     95119 | PA      | $92779.36     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5111                      | CUSIP: 3140J9VD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1915395 | PA      | $1871128.18   | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH2986                      | CUSIP: 3138A4J89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191481 | PA      | $188586.69    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8074                      | CUSIP: 3138WH6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    123096 | PA      | $111741.06    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1998                      | CUSIP: 3132DPGF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3726568 | PA      | $3760580.46   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5076                      | CUSIP: 36179TT96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    611420 | PA      | $557821.49    | 0.00%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08790                      | CUSIP: 3128MJ2Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1030751 | PA      | $1029011.16   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3285                      | CUSIP: 3140J7UK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1455842 | PA      | $1421129.68   | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE6412                      | CUSIP: 3133BGDR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1075704 | PA      | $1081302.76   | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6900                      | CUSIP: 3140QEU26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5639184 | PA      | $4689123.85   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5065                      | CUSIP: 3140X8TX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1023081 | PA      | $965027.79    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7527                      | CUSIP: 3132DVLG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    433960 | PA      | $361526.82    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6285                      | CUSIP: 36179U6W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1575438 | PA      | $1517418.82   | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2831                      | CUSIP: 31418CED2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88768 | PA      | $86859.36     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1285                      | CUSIP: 36179NNA2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    663033 | PA      | $629895.44    | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2578                      | CUSIP: 31418B2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    442798 | PA      | $417671.96    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AM8935                      | CUSIP: 36185B4U7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     51545 | PA      | $49913.12     | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5652                      | CUSIP: 3140XMH66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10983723 | PA      | $11178035.60  | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3691                      | CUSIP: 31418DC59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2567235 | PA      | $2319197.01   | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0864                      | CUSIP: 3132CW5Z3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1432605 | PA      | $1442221.81   | 0.01%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8083                      | CUSIP: 3132DV6U4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2826953 | PA      | $2436001.90   | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2037                      | CUSIP: 3140Q9HP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7863065 | PA      | $7670667.25   | 0.05%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF1479                      | CUSIP: 3133BNUC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2324906 | PA      | $2350483.98   | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8454                      | CUSIP: 3132DWMB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13635611 | PA      | $13970088.95  | 0.09%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5428                      | CUSIP: 3132DTA59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8316466 | PA      | $8507773.92   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4723                      | CUSIP: 3142GVG96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12406493 | PA      | $13051235.77  | 0.08%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1011                      | CUSIP: 36179NDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1978187 | PA      | $1837596.66   | 0.01%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH4429                      | CUSIP: 3138A54P4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12719 | PA      | $12523.59     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08592                      | CUSIP: 3128MJUS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168608 | PA      | $165218.78    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7117                      | CUSIP: 3140QS4B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6325997 | PA      | $6562223.27   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5701                      | CUSIP: 31418FKP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4980578 | PA      | $5098470.55   | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6930                      | CUSIP: 36179VVX5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25869081 | PA      | $21585384.03  | 0.13%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE7276                      | CUSIP: 3133BHCM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    793872 | PA      | $769237.21    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782949                      | CUSIP: 36241LH25<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    320625 | PA      | $327445.61    | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783409                      | CUSIP: 36241LYE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     44322 | PA      | $43219.38     | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2961                      | CUSIP: 36179RJE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3494348 | PA      | $3302297.87   | 0.02%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2902                      | CUSIP: 3132DQGK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7335106 | PA      | $7462578.68   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4421                      | CUSIP: 3140QP4F1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    854082 | PA      | $877999.26    | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1450                      | CUSIP: 36179NTF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    228261 | PA      | $228810.06    | 0.00%             | 2043-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8527                      | CUSIP: 3132DWPL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3789568 | PA      | $3970221.55   | 0.02%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7343                      | CUSIP: 3138WHER9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    363329 | PA      | $330836.57    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8071                      | CUSIP: 3132DV6G5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    412640 | PA      | $409146.85    | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9018                      | CUSIP: 36179YAT1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11674682 | PA      | $11976562.79  | 0.07%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5198                      | CUSIP: 3140XLX45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2619343 | PA      | $2698423.69   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 931790                      | CUSIP: 31412QF79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82770 | PA      | $83364.04     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8340                      | CUSIP: 3132DWHR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23458811 | PA      | $23062275.36  | 0.14%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4496                        | CUSIP: 36202E7H6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    444415 | PA      | $453771.22    | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8118                      | CUSIP: 3132D6AT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7606864 | PA      | $6888087.69   | 0.04%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08538                      | CUSIP: 3128MJS43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4061197 | PA      | $3867168.24   | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3833                      | CUSIP: 31418DHK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7532905 | PA      | $6502917.67   | 0.04%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7421                      | CUSIP: 36179WG69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1900048 | PA      | $1830073.79   | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q03505                      | CUSIP: 3132GJR27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    438266 | PA      | $432511.67    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2318                      | CUSIP: 3140X5SG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    975816 | PA      | $918005.81    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8947                      | CUSIP: 36179X5G7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12314289 | PA      | $12373435.44  | 0.08%             | 2053-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08217                      | CUSIP: 3128MJG38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38264 | PA      | $40573.99     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA1316                      | CUSIP: 3140W1PA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5593872 | PA      | $5720802.20   | 0.04%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91849                      | CUSIP: 3128P8BS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414888 | PA      | $408371.98    | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16044                      | CUSIP: 3128ME5D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    479399 | PA      | $464234.02    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3454                      | CUSIP: 36179RZT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1637428 | PA      | $1540989.52   | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1217                      | CUSIP: 3132DNK69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    152738 | PA      | $126623.57    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889307                      | CUSIP: 31410KAG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32955 | PA      | $33558.79     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1736                      | CUSIP: 3132DN4V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5000126 | PA      | $4946857.55   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3327                      | CUSIP: 3140X6VV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1029941 | PA      | $996693.22    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555800                      | CUSIP: 31385XNR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60514 | PA      | $62535.29     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5117                      | CUSIP: 3140XLVK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    717200 | PA      | $745551.05    | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6766                      | CUSIP: 36179VQT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7728459 | PA      | $6981888.44   | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5530                      | CUSIP: 31418FEC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18647851 | PA      | $18625742.54  | 0.11%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5056                      | CUSIP: 3138XUTN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102360 | PA      | $96976.53     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8565                      | CUSIP: 3140XQQT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2539781 | PA      | $2614078.74   | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9317                      | CUSIP: 3138E2K79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    198329 | PA      | $195021.56    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5910                      | CUSIP: 3133KMR72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    691064 | PA      | $644508.48    | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1321                      | CUSIP: 3140X4PF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    496175 | PA      | $485707.37    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13885                      | CUSIP: 3128PTJ63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1419 | PA      | $1416.82      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7077                      | CUSIP: 31417D2K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     85309 | PA      | $79111.06     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1035                      | CUSIP: 3132DNEG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    554380 | PA      | $529208.28    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 713877                      | CUSIP: 36297KCN9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3050 | PA      | $2983.80      | 0.00%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97047                      | CUSIP: 312945ZL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1088124 | PA      | $1097136.16   | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5309                      | CUSIP: 3140XL3T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1770340 | PA      | $1864474.33   | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90316                      | CUSIP: 312938K51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39736 | PA      | $40069.89     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3769                      | CUSIP: 3138ELFK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56855 | PA      | $56686.57     | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555531                      | CUSIP: 31385XEC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284337 | PA      | $293833.22    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR2695                      | CUSIP: 3140L07H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2501201 | PA      | $2079811.41   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18604                      | CUSIP: 3128MMU68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294115 | PA      | $285466.28    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9582                      | CUSIP: 3140XDUG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    695899 | PA      | $658166.97    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5550                      | CUSIP: 3140JAEY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182617 | PA      | $183540.08    | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 705142                      | CUSIP: 36296YLX8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     47527 | PA      | $46398.19     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8695                      | CUSIP: 3140QUUV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2509908 | PA      | $2620300.64   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4659                      | CUSIP: 3132A5E84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1111605 | PA      | $1047139.98   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FP0060                      | CUSIP: 3140XTB67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20812876 | PA      | $17745959.00  | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0204                      | CUSIP: 36179MGM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    115243 | PA      | $113891.90    | 0.00%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8521                      | CUSIP: 3132DWPE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3381166 | PA      | $3222357.42   | 0.02%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7524                      | CUSIP: 3132DVLD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4830133 | PA      | $4377045.44   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8880                      | CUSIP: 36179X2M7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9003162 | PA      | $9238073.37   | 0.06%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1248                      | CUSIP: 3140J5L64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203887 | PA      | $205030.24    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1231                      | CUSIP: 3140J5LM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    695783 | PA      | $690672.45    | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1G2261                      | CUSIP: 3128QSQN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1612 | PA      | $1660.24      | 0.00%             | 2037-10-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA6555                      | CUSIP: 31329QH87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141851 | PA      | $144475.69    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1210                      | CUSIP: 31418AKY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109892 | PA      | $108493.90    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5149                      | CUSIP: 3132DSWJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3283659 | PA      | $3394733.63   | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2807                      | CUSIP: 31418CDM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    240045 | PA      | $225749.06    | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QO0744                      | CUSIP: 3133WJZH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1889266 | PA      | $1819931.12   | 0.01%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3218                      | CUSIP: 31418CSG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    858443 | PA      | $837874.26    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8491                      | CUSIP: 3132DWNG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16815235 | PA      | $16790043.67  | 0.10%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737036                      | CUSIP: 3620AQY98<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2872 | PA      | $2934.47      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3735                      | CUSIP: 3138X3EH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2623514 | PA      | $2424751.85   | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4095                      | CUSIP: 3138LURR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1490376 | PA      | $1422304.28   | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP0050                      | CUSIP: 3138M3BU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40631 | PA      | $38846.57     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 4.5 12/25                 | CUSIP: 21H0426C8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7320000 | PA      | $7159875.00   | 0.04%             | 2025-12-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4688                      | CUSIP: 3138WEF61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8227 | PA      | $8035.60      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V83453                      | CUSIP: 3132L8ZS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24200 | PA      | $22762.64     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4578                      | CUSIP: 31418ECQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26191863 | PA      | $22405981.36  | 0.14%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08747                      | CUSIP: 3128MJZM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5295606 | PA      | $4812729.93   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1010                      | CUSIP: 31418ADQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296449 | PA      | $293063.68    | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DB1087                      | CUSIP: 3140AAF51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1225594 | PA      | $1256692.06   | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5099                      | CUSIP: 3133KYUY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    258435 | PA      | $220849.24    | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14820                      | CUSIP: 3128MDSH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8651 | PA      | $8623.96      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0652                      | CUSIP: 3140W0WN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10355725 | PA      | $10610123.59  | 0.07%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3481                      | CUSIP: 3140X62P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9742652 | PA      | $8492726.24   | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW0036                      | CUSIP: 3140MRBE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1069961 | PA      | $1056389.18   | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05928                      | CUSIP: 3128M74M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62695 | PA      | $63218.08     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1845                      | CUSIP: 31416XBP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44524 | PA      | $43857.60     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18689                      | CUSIP: 3128MMXT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189263 | PA      | $187054.03    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6076                      | CUSIP: 3140XMXE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4340788 | PA      | $4061922.38   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ4794                      | CUSIP: 3138YWKG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    416951 | PA      | $409546.60    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5192                      | CUSIP: 31418EXW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6816458 | PA      | $7063351.24   | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6489                      | CUSIP: 31417DF73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    420314 | PA      | $390912.95    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1561                      | CUSIP: 3138EHWX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14532 | PA      | $14465.11     | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4724                      | CUSIP: 3132A5G90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1323328 | PA      | $1320809.18   | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8367                      | CUSIP: 3140QUJM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3457634 | PA      | $3585841.86   | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785191                      | CUSIP: 3622AAUQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2358759 | PA      | $2032904.13   | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698396                      | CUSIP: 36296Q3D9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     29620 | PA      | $29706.57     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 12/25                 | CUSIP: 01F0526C1<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -24780000 | PA      | $-25093620.64 | -0.15%            | 2025-12-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8384                      | CUSIP: 3132DWJ53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24924931 | PA      | $25575276.98  | 0.16%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3411                      | CUSIP: 3132DQYG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1981207 | PA      | $2093983.51   | 0.01%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL2066                      | CUSIP: 31427PJL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1737691 | PA      | $1802715.60   | 0.01%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4839                      | CUSIP: 3142GVLV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4953589 | PA      | $5031934.56   | 0.03%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0368                      | CUSIP: 3618N5MS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11060402 | PA      | $11402427.17  | 0.07%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0478                      | CUSIP: 31419AQ83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    749427 | PA      | $738622.80    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ4046                      | CUSIP: 3138AVP82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    398180 | PA      | $392501.31    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK2415                      | CUSIP: 3138E6VH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    627954 | PA      | $616600.45    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A68547                      | CUSIP: 3128L0P89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2155 | PA      | $2248.57      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3720                      | CUSIP: 3140XKD23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6908037 | PA      | $6914316.13   | 0.04%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3755                      | CUSIP: 3140X7E54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2351120 | PA      | $2190870.46   | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4000                      | CUSIP: 3140X7NS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1606055 | PA      | $1554711.88   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7489                      | CUSIP: 3140QTKB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3611134 | PA      | $3788359.13   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97125                      | CUSIP: 3129454J4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12325 | PA      | $12161.23     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4291                      | CUSIP: 3138X3XV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209085 | PA      | $204842.97    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV7087                      | CUSIP: 3138XJ2V8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     97247 | PA      | $95277.24     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3985                      | CUSIP: 3142GUNB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7843364 | PA      | $7999278.22   | 0.05%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0065                      | CUSIP: 3138EGCB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60575 | PA      | $60999.18     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0041                      | CUSIP: 3138EGBK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       772 | PA      | $802.36       | 0.00%             | 2041-02-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735013                      | CUSIP: 31402QSA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9834 | PA      | $10071.12     | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8569                      | CUSIP: 36179XQW9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5726771 | PA      | $5761435.25   | 0.04%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7386                      | CUSIP: 3138WHF49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    976378 | PA      | $919754.47    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8385                      | CUSIP: 3132DWJ61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7406294 | PA      | $7674550.33   | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91538                      | CUSIP: 312939V73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141577 | PA      | $142762.19    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08770                      | CUSIP: 3128MJ2C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    782962 | PA      | $736945.51    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5055                        | CUSIP: 36202FTL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    341008 | PA      | $342054.56    | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6098                      | CUSIP: 3140QDX41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6232342 | PA      | $5773529.10   | 0.04%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4681                      | CUSIP: 31417BFX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138505 | PA      | $132600.09    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0005                      | CUSIP: 3138EGAF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163345 | PA      | $164499.99    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07801                      | CUSIP: 3128MAAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277663 | PA      | $272076.06    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 731110                      | CUSIP: 3620AJGT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     22156 | PA      | $21616.82     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06956                      | CUSIP: 3128M9BZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    123478 | PA      | $124497.99    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9911                      | CUSIP: 3140XEAM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21207 | PA      | $18748.19     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08748                      | CUSIP: 3128MJZN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1144012 | PA      | $1077133.55   | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4838                      | CUSIP: 36179TLT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1116585 | PA      | $1081395.36   | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2099                      | CUSIP: 3140XHKM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5071040 | PA      | $3938703.60   | 0.02%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1084                      | CUSIP: 31418AF29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    610586 | PA      | $603416.71    | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7247                      | CUSIP: 3138WHBR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246986 | PA      | $240556.35    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8397                      | CUSIP: 3132DWKJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4661875 | PA      | $4830728.51   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0113                      | CUSIP: 31419ADT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    744739 | PA      | $734630.36    | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4997                      | CUSIP: 3140X8RT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1584066 | PA      | $1495171.55   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889579                      | CUSIP: 31410KJY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    466806 | PA      | $494389.71    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254868                      | CUSIP: 31371LCD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    279805 | PA      | $284874.24    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7536                      | CUSIP: 36179WLR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5136995 | PA      | $4762205.40   | 0.03%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1560                      | CUSIP: 3140XGWW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  42740376 | PA      | $35085583.62  | 0.22%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK8288                      | CUSIP: 3140HNF64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    629267 | PA      | $570397.06    | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5461                      | CUSIP: 31417CB79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60661 | PA      | $56339.78     | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1645                      | CUSIP: 3140X4ZK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    111772 | PA      | $110209.65    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5165                      | CUSIP: 3140XLW38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2562385 | PA      | $2588173.86   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7801                      | CUSIP: 3138WHU34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136721 | PA      | $128792.36    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4129                      | CUSIP: 3140X7ST7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12259671 | PA      | $11840930.02  | 0.07%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7062                      | CUSIP: 3140XAZ47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10433037 | PA      | $9042374.10   | 0.06%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03646                      | CUSIP: 3128M5L32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160221 | PA      | $169973.99    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08843                      | CUSIP: 3128MJ5D8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    689230 | PA      | $687205.68    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7429                      | CUSIP: 3138EQHF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36930 | PA      | $36685.53     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3774                      | CUSIP: 3140FPFQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    356912 | PA      | $345947.75    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5425                      | CUSIP: 31418FA31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    519834 | PA      | $532490.58    | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5412                      | CUSIP: 3140X9AN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1473036 | PA      | $1389450.96   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2195                      | CUSIP: 3140X5NM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    617211 | PA      | $606988.80    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF2020                      | CUSIP: 3133BPG51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3140441 | PA      | $3174991.68   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9903                      | CUSIP: 3138ESAD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4245293 | PA      | $4402698.56   | 0.03%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1367                      | CUSIP: 3132CXQU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3170610 | PA      | $3284454.71   | 0.02%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06412                      | CUSIP: 3128M8N59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16293 | PA      | $17004.69     | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4330                      | CUSIP: 3132E0Y30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9793376 | PA      | $10148093.19  | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3035                      | CUSIP: 36179RLQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2139660 | PA      | $2079149.84   | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7538                      | CUSIP: 3132DVLT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6124291 | PA      | $5111640.98   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3529                      | CUSIP: 3132DQ4N3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2038882 | PA      | $2097252.23   | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 720209                      | CUSIP: 3620A6DN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    248024 | PA      | $248699.30    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08775                      | CUSIP: 3128MJ2H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3310533 | PA      | $3212552.44   | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256673                      | CUSIP: 31371NCJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2533 | PA      | $2634.73      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02920                      | CUSIP: 31294MG54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3762 | PA      | $3753.50      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890226                      | CUSIP: 31410LA36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151158 | PA      | $152241.75    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA6146                      | CUSIP: 31329PZK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127403 | PA      | $126921.26    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6093                      | CUSIP: 3138WFXX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     86293 | PA      | $84741.13     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1265                      | CUSIP: 3142GRMP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5111128 | PA      | $5198354.41   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7379                      | CUSIP: 3140QFFV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5641149 | PA      | $5099645.21   | 0.03%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4124                      | CUSIP: 31418DSN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2300123 | PA      | $2189461.60   | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2086                      | CUSIP: 3140QMJ88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6470494 | PA      | $5565552.40   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06713                      | CUSIP: 3128M8YJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56918 | PA      | $58382.25     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09015                      | CUSIP: 31294UAQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157353 | PA      | $155384.91    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8029                      | CUSIP: 3132DV4N2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2152622 | PA      | $1858290.57   | 0.01%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BZ5664                      | CUSIP: 3617U1JH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    120487 | PA      | $103955.25    | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726398                      | CUSIP: 3620AC7K4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4999 | PA      | $5104.99      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8118                      | CUSIP: 3140QGAU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6468516 | PA      | $5336284.34   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK0782                      | CUSIP: 3138E42Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177658 | PA      | $170033.00    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6497                      | CUSIP: 3140XAGF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1879284 | PA      | $1565608.40   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7990                      | CUSIP: 36179W2X5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20799565 | PA      | $19978317.46  | 0.12%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4348                      | CUSIP: 3132E0ZM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4656109 | PA      | $4896050.57   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8278                      | CUSIP: 3133KQFT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3768705 | PA      | $3786613.08   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4138                      | CUSIP: 3142GUS46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3620179 | PA      | $3730607.19   | 0.02%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3243                      | CUSIP: 36179RS83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1236053 | PA      | $1136987.48   | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08781                      | CUSIP: 3128MJ2P4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431529 | PA      | $430801.06    | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ8476                      | CUSIP: 3138E1M20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160310 | PA      | $153415.72    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06185                      | CUSIP: 3128M8F25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27614 | PA      | $27844.61     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7735                      | CUSIP: 3132A8SY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431490 | PA      | $413358.70    | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5191                      | CUSIP: 36179TXU4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3904835 | PA      | $3657770.70   | 0.02%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8512                      | CUSIP: 31417VN66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    844495 | PA      | $850517.46    | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8044                      | CUSIP: 36179W5D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16874457 | PA      | $15672319.04  | 0.10%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6980                      | CUSIP: 3140XAXJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7471 | PA      | $7364.79      | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5877                      | CUSIP: 36179UQ62<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1408908 | PA      | $1404315.73   | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18651                      | CUSIP: 3128MMWM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40669 | PA      | $39289.71     | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8363                      | CUSIP: 3132D6JG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1574 | PA      | $1592.68      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B8002                      | CUSIP: 3128UGH67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       394 | PA      | $409.46       | 0.00%             | 2041-02-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3536                      | CUSIP: 31418C4W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    647203 | PA      | $625501.67    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3392                      | CUSIP: 31418CXW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    682394 | PA      | $673533.75    | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2894                      | CUSIP: 3140X6GC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1016703 | PA      | $922920.78    | 0.01%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4750                      | CUSIP: 3132DSH39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195294 | PA      | $187402.83    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0422                      | CUSIP: 3132CWPF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2758467 | PA      | $2570453.11   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08606                      | CUSIP: 3128MJU81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335602 | PA      | $328706.27    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4260                      | CUSIP: 31418DWW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4332947 | PA      | $3927586.49   | 0.02%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3862                      | CUSIP: 3132E0JF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3531028 | PA      | $3622185.47   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8036                      | CUSIP: 3132DV4V4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1504812 | PA      | $1355189.58   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 915091                      | CUSIP: 31411UUQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1880 | PA      | $1960.18      | 0.00%             | 2037-04-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08052                      | CUSIP: 3128MJBW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63210 | PA      | $65673.68     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8168                      | CUSIP: 3132DWCD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6739059 | PA      | $6015508.01   | 0.04%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3258                      | CUSIP: 3140XJTQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3036683 | PA      | $3126465.23   | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0405                      | CUSIP: 3140XFNX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1966792 | PA      | $1795221.08   | 0.01%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1201                      | CUSIP: 31418AKP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    602531 | PA      | $595205.36    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4910                        | CUSIP: 36202FN36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       530 | PA      | $528.58       | 0.00%             | 2026-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0062                      | CUSIP: 3140W0B87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19340595 | PA      | $16581287.80  | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8244                      | CUSIP: 3132DWER0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9279996 | PA      | $8890528.07   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0207                      | CUSIP: 3618N5GR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7571310 | PA      | $7780006.74   | 0.05%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9488                      | CUSIP: 36179YRH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9178920 | PA      | $9311804.70   | 0.06%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5105                      | CUSIP: 3138MLU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128167 | PA      | $125917.35    | 0.00%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0745                      | CUSIP: 3140QKZK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1600460 | PA      | $1519959.57   | 0.01%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MB0290                      | CUSIP: 3138MTKC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4856218 | PA      | $4757437.23   | 0.03%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3402                      | CUSIP: 3132DQX76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4711159 | PA      | $4731852.93   | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9853                      | CUSIP: 36179Y5N0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8099746 | PA      | $8352748.88   | 0.05%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01567                      | CUSIP: 31292HW42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173144 | PA      | $176389.68    | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ0629                      | CUSIP: 3140H1VX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1055128 | PA      | $1026672.29   | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4821                      | CUSIP: 3142GVLB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17943010 | PA      | $18406226.75  | 0.11%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6619                      | CUSIP: 3138EPK94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1721887 | PA      | $1731257.51   | 0.01%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5105                      | CUSIP: 31418EU73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4719275 | PA      | $4639503.14   | 0.03%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4447                        | CUSIP: 36202E5G0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     93000 | PA      | $94963.69     | 0.00%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555592                      | CUSIP: 31385XF93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     98684 | PA      | $102047.85    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2930                      | CUSIP: 31418CHG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1153022 | PA      | $1117602.73   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6508                      | CUSIP: 3140XNGS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2440705 | PA      | $2559726.36   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0495                      | CUSIP: 3132DMRQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3265491 | PA      | $2932642.04   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0646                      | CUSIP: 36179MWF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2321 | PA      | $2374.01      | 0.00%             | 2042-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784035                      | CUSIP: 3622A2PU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    230034 | PA      | $222780.79    | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2535                      | CUSIP: 3140XHY92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574271 | PA      | $491443.01    | 0.00%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0257                      | CUSIP: 3618N5JB6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14963345 | PA      | $14642190.87  | 0.09%             | 2055-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1986                      | CUSIP: 3132DPF37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5170450 | PA      | $5315240.24   | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890514                      | CUSIP: 31410LK35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    435829 | PA      | $427681.52    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1877                      | CUSIP: 3142GSCP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24731297 | PA      | $25076075.94  | 0.15%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BN3897                      | CUSIP: 3617K7KJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    168672 | PA      | $161143.68    | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2738                      | CUSIP: 31418CBG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    512233 | PA      | $490275.05    | 0.00%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87434                      | CUSIP: 312934HK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11883 | PA      | $12178.75     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6026                      | CUSIP: 3140QDVU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2043415 | PA      | $1701066.39   | 0.01%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9422                      | CUSIP: 3140QHPG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    502144 | PA      | $456422.42    | 0.00%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08618                      | CUSIP: 3128MJVL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120110 | PA      | $117542.81    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7076                      | CUSIP: 31417D2J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1592799 | PA      | $1477249.00   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3851                      | CUSIP: 3133KKH44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1842369 | PA      | $1665516.92   | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6790                      | CUSIP: 3138A8RL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165721 | PA      | $166887.12    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4802                        | CUSIP: 36202FKP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    139292 | PA      | $142317.54    | 0.00%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9578                      | CUSIP: 3140XDUC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2505687 | PA      | $2067098.46   | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0567                      | CUSIP: 3132DMTY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5908491 | PA      | $4883516.81   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS2913                      | CUSIP: 3132A3GW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204816 | PA      | $213552.98    | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2060                      | CUSIP: 3140XHJE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7638664 | PA      | $7353887.19   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01648                      | CUSIP: 31292HZM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327042 | PA      | $333417.46    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4032                      | CUSIP: 3142GUPS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6690695 | PA      | $7015288.26   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06709                      | CUSIP: 3128M8YE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27322 | PA      | $27562.70     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0361                      | CUSIP: 3132ACMJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6979786 | PA      | $6579368.51   | 0.04%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14572                      | CUSIP: 3128MDJR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       144 | PA      | $143.87       | 0.00%             | 2026-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1G2736                      | CUSIP: 3128QTBD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4039 | PA      | $4221.02      | 0.00%             | 2038-03-01      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8199                      | CUSIP: 3132D6DC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2359948 | PA      | $2369151.72   | 0.01%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB2891                      | CUSIP: 36178NF87<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    464065 | PA      | $430250.43    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3597                      | CUSIP: 36179R7J2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1194990 | PA      | $1124609.23   | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18684                      | CUSIP: 3128MMXN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1114250 | PA      | $1087962.34   | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92286                      | CUSIP: 312940RF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129736 | PA      | $130821.51    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7281                      | CUSIP: 3138EQCT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    438283 | PA      | $430862.85    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3799                      | CUSIP: 3132E0GG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5509756 | PA      | $4987752.09   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5700                      | CUSIP: 3140X9KN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2604928 | PA      | $2427379.67   | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2707                      | CUSIP: 3132DQAG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2027541 | PA      | $2047947.40   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9498                      | CUSIP: 3140XDRU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    531589 | PA      | $535352.67    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735925                      | CUSIP: 31402RSN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138148 | PA      | $141072.50    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE8396                      | CUSIP: 31419KKJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    444482 | PA      | $438035.31    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4255                      | CUSIP: 31418DWR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  37188859 | PA      | $30528342.00  | 0.19%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5551                      | CUSIP: 31418FEZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6425230 | PA      | $6294534.41   | 0.04%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV8771                      | CUSIP: 3140MNW93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    491887 | PA      | $473988.95    | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5192                      | CUSIP: 36179TXV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2736641 | PA      | $2646974.44   | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7065                      | CUSIP: 3132DUZ67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5766773 | PA      | $5774352.66   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1409                      | CUSIP: 3140QLR73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4738473 | PA      | $4211060.73   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785192                      | CUSIP: 3622AAUR3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     92327 | PA      | $88032.67     | 0.00%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08759                      | CUSIP: 3128MJZZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    536253 | PA      | $534845.72    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP7534                      | CUSIP: 3138MBLQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    119053 | PA      | $117538.38    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67707                      | CUSIP: 3132XCR49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1613118 | PA      | $1529906.10   | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0240                      | CUSIP: 3132ACHR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139447 | PA      | $131273.34    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0867                      | CUSIP: 3132A06C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31190 | PA      | $31832.82     | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2834                      | CUSIP: 31418CEG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1174121 | PA      | $1104195.82   | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4168                      | CUSIP: 3138WDT27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    976849 | PA      | $954664.33    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q55429                      | CUSIP: 3132XYA72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    573027 | PA      | $555350.63    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18483                      | CUSIP: 3128MMRD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    273077 | PA      | $268789.30    | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2348                      | CUSIP: 3138LSTE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180881 | PA      | $178210.21    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1302                      | CUSIP: 3132DNNT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1601602 | PA      | $1617720.90   | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM7855                      | CUSIP: 3131Y2WQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3410552 | PA      | $3427507.82   | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4595                      | CUSIP: 3142GVC90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9829804 | PA      | $10350183.20  | 0.06%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08373                      | CUSIP: 3128MJMX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    433562 | PA      | $444371.63    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4204                      | CUSIP: 31418DU67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11795409 | PA      | $10422171.73  | 0.06%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6339                      | CUSIP: 36179VBG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3737995 | PA      | $3482797.27   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4851                      | CUSIP: 3140X8L96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1832177 | PA      | $1779330.44   | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8146                      | CUSIP: 31417FBQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17660 | PA      | $18030.46     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7707                      | CUSIP: 36179WR42<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2947143 | PA      | $2725675.84   | 0.02%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2960                      | CUSIP: 31418CJE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1348157 | PA      | $1306743.50   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 12/25                   | CUSIP: 01F0406C6<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1905312.40  | -0.01%            | 2025-12-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0092                      | CUSIP: 3618N5C64<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29182313 | PA      | $29506755.66  | 0.18%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7473                      | CUSIP: 36179WJS8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8144201 | PA      | $7356451.37   | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4831                      | CUSIP: 3140XLLM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2381537 | PA      | $2418157.65   | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9867                      | CUSIP: 3138ER6D7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    537360 | PA      | $525988.72    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3954                      | CUSIP: 3140XKMC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6059181 | PA      | $5656666.27   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67709                      | CUSIP: 3132XCR64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184074 | PA      | $173945.40    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6889                      | CUSIP: 3138EPUP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    744896 | PA      | $749075.48    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9722                      | CUSIP: 36179YYT5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4858378 | PA      | $4630112.63   | 0.03%             | 2054-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7417                      | CUSIP: 36179WG28<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24024293 | PA      | $20028058.16  | 0.12%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0201                      | CUSIP: 3618N5GK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15336641 | PA      | $14083500.92  | 0.09%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3081                      | CUSIP: 3140X6M73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14142 | PA      | $13854.60     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555677                      | CUSIP: 31385XJW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120938 | PA      | $124977.79    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9467                      | CUSIP: 3138EEQV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25691 | PA      | $25475.96     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4655                      | CUSIP: 31418EE55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18613392 | PA      | $17861298.90  | 0.11%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8227                      | CUSIP: 3132DWD83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18158067 | PA      | $17424371.67  | 0.11%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06788                      | CUSIP: 3128M82V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10009 | PA      | $10368.37     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DB2498                      | CUSIP: 3140ABX42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1488922 | PA      | $1460032.11   | 0.01%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8371                      | CUSIP: 3132D6JQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1660212 | PA      | $1679541.15   | 0.01%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4837                      | CUSIP: 3138LVLT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    308192 | PA      | $295123.84    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9852                      | CUSIP: 36179Y5M2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18444444 | PA      | $18810420.54  | 0.12%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5674                      | CUSIP: 31418FJU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10276450 | PA      | $10518091.53  | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91730                      | CUSIP: 3128P74P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141738 | PA      | $139971.39    | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0538                      | CUSIP: 3132ACS35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    841389 | PA      | $792594.53    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4192                      | CUSIP: 3140XKUS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7146318 | PA      | $6487128.49   | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT4138                      | CUSIP: 3138WRS43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    929885 | PA      | $887206.41    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4695                      | CUSIP: 3132DSGC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2112060 | PA      | $2217434.61   | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01585                      | CUSIP: 31292HXN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51520 | PA      | $52505.35     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5177                      | CUSIP: 3133KYXE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1095184 | PA      | $1104051.35   | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2872                      | CUSIP: 3132DQFM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1828545 | PA      | $1837233.69   | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3590                      | CUSIP: 3132DQ7B6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2278119 | PA      | $2343338.62   | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4541                        | CUSIP: 36202FBJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3528866 | PA      | $3604048.50   | 0.02%             | 2039-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA8635                      | CUSIP: 31416SSZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    805736 | PA      | $811509.71    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91568                      | CUSIP: 3128P7W58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1174089 | PA      | $1145173.03   | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4280                      | CUSIP: 31418DXJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20499448 | PA      | $15922029.62  | 0.10%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08757                      | CUSIP: 3128MJZX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    737181 | PA      | $693855.58    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782105                      | CUSIP: 36241KKS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     10524 | PA      | $10723.63     | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1656                      | CUSIP: 31418NZW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174481 | PA      | $175723.75    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 787172                      | CUSIP: 3622AC2D1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1576162 | PA      | $1654209.24   | 0.01%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5507                      | CUSIP: 3140JADM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2793638 | PA      | $2535947.63   | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN4365                      | CUSIP: 3140JLZ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171502 | PA      | $174803.80    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786649                      | CUSIP: 3622ACH29<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5219012 | PA      | $5400445.32   | 0.03%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8075                      | CUSIP: 3132D56L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    346335 | PA      | $329672.19    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1089                      | CUSIP: 3138WAF77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265695 | PA      | $260918.70    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2637                      | CUSIP: 3140QM4X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1711943 | PA      | $1476796.47   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2415                      | CUSIP: 31418BVH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    352596 | PA      | $344130.02    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5071                      | CUSIP: 3133KYT41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6149112 | PA      | $5441949.47   | 0.03%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18702                      | CUSIP: 3128PYU36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60212 | PA      | $59770.77     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9830                      | CUSIP: 3140QV4Q4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4382423 | PA      | $4612711.17   | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7506                      | CUSIP: 3140XPKU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3411641 | PA      | $3499715.61   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2241                      | CUSIP: 3140X5P31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    344047 | PA      | $318339.35    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08210                      | CUSIP: 3128MJGU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    121944 | PA      | $129231.63    | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7365                      | CUSIP: 31417EFF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241874 | PA      | $223977.22    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0844                      | CUSIP: 31417Y5E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82734 | PA      | $83271.39     | 0.00%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5331                      | CUSIP: 36179T4Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2783817 | PA      | $2782572.62   | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5927                      | CUSIP: 3138WFSR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    682441 | PA      | $670006.83    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2893                      | CUSIP: 36179RGA1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1008407 | PA      | $980467.93    | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4772                        | CUSIP: 36202FJR8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1282326 | PA      | $1310176.51   | 0.01%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7557                      | CUSIP: 3133KPME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6476832 | PA      | $6379495.11   | 0.04%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4053                      | CUSIP: 31418DQF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2381707 | PA      | $2267120.72   | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5978                      | CUSIP: 3140X9UC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2377611 | PA      | $1984473.66   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5191                      | CUSIP: 31418EXV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13037524 | PA      | $13379739.11  | 0.08%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6110                      | CUSIP: 3140QRYG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3471427 | PA      | $3624283.42   | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5342                      | CUSIP: 3140XL5C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7402048 | PA      | $7579259.93   | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9580                      | CUSIP: 31417WUE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    152480 | PA      | $153566.51    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4055                      | CUSIP: 31418DQH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16148835 | PA      | $13930684.21  | 0.09%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6791                      | CUSIP: 3138WGRM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1204184 | PA      | $1178482.72   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0025                      | CUSIP: 3618N5A33<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  47748303 | PA      | $47768744.11  | 0.29%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91168                      | CUSIP: 3128P7JM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4538 | PA      | $4596.57      | 0.00%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1729                      | CUSIP: 3140XG4P1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8846287 | PA      | $8193575.07   | 0.05%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04003                      | CUSIP: 31294NNU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18572 | PA      | $18376.12     | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3793                      | CUSIP: 3140J8GB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161396 | PA      | $157354.74    | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786371                      | CUSIP: 3622AB6G2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4146488 | PA      | $4168995.35   | 0.03%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3859                      | CUSIP: 3132E0JC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4181509 | PA      | $4374452.17   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05457                      | CUSIP: 3128M7ME3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243520 | PA      | $245666.90    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3057                      | CUSIP: 31418CMF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3773099 | PA      | $3547210.45   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4293                      | CUSIP: 3138X3XX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1348353 | PA      | $1321334.90   | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82736                       | CUSIP: 36225FBE8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     63517 | PA      | $64986.26     | 0.00%             | 2041-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9427                      | CUSIP: 36179YPL2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    515830 | PA      | $530383.35    | 0.00%             | 2054-01-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254793                      | CUSIP: 31371K7E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44063 | PA      | $44846.12     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DD0607                      | CUSIP: 3140B0U97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1635644 | PA      | $1613753.51   | 0.01%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01563                      | CUSIP: 31283HWY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574587 | PA      | $594444.20    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2043                      | CUSIP: 3133USHU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1263034 | PA      | $1134688.45   | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6835                      | CUSIP: 31417DSZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    594790 | PA      | $566488.61    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0548                      | CUSIP: 3140XFTE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4920250 | PA      | $4249033.08   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4033                      | CUSIP: 3132E0PS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4338723 | PA      | $4538920.25   | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8365                      | CUSIP: 3132DWJJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136994 | PA      | $134507.19    | 0.00%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2752                      | CUSIP: 3142GTBW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9469447 | PA      | $9774970.42   | 0.06%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0852                      | CUSIP: 36179M5M8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1100459 | PA      | $1047117.70   | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2712                      | CUSIP: 3140W3AN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2915346 | PA      | $3065809.27   | 0.02%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555956                      | CUSIP: 31385XTM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139133 | PA      | $144018.22    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7765                      | CUSIP: 36179WTW8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2146597 | PA      | $1714407.03   | 0.01%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4360                      | CUSIP: 31418DZ21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7971515 | PA      | $7393311.79   | 0.05%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03486                      | CUSIP: 31292K2T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174320 | PA      | $175768.68    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1382                      | CUSIP: 3140QLRC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9489926 | PA      | $8222008.39   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5741                      | CUSIP: 31418FLX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    969285 | PA      | $987643.74    | 0.01%             | 2045-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5084                      | CUSIP: 31418EUJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    510728 | PA      | $536790.82    | 0.00%             | 2053-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4580                      | CUSIP: 31418ECS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3114820 | PA      | $2892326.62   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03037                      | CUSIP: 3128M4V67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170068 | PA      | $177115.72    | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4135                      | CUSIP: 3140XKSZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4238845 | PA      | $4264286.11   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1376                      | CUSIP: 31427NQ69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5979205 | PA      | $6255097.97   | 0.04%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4056                      | CUSIP: 31418DQJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    366167 | PA      | $352859.42    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5391                      | CUSIP: 31418E7D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4399244 | PA      | $4608273.88   | 0.03%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18627                      | CUSIP: 3128MMVV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    358815 | PA      | $351310.16    | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8928                      | CUSIP: 3140XQ4N4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5965272 | PA      | $6163869.41   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5022                      | CUSIP: 3140XLSL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4524872 | PA      | $3877898.49   | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6198                      | CUSIP: 3133KM3F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15562614 | PA      | $12901798.85  | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96413                      | CUSIP: 312945DS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1204506 | PA      | $1188176.46   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8946                      | CUSIP: 36179X5F9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4371349 | PA      | $4298359.71   | 0.03%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3274                      | CUSIP: 3140QNT85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2236457 | PA      | $2134908.14   | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60715                      | CUSIP: 31335AYL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127149 | PA      | $130410.07    | 0.00%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7722                      | CUSIP: 3140QFSL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3928803 | PA      | $3429671.54   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7484                      | CUSIP: 3140XBJ68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5068833 | PA      | $4415362.70   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 887624                      | CUSIP: 31410FD51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2205 | PA      | $2328.56      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4352                      | CUSIP: 3133KKZR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9650307 | PA      | $7949080.50   | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40269                      | CUSIP: 3132FCJN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19145849 | PA      | $17760179.62  | 0.11%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67706                      | CUSIP: 3132XCR31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193197 | PA      | $182808.26    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4279                      | CUSIP: 31418DXH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3564987 | PA      | $3306405.67   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8813                      | CUSIP: 3140QGYK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2105621 | PA      | $1750877.25   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759192                      | CUSIP: 36230UF95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       152 | PA      | $152.10       | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5130                      | CUSIP: 3133KYVX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3444891 | PA      | $2924767.27   | 0.02%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5263                      | CUSIP: 36179TZ40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1302954 | PA      | $1220514.44   | 0.01%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9602                      | CUSIP: 36179YU36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    713324 | PA      | $679809.48    | 0.00%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3310                      | CUSIP: 36179RVB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3688672 | PA      | $3482517.78   | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3431                      | CUSIP: 3138A4Y58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20510 | PA      | $20447.93     | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0890                      | CUSIP: 3132CW7B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5682957 | PA      | $5263647.26   | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785313                      | CUSIP: 3622AAYJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    117360 | PA      | $101110.62    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2469                      | CUSIP: 3140Q9W74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    662670 | PA      | $640863.96    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4839                      | CUSIP: 31418ELV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1197575 | PA      | $1146940.71   | 0.01%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B4777                      | CUSIP: 3128JQFT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1365 | PA      | $1417.49      | 0.00%             | 2040-06-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7629                      | CUSIP: 3140XPPP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2287010 | PA      | $2339619.31   | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2073                      | CUSIP: 36179QJS1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    323287 | PA      | $306287.85    | 0.00%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07787                      | CUSIP: 3128M96Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1238309 | PA      | $1216683.19   | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5614                      | CUSIP: 31418FGY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8902993 | PA      | $9018762.65   | 0.06%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5116                        | CUSIP: 36202FVH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    100961 | PA      | $103177.84    | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1704                      | CUSIP: 3132AD3M8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4147818 | PA      | $4148995.69   | 0.03%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5545                      | CUSIP: 3140QRET6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1919992 | PA      | $1997934.30   | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9726                      | CUSIP: 36179YYX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11475163 | PA      | $11735128.41  | 0.07%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4406                      | CUSIP: 3132E03P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5386566 | PA      | $5707736.94   | 0.04%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1676                      | CUSIP: 36179N2H0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    206760 | PA      | $191761.42    | 0.00%             | 2044-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8507                      | CUSIP: 3132D6NY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7907924 | PA      | $7368930.05   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL2707                      | CUSIP: 31427QAH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8067005 | PA      | $8353750.28   | 0.05%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8156                      | CUSIP: 3132DWBZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12486080 | PA      | $10704701.14  | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1682                      | CUSIP: 3140X42Q8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117387 | PA      | $115725.81    | 0.00%             | 2029-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG6304                      | CUSIP: 3133C7AD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16739034 | PA      | $17003778.09  | 0.10%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0625                      | CUSIP: 36179MVS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1309551 | PA      | $1246877.91   | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3185                      | CUSIP: 31418CRF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    526681 | PA      | $500812.30    | 0.00%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7987                      | CUSIP: 36179W2U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9876141 | PA      | $8580452.78   | 0.05%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3375                      | CUSIP: 3132DQXC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4584136 | PA      | $4670964.56   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08595                      | CUSIP: 3128MJUV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    567278 | PA      | $555751.03    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8446                      | CUSIP: 3132DWL35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7433850 | PA      | $7532258.34   | 0.05%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4438                      | CUSIP: 31418D4Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8844751 | PA      | $7580113.34   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8210                      | CUSIP: 3140XCDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15348188 | PA      | $13913258.32  | 0.09%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0885                      | CUSIP: 31427M6X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5860926 | PA      | $6096727.65   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5395                      | CUSIP: 3140XL7H5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5847107 | PA      | $6159843.58   | 0.04%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC7907                      | CUSIP: 3133ASYC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4850895 | PA      | $4199751.52   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0435                      | CUSIP: 3132DMPU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2052861 | PA      | $1779226.92   | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01523                      | CUSIP: 31292HVQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     94132 | PA      | $95859.52     | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1989                      | CUSIP: 3140QMF74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155888 | PA      | $147608.57    | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5066                      | CUSIP: 31417BTY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73816 | PA      | $73176.61     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2031                      | CUSIP: 3140Q9HH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2410236 | PA      | $2342222.65   | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4417                      | CUSIP: 3131XX4A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270006 | PA      | $253672.09    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0561                      | CUSIP: 31417YTT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38191 | PA      | $37632.26     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2824                      | CUSIP: 3138EKD69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199847 | PA      | $190453.56    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08248                      | CUSIP: 3128MJH29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11439 | PA      | $11935.49     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8088                      | CUSIP: 3132D56Z0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2059107 | PA      | $1866471.20   | 0.01%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3238                      | CUSIP: 3140XJS46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10671077 | PA      | $8693194.93   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08354                      | CUSIP: 3128MJMC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142749 | PA      | $146284.24    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5248                      | CUSIP: 31418EZN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6189224 | PA      | $6413398.01   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0222                      | CUSIP: 3140XFG88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8323465 | PA      | $7055827.15   | 0.04%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93505                      | CUSIP: 3129413N5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1111183 | PA      | $1120418.27   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0133                      | CUSIP: 3132DMEE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1947135 | PA      | $1940994.38   | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0747                      | CUSIP: 31427MZM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7144724 | PA      | $7463232.74   | 0.05%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2520                      | CUSIP: 31329KYR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149017 | PA      | $147559.86    | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5604                      | CUSIP: 3140X9GN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    859329 | PA      | $826486.62    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 721749                      | CUSIP: 3620A7ZN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     18926 | PA      | $18977.86     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8201                      | CUSIP: 3132DWDE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3702583 | PA      | $3299147.52   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 357669                      | CUSIP: 31376KJN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62465 | PA      | $64733.89     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2609                      | CUSIP: 31418B3T1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    511968 | PA      | $482277.83    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8982                      | CUSIP: 3138WJ6U7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265619 | PA      | $265113.54    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783046                      | CUSIP: 36241LL38<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    515573 | PA      | $503500.19    | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2985                      | CUSIP: 3138LTJ74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178801 | PA      | $175549.59    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2714                      | CUSIP: 3140X6AQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3068095 | PA      | $2763036.07   | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7526                      | CUSIP: 3132DVLF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10198473 | PA      | $8870946.29   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7255                      | CUSIP: 36179WBY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8231234 | PA      | $7150704.28   | 0.04%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890297                      | CUSIP: 31410LDA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $2.48         | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8337                      | CUSIP: 3132D6HN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2974207 | PA      | $2934402.10   | 0.02%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5044                      | CUSIP: 3133KYS91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1291070 | PA      | $1211922.17   | 0.01%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1381                      | CUSIP: 31427NRB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7419784 | PA      | $7692888.08   | 0.05%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3125                      | CUSIP: 31418CPK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    386749 | PA      | $377737.57    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4517                      | CUSIP: 31418EAT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6773743 | PA      | $6407631.99   | 0.04%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2670                      | CUSIP: 31418B6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3448958 | PA      | $3140519.97   | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4266                      | CUSIP: 31418DW40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242985 | PA      | $207823.21    | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4842                      | CUSIP: 31418ELY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7254512 | PA      | $7400988.01   | 0.05%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB2801                      | CUSIP: 31416YDF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2767 | PA      | $2757.99      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3851                      | CUSIP: 31418DH54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    859901 | PA      | $853695.56    | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9288                      | CUSIP: 3140GYKA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1051601 | PA      | $1023240.91   | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 676940                      | CUSIP: 36295QBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     12317 | PA      | $12572.81     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725705                      | CUSIP: 31402DGN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61480 | PA      | $62675.79     | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1468                      | CUSIP: 3138EHT28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    257622 | PA      | $246767.94    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8802                      | CUSIP: 36179XX76<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9432973 | PA      | $9679099.44   | 0.06%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7513                      | CUSIP: 3132DVK20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2583999 | PA      | $2430915.31   | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0050                      | CUSIP: 3142J6BU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16794969 | PA      | $17203009.16  | 0.11%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7507                      | CUSIP: 3140XBKV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2259752 | PA      | $1961365.08   | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4268                      | CUSIP: 31418DW65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11193433 | PA      | $9877940.30   | 0.06%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8494                      | CUSIP: 3132DWNK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8529383 | PA      | $8640295.21   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0216                      | CUSIP: 3140XFG21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3083031 | PA      | $2866151.82   | 0.02%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18670                      | CUSIP: 3128MMW82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    240843 | PA      | $235319.56    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0022                      | CUSIP: 31417YAY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7347 | PA      | $7365.77      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9487                      | CUSIP: 36179YRG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17019869 | PA      | $17075023.77  | 0.11%             | 2054-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0843                      | CUSIP: 3138EG5D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18398 | PA      | $18313.69     | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3871                      | CUSIP: 31418DJR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5931109 | PA      | $5341383.10   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4292                      | CUSIP: 3138X3XW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177898 | PA      | $174285.44    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738711                      | CUSIP: 3620ASVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     24047 | PA      | $23461.92     | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5055                      | CUSIP: 3140X8TM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    469364 | PA      | $459323.38    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3243                      | CUSIP: 3140X6S93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327848 | PA      | $307810.12    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0067                      | CUSIP: 3132DMCC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    487465 | PA      | $506447.63    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2414                      | CUSIP: 31418BVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    949116 | PA      | $894686.30    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04585                      | CUSIP: 3128M6NA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574188 | PA      | $598088.21    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8067                      | CUSIP: 3132DV6C4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14776593 | PA      | $12746929.36  | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4908                      | CUSIP: 3131XYNZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    939993 | PA      | $883129.63    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782068                      | CUSIP: 36241KJM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     81993 | PA      | $83544.68     | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ3023                      | CUSIP: 3140KNLD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    373681 | PA      | $309440.74    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4534                      | CUSIP: 3140X8BC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3942661 | PA      | $3550645.06   | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6603                      | CUSIP: 3140QEKR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3163765 | PA      | $2697563.04   | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5689                      | CUSIP: 3140XMKB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1742042 | PA      | $1770462.44   | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08610                      | CUSIP: 3128MJVC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254760 | PA      | $249454.86    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0628                      | CUSIP: 31427MVW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6919402 | PA      | $7090754.70   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6208                      | CUSIP: 31417C3S2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    283842 | PA      | $263135.98    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2650                      | CUSIP: 3140W25L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7784144 | PA      | $7929150.54   | 0.05%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1908                      | CUSIP: 3140J6DN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    447713 | PA      | $439654.46    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4978                      | CUSIP: 31418EQ86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13791432 | PA      | $13835418.19  | 0.09%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5382                      | CUSIP: 3132DS6T4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2254182 | PA      | $2332018.28   | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5296                      | CUSIP: 3132DS3D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2335230 | PA      | $2425351.47   | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782696                      | CUSIP: 36241K7H5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    125700 | PA      | $128367.88    | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q08998                      | CUSIP: 3132GUKK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    899567 | PA      | $860123.50    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08551                      | CUSIP: 3128MJTH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    520984 | PA      | $510969.72    | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8282                      | CUSIP: 3132DWFX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5662670 | PA      | $5886795.39   | 0.04%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3254                      | CUSIP: 3142GTTL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8515731 | PA      | $8708961.27   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0984                      | CUSIP: 31419BCW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45585 | PA      | $45904.47     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0907                      | CUSIP: 3138WAAH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113326 | PA      | $112575.73    | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7607                      | CUSIP: 3140QFNZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6472680 | PA      | $5851355.86   | 0.04%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5597                      | CUSIP: 3140XMGF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5270744 | PA      | $4785885.84   | 0.03%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q46873                      | CUSIP: 3132WLT71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162317 | PA      | $162195.48    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18465                      | CUSIP: 3128MMQT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    439074 | PA      | $432743.16    | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8220                      | CUSIP: 3132DWDZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14332707 | PA      | $12777725.95  | 0.08%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782654                      | CUSIP: 36241K5P9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    397422 | PA      | $405876.06    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8123                      | CUSIP: 3132D6AY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3761473 | PA      | $3482762.03   | 0.02%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8470                      | CUSIP: 3132DWMT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7452967 | PA      | $7635203.90   | 0.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04221                      | CUSIP: 3128M6AW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5400 | PA      | $5629.66      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783262                      | CUSIP: 36241LTT3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    196779 | PA      | $197314.15    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0211                      | CUSIP: 3142GQGV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4520206 | PA      | $4754053.24   | 0.03%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18673                      | CUSIP: 3128MMXB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1638936 | PA      | $1600993.93   | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1218                      | CUSIP: 3140Q8K87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    576851 | PA      | $575031.66    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8151                      | CUSIP: 36179XBU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12558396 | PA      | $12377159.50  | 0.08%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7346                      | CUSIP: 3140XBEU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    542985 | PA      | $488826.43    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2771                      | CUSIP: 31418CCH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4544423 | PA      | $4125237.06   | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781885                      | CUSIP: 36241KCW6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     21540 | PA      | $21918.19     | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4923                        | CUSIP: 36202FPG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    473606 | PA      | $475076.19    | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8115                      | CUSIP: 3138WJAR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    256180 | PA      | $231828.65    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9364                      | CUSIP: 36179YMM3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7764893 | PA      | $8022602.93   | 0.05%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0563                      | CUSIP: 3138W9TV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167329 | PA      | $168232.85    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 5 12/25                   | CUSIP: 01F0504C7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12150000 | PA      | $12290484.38  | 0.08%             | 2025-12-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7244                      | CUSIP: 3138WHBN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175676 | PA      | $165488.05    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7866                      | CUSIP: 3140QTW47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5936948 | PA      | $6182171.07   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723517                      | CUSIP: 3620A9YN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     47401 | PA      | $47535.73     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3149                      | CUSIP: 31418CQB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    829232 | PA      | $803240.48    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3520                      | CUSIP: 36179R4D8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3671735 | PA      | $3363629.63   | 0.02%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995112                      | CUSIP: 31416BN53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    147040 | PA      | $152386.14    | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5444                      | CUSIP: 31418FBN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6633887 | PA      | $6726369.84   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18726                      | CUSIP: 3128MMYY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1212167 | PA      | $1196124.25   | 0.01%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4921                      | CUSIP: 3138WEPF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13339 | PA      | $12617.49     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2756                      | CUSIP: 36179RBZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    170593 | PA      | $171009.91    | 0.00%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8269                      | CUSIP: 3132DWFJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1927482 | PA      | $1983345.69   | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4617                      | CUSIP: 31418EDX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265331 | PA      | $245831.03    | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5443                      | CUSIP: 31418FBM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2899667 | PA      | $2899853.54   | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4703                      | CUSIP: 3140J9GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    821047 | PA      | $770866.01    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1860                      | CUSIP: 3133L8B53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7693580 | PA      | $7140344.56   | 0.04%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2387                      | CUSIP: 31418BUM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    347436 | PA      | $327686.51    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6621                      | CUSIP: 3138WGLB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    816231 | PA      | $769915.38    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4098                      | CUSIP: 3133KKRT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8443382 | PA      | $7331120.74   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7503                      | CUSIP: 3132DVKQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2052791 | PA      | $1931177.02   | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9668                      | CUSIP: 3138WKW68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    573066 | PA      | $555462.02    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA5176                      | CUSIP: 31346YXD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    634420 | PA      | $547674.71    | 0.00%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786699                      | CUSIP: 3622ACKL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4218196 | PA      | $4035168.36   | 0.02%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254903                      | CUSIP: 31371LDG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    198975 | PA      | $202580.82    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0036                      | CUSIP: 3132CWBD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76240 | PA      | $74794.29     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3244                      | CUSIP: 36179RS91<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3478458 | PA      | $3284666.91   | 0.02%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6367                      | CUSIP: 3140XACD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    989927 | PA      | $943847.75    | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4586                      | CUSIP: 36179TCX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4677277 | PA      | $4391570.91   | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9564                      | CUSIP: 31417WTW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175638 | PA      | $176891.70    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8146                      | CUSIP: 3132DWBP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  55953648 | PA      | $45897389.42  | 0.28%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5108                      | CUSIP: 3140J9VA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146935 | PA      | $143478.25    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3313                      | CUSIP: 31416YVF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46387 | PA      | $46704.12     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2642                      | CUSIP: 31418B5C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1118531 | PA      | $1053664.23   | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE8289                      | CUSIP: 31419KF75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158821 | PA      | $156478.60    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4603                      | CUSIP: 31418EDH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3196895 | PA      | $3023108.03   | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7192                      | CUSIP: 36179V7D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21980712 | PA      | $18325269.42  | 0.11%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 12/25                 | CUSIP: 01F0226C4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24360000 | PA      | $20732644.97  | 0.13%             | 2025-12-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4035                      | CUSIP: 3140XKPV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1980321 | PA      | $1992206.93   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2877                      | CUSIP: 3140X6FT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23549 | PA      | $23336.79     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8099                      | CUSIP: 3140QF7M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1050165 | PA      | $873238.42    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1117                      | CUSIP: 31427NG37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9450066 | PA      | $9718787.59   | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8499                      | CUSIP: 3138WJNR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151435 | PA      | $148108.04    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5584                      | CUSIP: 31418FF28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3262164 | PA      | $3195808.51   | 0.02%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3311                      | CUSIP: 36179RVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2009227 | PA      | $1951913.19   | 0.01%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 744386                      | CUSIP: 3620AY6X9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     10170 | PA      | $9926.11      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04729                      | CUSIP: 3128M6SS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162055 | PA      | $169129.36    | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8177                      | CUSIP: 3132DWCN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  38712521 | PA      | $31742823.48  | 0.20%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2188                      | CUSIP: 3140W2NE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11610757 | PA      | $10052225.58  | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0089                      | CUSIP: 3142GQC34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3476264 | PA      | $3637036.11   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4181                      | CUSIP: 3140QBUF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74921 | PA      | $74755.10     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0022                      | CUSIP: 36179MAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1137524 | PA      | $1084977.13   | 0.01%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5475                      | CUSIP: 3138WFCM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161797 | PA      | $158002.49    | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01674                      | CUSIP: 31292H2F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145481 | PA      | $150854.23    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5099                      | CUSIP: 3140J9UZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    313321 | PA      | $291234.07    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8298                      | CUSIP: 3140XCGG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    537035 | PA      | $527374.71    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7940                      | CUSIP: 3140XPZE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11604702 | PA      | $11593491.50  | 0.07%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2330                      | CUSIP: 3140X5SU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1835434 | PA      | $1724402.61   | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4236                      | CUSIP: 3138WDV65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    383063 | PA      | $362109.34    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0595                      | CUSIP: 31427MUV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2898145 | PA      | $2996406.20   | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7530                      | CUSIP: 3132DVLK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1105158 | PA      | $960609.48    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4532                      | CUSIP: 3140X8BA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1054849 | PA      | $953262.91    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9110                      | CUSIP: 3138ERDQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    208657 | PA      | $209759.34    | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5217                      | CUSIP: 31418EYP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5311431 | PA      | $5503811.97   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745336                      | CUSIP: 31403DBD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169394 | PA      | $172980.79    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1541                      | CUSIP: 3140Q8WB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    938096 | PA      | $912796.65    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA4194                      | CUSIP: 31329MUT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437377 | PA      | $406237.27    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3101                      | CUSIP: 3142GTNT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3636394 | PA      | $3773218.89   | 0.02%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2635                      | CUSIP: 3140QM4V3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1256359 | PA      | $1081826.38   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6263                      | CUSIP: 3132DT5Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4677434 | PA      | $4902529.02   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5265                      | CUSIP: 36179TZ65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4471532 | PA      | $4469532.63   | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08774                      | CUSIP: 3128MJ2G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1555830 | PA      | $1463417.75   | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR4722                      | CUSIP: 3140L3G88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1581861 | PA      | $1313874.55   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5620                      | CUSIP: 3138A7G69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4833 | PA      | $4819.10      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5051                      | CUSIP: 31417BTH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16424 | PA      | $16164.26     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09012                      | CUSIP: 31294UAM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    201535 | PA      | $199089.11    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18575                      | CUSIP: 3128MMT94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1214168 | PA      | $1193002.40   | 0.01%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QI8169                      | CUSIP: 3133WFCE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2366113 | PA      | $2427835.52   | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP7830                      | CUSIP: 3138MBVY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101783 | PA      | $100487.96    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4656                      | CUSIP: 31418EE63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3985938 | PA      | $3926034.93   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0535                      | CUSIP: 3132ACSY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5633397 | PA      | $5336626.41   | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786577                      | CUSIP: 3622ACFS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4487384 | PA      | $4508937.70   | 0.03%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR3175                      | CUSIP: 3138W0Q51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7331 | PA      | $7238.15      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89601                      | CUSIP: 312936U21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1388 | PA      | $1399.75      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2587                      | CUSIP: 3132DP2U1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1960710 | PA      | $1918881.37   | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5164                      | CUSIP: 31418EW22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5930627 | PA      | $5942128.68   | 0.04%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8145                      | CUSIP: 3132DWBN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21012179 | PA      | $16320270.61  | 0.10%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5738                      | CUSIP: 3140XMLU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5407623 | PA      | $5603487.26   | 0.03%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737191                      | CUSIP: 3620AQ7C1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     51460 | PA      | $52574.84     | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5186                      | CUSIP: 3140XLXQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6828877 | PA      | $6388888.26   | 0.04%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9309                      | CUSIP: 3140QVKX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7477526 | PA      | $7531752.17   | 0.05%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4383                      | CUSIP: 3132E02Q4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4749011 | PA      | $4915961.25   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4423                      | CUSIP: 31418D4H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2618157 | PA      | $2366175.83   | 0.01%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2803                      | CUSIP: 31418CDH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3807721 | PA      | $3686181.52   | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256514                      | CUSIP: 31371M3X3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    280674 | PA      | $296664.55    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91819                      | CUSIP: 3128P8AU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    372252 | PA      | $359898.68    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8468                      | CUSIP: 3132DWMR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18626169 | PA      | $18615727.32  | 0.11%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9670                      | CUSIP: 36179YW75<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1914508 | PA      | $1977001.40   | 0.01%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60080                      | CUSIP: 31335ACR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    487734 | PA      | $462816.57    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4038                      | CUSIP: 3140XKPY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5146301 | PA      | $5193271.12   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8503                      | CUSIP: 3132D6NU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8641612 | PA      | $8068814.14   | 0.05%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3786                      | CUSIP: 31418DF49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    279997 | PA      | $285002.89    | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5912                      | CUSIP: 3140QRSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1972912 | PA      | $2038416.19   | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2635                      | CUSIP: 3132DP4U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5599648 | PA      | $5055128.45   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1069                      | CUSIP: 3132CXFJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1860606 | PA      | $1805696.27   | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4729                      | CUSIP: 31418EHF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1186088 | PA      | $1169297.64   | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6360                      | CUSIP: 3140QEB68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17488670 | PA      | $15272301.40  | 0.09%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3842                      | CUSIP: 3132E0HT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3593914 | PA      | $3697233.67   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9426                      | CUSIP: 36179YPK4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1651807 | PA      | $1708595.18   | 0.01%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4155                      | CUSIP: 31418DTM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3059504 | PA      | $2850972.12   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4700                      | CUSIP: 31418EGJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7083295 | PA      | $6790446.75   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2045                      | CUSIP: 31418BHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    604316 | PA      | $571061.35    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3616                      | CUSIP: 3140XKAS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5735952 | PA      | $4888928.44   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1147                      | CUSIP: 3131XUHY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    485137 | PA      | $457002.60    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9867                      | CUSIP: 3140XD6D3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1330337 | PA      | $1152594.97   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07805                      | CUSIP: 3128MAAE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    657931 | PA      | $663318.08    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08021                      | CUSIP: 3128MJAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20270 | PA      | $21036.63     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1905                      | CUSIP: 3140XHDK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11107563 | PA      | $10442574.48  | 0.06%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745840                      | CUSIP: 31403DS59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163906 | PA      | $172960.66    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5049                      | CUSIP: 3133KYTE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1100212 | PA      | $1032764.06   | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4077                      | CUSIP: 31418DQ70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29650566 | PA      | $24386484.51  | 0.15%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5381                      | CUSIP: 3138LV6T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155890 | PA      | $153338.09    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5304                      | CUSIP: 3140J93N9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125084 | PA      | $122580.23    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A86314                      | CUSIP: 312933AP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    147862 | PA      | $146153.13    | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE4309                      | CUSIP: 31419EYF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68073 | PA      | $67065.64     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9093                      | CUSIP: 3140XDC79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10498507 | PA      | $9530105.76   | 0.06%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3905                      | CUSIP: 31418DKT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6323388 | PA      | $5694657.86   | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06361                      | CUSIP: 3128M8MJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120232 | PA      | $118783.50    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM0057                      | CUSIP: 3140X3B31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    666393 | PA      | $646376.16    | 0.00%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3678                      | CUSIP: 3140J8CQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    272685 | PA      | $269485.70    | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2301                      | CUSIP: 3138EJRX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    693856 | PA      | $662455.21    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9543                      | CUSIP: 3133AUS82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4848931 | PA      | $4235933.20   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0821                      | CUSIP: 31417Y4F1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70344 | PA      | $70835.09     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2686                      | CUSIP: 3132DP6X1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3812343 | PA      | $3844100.04   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8318                      | CUSIP: 3138WJG44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    632072 | PA      | $571990.85    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9318                      | CUSIP: 3140XDK88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3220413 | PA      | $2993869.48   | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91177                      | CUSIP: 3128P7JW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       853 | PA      | $853.79       | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08804                      | CUSIP: 3128MJ3N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1565497 | PA      | $1471532.43   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3985                      | CUSIP: 31418DNB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149537 | PA      | $145357.36    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0090                      | CUSIP: 3618N5C49<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19156887 | PA      | $18759197.32  | 0.12%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0107                      | CUSIP: 3140W0DM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3085335 | PA      | $3160452.53   | 0.02%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY8520                      | CUSIP: 3138YNPE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100034 | PA      | $91647.85     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5148                      | CUSIP: 3133KYWH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1895960 | PA      | $1658977.69   | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91359                      | CUSIP: 3128P7QL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82391 | PA      | $82959.00     | 0.00%             | 2031-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1376                      | CUSIP: 36179NQ50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2265122 | PA      | $2208569.17   | 0.01%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7552                      | CUSIP: 3132DVL94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23706915 | PA      | $20539512.33  | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 12/25                   | CUSIP: 01F0306C7<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -1600000 | PA      | $-1421124.96  | -0.01%            | 2025-12-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1678                      | CUSIP: 36179N2K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4796 | PA      | $4672.38      | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1974                      | CUSIP: 3142GSFQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7328170 | PA      | $7533118.62   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 719256                      | CUSIP: 3620A5BZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14925 | PA      | $14965.04     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8546                      | CUSIP: 3140XQP84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1412984 | PA      | $1480121.77   | 0.01%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745353                      | CUSIP: 31403DBW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153291 | PA      | $159249.48    | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3910                      | CUSIP: 3142GUKY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5147653 | PA      | $5344959.57   | 0.03%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD5474                      | CUSIP: 31418TCL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143254 | PA      | $145108.02    | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK2413                      | CUSIP: 3138E6VF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    292807 | PA      | $288051.37    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6541                      | CUSIP: 36179VHS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5167870 | PA      | $4677696.23   | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7052                      | CUSIP: 36179VZR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26257666 | PA      | $22806670.69  | 0.14%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2140                      | CUSIP: 3140XHLW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1573430 | PA      | $1465955.71   | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9571                      | CUSIP: 31417GT55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    552375 | PA      | $525371.74    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4401                      | CUSIP: 3140X73K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1447234 | PA      | $1204768.69   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8331                      | CUSIP: 3132DWHG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3676925 | PA      | $3740824.40   | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5117                      | CUSIP: 3133KYVJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3100197 | PA      | $2639473.22   | 0.02%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4617                      | CUSIP: 3140X8DX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3118979 | PA      | $2947216.03   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8152                      | CUSIP: 3132DWBV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7915680 | PA      | $7096472.36   | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2374                      | CUSIP: 3140W2T84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24546591 | PA      | $24865782.34  | 0.15%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890517                      | CUSIP: 31410LK68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42037 | PA      | $44550.01     | 0.00%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7505                      | CUSIP: 3132DVKS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2105339 | PA      | $2101989.63   | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9302                      | CUSIP: 3138MRKQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    933346 | PA      | $888357.60    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8817                      | CUSIP: 3140XCYP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7313979 | PA      | $6311640.32   | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17508                      | CUSIP: 3128PXKV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145669 | PA      | $144742.01    | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0892                      | CUSIP: 3140Y67E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7228286 | PA      | $7599649.57   | 0.05%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8010                      | CUSIP: 3132DV3T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    206572 | PA      | $186032.86    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8201                      | CUSIP: 36179XDE3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26015426 | PA      | $25639984.43  | 0.16%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH1111                      | CUSIP: 3138A2GV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59043 | PA      | $58158.70     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6208                      | CUSIP: 3140XM3S3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2777830 | PA      | $2861695.12   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2856                      | CUSIP: 3140QNE65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1021059 | PA      | $885595.95    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4156                      | CUSIP: 31418DTN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1184835 | PA      | $1127831.38   | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5645                      | CUSIP: 31418FHX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2233057 | PA      | $2229711.39   | 0.01%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5603                      | CUSIP: 3140X9GM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2737575 | PA      | $2512431.65   | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2458                      | CUSIP: 31418BWU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    502262 | PA      | $490154.11    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6931                      | CUSIP: 36179VVY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5640466 | PA      | $4905319.03   | 0.03%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723538                      | CUSIP: 3620A9ZB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     20992 | PA      | $21050.39     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1377                      | CUSIP: 36179NQ68<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    467108 | PA      | $468253.05    | 0.00%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8743                      | CUSIP: 3140XQWD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11750831 | PA      | $11124446.31  | 0.07%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2453                      | CUSIP: 3140W2WP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12944384 | PA      | $11685648.78  | 0.07%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q39359                      | CUSIP: 3132QWMH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    408784 | PA      | $386035.88    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6337                      | CUSIP: 36179VBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     10725 | PA      | $9387.69      | 0.00%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4416                      | CUSIP: 3140J84A8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61251 | PA      | $62519.52     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08392                      | CUSIP: 3128MJNJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176111 | PA      | $177589.89    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6830                      | CUSIP: 3140XASU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1730065 | PA      | $1742375.42   | 0.01%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8107                      | CUSIP: 3132D6AG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7275502 | PA      | $6747783.38   | 0.04%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5331                        | CUSIP: 36202F4Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    570039 | PA      | $543822.96    | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698091                      | CUSIP: 36296QRL5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     60261 | PA      | $60443.97     | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1307                      | CUSIP: 31418ANZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    618315 | PA      | $601967.22    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1632                      | CUSIP: 3138X0Y69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    476631 | PA      | $440866.27    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08633                      | CUSIP: 3128MJV31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    303151 | PA      | $296668.90    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18676                      | CUSIP: 3128MMXE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    260455 | PA      | $251165.95    | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO8044                      | CUSIP: 3138LY5E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120575 | PA      | $115400.93    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8617                      | CUSIP: 3132A9SE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1780836 | PA      | $1725958.16   | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0157                      | CUSIP: 36179ME63<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     64115 | PA      | $65483.58     | 0.00%             | 2042-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1677                      | CUSIP: 36179N2J6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    317912 | PA      | $301683.92    | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8878                      | CUSIP: 36179X2K1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3358043 | PA      | $3374171.52   | 0.02%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4945                      | CUSIP: 3140XLP77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4298031 | PA      | $4356062.23   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2596                      | CUSIP: 3138EJ3E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213527 | PA      | $210809.81    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18574                      | CUSIP: 3128MMT86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    486054 | PA      | $473456.41    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q04649                      | CUSIP: 3132GKZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    587565 | PA      | $562639.24    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8110                      | CUSIP: 3132D6AK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4959621 | PA      | $4490983.59   | 0.03%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9421                      | CUSIP: 3140XRPF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2101939 | PA      | $1960991.94   | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1599                      | CUSIP: 3133L7X44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4982546 | PA      | $4642941.76   | 0.03%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7827                      | CUSIP: 3140XBVV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6198366 | PA      | $5582066.62   | 0.03%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2765                      | CUSIP: 3140QNCB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10308327 | PA      | $8474992.94   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK4523                      | CUSIP: 3138E9AZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    733920 | PA      | $721763.26    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7390                      | CUSIP: 3140QFF87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1737975 | PA      | $1636641.41   | 0.01%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 677219                      | CUSIP: 36295QK82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     36926 | PA      | $37663.09     | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2760                      | CUSIP: 31329LB50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4047 | PA      | $4000.50      | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK4374                      | CUSIP: 3131X72F4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110086 | PA      | $108727.09    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH2594                      | CUSIP: 3140GQ3C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    891625 | PA      | $837687.66    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735500                      | CUSIP: 31402RDD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148033 | PA      | $153519.11    | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8133                      | CUSIP: 3140QUBB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3839772 | PA      | $3853218.43   | 0.02%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5104                      | CUSIP: 3133KYU56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5664936 | PA      | $4841290.95   | 0.03%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8475                      | CUSIP: 3132DWMY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25347688 | PA      | $25677296.40  | 0.16%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0537                      | CUSIP: 3132ACS27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4242922 | PA      | $4004817.23   | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9016                      | CUSIP: 3140QVAS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5062999 | PA      | $5217650.54   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0287                      | CUSIP: 3140XFJ93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2382636 | PA      | $1970053.13   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8949                      | CUSIP: 36179X5J1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1578207 | PA      | $1619015.56   | 0.01%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2959                      | CUSIP: 31418CJD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    468868 | PA      | $439420.62    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1357                      | CUSIP: 3140J5QK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46563 | PA      | $46888.34     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3655                      | CUSIP: 3138WDBZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    226776 | PA      | $227973.87    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08817                      | CUSIP: 3128MJ4B3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1908254 | PA      | $1847602.16   | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0933                      | CUSIP: 3138EHBB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1560049 | PA      | $1598262.15   | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4715                      | CUSIP: 31418EGZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1078765 | PA      | $1087499.02   | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5110                      | CUSIP: 3133KYVB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2274746 | PA      | $1940058.92   | 0.01%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4970                      | CUSIP: 3140X8QY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1369743 | PA      | $1401502.38   | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9461                      | CUSIP: 3138EEQP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73287 | PA      | $72507.09     | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B7981                      | CUSIP: 3128UGHH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14605 | PA      | $15182.95     | 0.00%             | 2041-02-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0894                      | CUSIP: 3132DM7F6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    861951 | PA      | $719427.65    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8258                      | CUSIP: 3132DWE74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9721078 | PA      | $9773347.00   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7292                      | CUSIP: 3140XBC65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3368672 | PA      | $3166995.93   | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8312                      | CUSIP: 3140XCGW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2250663 | PA      | $1950663.10   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08808                      | CUSIP: 3128MJ3S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    708381 | PA      | $665861.97    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5122                      | CUSIP: 31418EVQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1743265 | PA      | $1811307.17   | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1432                      | CUSIP: 3142GRSW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2706750 | PA      | $2791965.97   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3396                      | CUSIP: 3131XJXZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31245 | PA      | $29933.01     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89870                      | CUSIP: 3129366F9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209690 | PA      | $211452.07    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9870                      | CUSIP: 3140XD6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3620124 | PA      | $3114956.81   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2305                      | CUSIP: 36179QR29<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    889035 | PA      | $890452.61    | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4473                      | CUSIP: 31418D6K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6820548 | PA      | $5786978.92   | 0.04%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4747                        | CUSIP: 36202FHY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2036372 | PA      | $2080432.13   | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA5511                      | CUSIP: 3133A0DQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6439068 | PA      | $5558643.24   | 0.03%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7935                      | CUSIP: 36179WY85<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9377572 | PA      | $7820624.31   | 0.05%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4286                      | CUSIP: 31418DXQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269522 | PA      | $230371.66    | 0.00%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08624                      | CUSIP: 3128MJVS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1416645 | PA      | $1386529.67   | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01501                      | CUSIP: 31292HU28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21478 | PA      | $22205.51     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4501                      | CUSIP: 31418EAB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5314287 | PA      | $4658655.44   | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1577                      | CUSIP: 3140X4XF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1171861 | PA      | $1153716.36   | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3897                      | CUSIP: 31418DKK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265942 | PA      | $258841.20    | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4855                      | CUSIP: 3140J9MD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79397 | PA      | $77255.69     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2427                      | CUSIP: 3140W2VV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7515583 | PA      | $7708158.73   | 0.05%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2594                      | CUSIP: 3140XH3C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11210652 | PA      | $9705827.31   | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3053                      | CUSIP: 3133KJMA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    314830 | PA      | $261788.68    | 0.00%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK3542                      | CUSIP: 3131X65B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17800 | PA      | $17718.59     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15736                      | CUSIP: 3128MESZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44223 | PA      | $43604.18     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18607                      | CUSIP: 3128MMU92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    896834 | PA      | $870116.76    | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7779                      | CUSIP: 31418VUD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54263 | PA      | $55564.58     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89729                      | CUSIP: 312936Y27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218618 | PA      | $215836.81    | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13882                      | CUSIP: 3128PTJ30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       543 | PA      | $542.11       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4319                      | CUSIP: 3132E0YQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2574342 | PA      | $2648149.29   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3410                      | CUSIP: 31418CYG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1275300 | PA      | $1258742.07   | 0.01%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5435                      | CUSIP: 3140XMBD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2225792 | PA      | $2244019.76   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8119                      | CUSIP: 3132D6AU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3650855 | PA      | $3381481.41   | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8479                      | CUSIP: 3138ANM59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12833 | PA      | $13148.91     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2560                      | CUSIP: 3140XHZ26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1398772 | PA      | $1344875.52   | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8205                      | CUSIP: 3132DWDJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5114510 | PA      | $4375237.25   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2821                      | CUSIP: 3140XJD34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1523331 | PA      | $1507102.13   | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8010                      | CUSIP: 3132D53T7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    575068 | PA      | $549018.29    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0241                      | CUSIP: 3140Q7HT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    716307 | PA      | $693855.77    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0146                      | CUSIP: 3618N5EU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29676901 | PA      | $29680331.25  | 0.18%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8665                      | CUSIP: 3140XCTX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3333801 | PA      | $3077010.26   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0005                      | CUSIP: 31417YAF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3196 | PA      | $3203.28      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3688                      | CUSIP: 31418DC26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2190772 | PA      | $2175647.91   | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6474                      | CUSIP: 3132DUFP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9167573 | PA      | $8238858.48   | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5938                      | CUSIP: 3138WFS49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1057115 | PA      | $996607.75    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV2051                      | CUSIP: 3140MFH55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156134 | PA      | $145566.78    | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3669                      | CUSIP: 31418DCF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    130270 | PA      | $132598.80    | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04320                      | CUSIP: 3128M6DZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2218 | PA      | $2356.02      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7616                      | CUSIP: 3140XBPA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5658514 | PA      | $5233935.03   | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5504                      | CUSIP: 31417CDJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2068688 | PA      | $1982883.98   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8541                      | CUSIP: 3140XCP36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    723918 | PA      | $703006.60    | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1355                      | CUSIP: 31416WQH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126959 | PA      | $130015.40    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE4400                      | CUSIP: 3133BD3H6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1036525 | PA      | $1023927.18   | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0210                      | CUSIP: 31419AGU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    248470 | PA      | $254412.89    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8342                      | CUSIP: 3132DWHT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3982428 | PA      | $4045414.35   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6961                      | CUSIP: 3138A8WX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3460 | PA      | $3450.57      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3987                      | CUSIP: 3133KKNC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4836279 | PA      | $4175006.31   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04359                      | CUSIP: 3128M6E87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18869 | PA      | $19693.84     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9986                      | CUSIP: 3138WLCY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39160 | PA      | $39146.58     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4117                        | CUSIP: 36202ESE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       465 | PA      | $486.38       | 0.00%             | 2038-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01573                      | CUSIP: 31292HXA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166198 | PA      | $172054.83    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE1733                      | CUSIP: 31419B4T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202223 | PA      | $199379.76    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16485                      | CUSIP: 3128MFNA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    951344 | PA      | $928906.77    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4588                      | CUSIP: 36179TCZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    169178 | PA      | $169420.07    | 0.00%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY7916                      | CUSIP: 3140NQYN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153625 | PA      | $157365.01    | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0943                      | CUSIP: 31419BBM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183352 | PA      | $187773.90    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7728                      | CUSIP: 31417ESS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    706569 | PA      | $633420.50    | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5119                      | CUSIP: 3140XLVM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3079310 | PA      | $3186600.12   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2100                      | CUSIP: 3140QMKN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    516435 | PA      | $481321.12    | 0.00%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3427                      | CUSIP: 36179RYY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    373733 | PA      | $363360.06    | 0.00%             | 2031-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8141                      | CUSIP: 3132D6BJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3425314 | PA      | $3168299.81   | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL2296                      | CUSIP: 31427PRS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7674993 | PA      | $8033928.91   | 0.05%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698094                      | CUSIP: 36296QRP6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    142984 | PA      | $143411.73    | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI5737                      | CUSIP: 3138AKLT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2836 | PA      | $2855.38      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91236                      | CUSIP: 3128P7LR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6795 | PA      | $6818.97      | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5499                      | CUSIP: 31418FDD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7946498 | PA      | $8225629.48   | 0.05%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8129                      | CUSIP: 3132DWA60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2246626 | PA      | $1931718.49   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1888                      | CUSIP: 3138AFC24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1567328 | PA      | $1578266.80   | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08768                      | CUSIP: 3128MJ2A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    816730 | PA      | $816117.64    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1961                      | CUSIP: 31418BFB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120430 | PA      | $118653.49    | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8104                      | CUSIP: 3140XCAE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3158242 | PA      | $2808689.74   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6459                      | CUSIP: 3140XNE91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5116686 | PA      | $5307754.82   | 0.03%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0201                      | CUSIP: 3142GQGK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    672618 | PA      | $701762.06    | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 CA2286                      | CUSIP: 3617U9RF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    598526 | PA      | $495038.84    | 0.00%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0538                      | CUSIP: 3142GQS45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2998374 | PA      | $3148572.46   | 0.02%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82959                       | CUSIP: 36225FJD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     40202 | PA      | $41103.46     | 0.00%             | 2041-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3183                      | CUSIP: 31418CRD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1439605 | PA      | $1394482.95   | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07786                      | CUSIP: 3128M96X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1133540 | PA      | $1113981.87   | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08887                      | CUSIP: 3128MJ6Z8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1227345 | PA      | $1110060.79   | 0.01%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3875                      | CUSIP: 36179SJU2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1075529 | PA      | $1046002.75   | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5064                      | CUSIP: 3133KYTV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    208699 | PA      | $185006.57    | 0.00%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 12/25                 | CUSIP: 01F0426C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5760000 | PA      | $5638950.14   | 0.03%             | 2025-12-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7768                      | CUSIP: 36179WTZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16495559 | PA      | $14892290.01  | 0.09%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738538                      | CUSIP: 3620ASPX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    483467 | PA      | $471706.18    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL2849                      | CUSIP: 31427QEX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10761821 | PA      | $11083368.53  | 0.07%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2654                      | CUSIP: 3138EJ5Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4744 | PA      | $4700.21      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82714                       | CUSIP: 36225FAQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3140 | PA      | $3213.14      | 0.00%             | 2041-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4228                      | CUSIP: 31418DVW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6397857 | PA      | $5799317.94   | 0.04%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07941                      | CUSIP: 3128MAEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140997 | PA      | $141932.91    | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8384                      | CUSIP: 3132D6J50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1689359 | PA      | $1709027.55   | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2011                      | CUSIP: 3133USGU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1989552 | PA      | $1928436.06   | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6334                      | CUSIP: 3140QEBC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6159735 | PA      | $5338678.30   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q20121                      | CUSIP: 3132JMD22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148559 | PA      | $146538.58    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04715                      | CUSIP: 3128M6SC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76513 | PA      | $81091.57     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3755                      | CUSIP: 31418DE57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    306252 | PA      | $311726.94    | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3698                      | CUSIP: 3140X7DC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    436999 | PA      | $435211.06    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1109                      | CUSIP: 31416WGT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       277 | PA      | $280.57       | 0.00%             | 2030-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5559                      | CUSIP: 3138ENE96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315608 | PA      | $317859.21    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8911                      | CUSIP: 3140XC3V8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4092933 | PA      | $3829990.76   | 0.02%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0610                      | CUSIP: 3140XFVC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11676832 | PA      | $10826219.01  | 0.07%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4705                      | CUSIP: 3140X8GP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4204213 | PA      | $3481456.68   | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4564                      | CUSIP: 31418ECA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5505065 | PA      | $4918132.71   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0232                      | CUSIP: 3138W9HJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179974 | PA      | $176243.45    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1015                      | CUSIP: 31418ADV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251929 | PA      | $234588.26    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5146                      | CUSIP: 3133KYWF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2197699 | PA      | $1980895.79   | 0.01%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6516                      | CUSIP: 3140QSG21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5750288 | PA      | $5811755.63   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6317                      | CUSIP: 3140QSAT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5019575 | PA      | $5043427.91   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8246                      | CUSIP: 3132DWET6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8255327 | PA      | $8299715.56   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17231                      | CUSIP: 3128PXA89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46041 | PA      | $45767.61     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0395                      | CUSIP: 3132D9NL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    702696 | PA      | $633940.58    | 0.00%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60989                      | CUSIP: 31335BC20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4221768 | PA      | $3868472.63   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4738                      | CUSIP: 3140X8HQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1596756 | PA      | $1539223.07   | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7386                      | CUSIP: 3140XBF47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3086985 | PA      | $2902172.65   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q09530                      | CUSIP: 3132GU4P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190957 | PA      | $182542.38    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3896                      | CUSIP: 31418DKJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221417 | PA      | $211248.50    | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1880                      | CUSIP: 3140J6CS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67667 | PA      | $66379.84     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0768                      | CUSIP: 3138W92A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69246 | PA      | $68793.51     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1695                      | CUSIP: 3140XG3D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7089405 | PA      | $6750541.50   | 0.04%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3471                      | CUSIP: 3138EK2D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243942 | PA      | $239540.23    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8405                      | CUSIP: 3138WJKT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    518224 | PA      | $495901.71    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7420                      | CUSIP: 36179WG51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4605484 | PA      | $4276669.45   | 0.03%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6146                      | CUSIP: 3132DTZK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23352627 | PA      | $23813923.40  | 0.15%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95121                      | CUSIP: 312943VN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7653 | PA      | $7716.07      | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890765                      | CUSIP: 31410LTW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1010004 | PA      | $952230.39    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7557                      | CUSIP: 3132DVME2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4691000 | PA      | $4652752.11   | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5371                      | CUSIP: 3140X86H5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1039227 | PA      | $941742.79    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4112                      | CUSIP: 3140XKSA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3975166 | PA      | $3608489.51   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0041                      | CUSIP: 3142J6BK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8985268 | PA      | $9200058.33   | 0.06%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2560                      | CUSIP: 31418BZ25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191822 | PA      | $188370.31    | 0.00%             | 2036-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4964                      | CUSIP: 36179TQR9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    366481 | PA      | $366774.84    | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2272                      | CUSIP: 36179QQZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     74398 | PA      | $73250.74     | 0.00%             | 2029-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0095                      | CUSIP: 31418MC91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129975 | PA      | $137748.63    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6880                      | CUSIP: 3140XAUE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2757626 | PA      | $2703372.08   | 0.02%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0531                      | CUSIP: 3132ACSU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7954670 | PA      | $7525669.46   | 0.05%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18884                      | CUSIP: 3128PY2R4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12268 | PA      | $12144.39     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4653                      | CUSIP: 36179TE27<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1423750 | PA      | $1380660.37   | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2760                      | CUSIP: 3138EKB61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110508 | PA      | $111286.85    | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03600                      | CUSIP: 3128M5KM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8960 | PA      | $9775.68      | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08716                      | CUSIP: 3128MJYN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    581436 | PA      | $548353.95    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0538                      | CUSIP: 3132CWS39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2403078 | PA      | $2282206.40   | 0.01%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8346                      | CUSIP: 36179XHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27451407 | PA      | $26288167.71  | 0.16%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8378                      | CUSIP: 3132D6JX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3839470 | PA      | $3884172.28   | 0.02%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5304                        | CUSIP: 36202F3M6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    384876 | PA      | $367251.82    | 0.00%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61282                      | CUSIP: 31335BM78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2373976 | PA      | $2173827.62   | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4653                      | CUSIP: 3140XLE38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8382112 | PA      | $8527780.05   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3998                      | CUSIP: 3142GUNQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5471772 | PA      | $5616450.65   | 0.03%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5622                      | CUSIP: 31418FG84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1447800 | PA      | $1465538.75   | 0.01%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8648                      | CUSIP: 36179XTD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8180253 | PA      | $8315936.07   | 0.05%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9486                      | CUSIP: 36179YRF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4404589 | PA      | $4316936.83   | 0.03%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698402                      | CUSIP: 36296Q3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     85319 | PA      | $85570.68     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778794                      | CUSIP: 36176W7F2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    611070 | PA      | $581108.72    | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3651                      | CUSIP: 3138WDBV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    239438 | PA      | $240703.49    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08701                      | CUSIP: 3128MJX70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    477380 | PA      | $435193.28    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785843                      | CUSIP: 3622ABLY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15797297 | PA      | $13491532.68  | 0.08%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW5583                      | CUSIP: 3140MXFZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    469175 | PA      | $454615.97    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8444                      | CUSIP: 31417FL22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14547 | PA      | $14341.60     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6523                      | CUSIP: 3138EBG90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     99732 | PA      | $98898.67     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5185                      | CUSIP: 3138MLXP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27524 | PA      | $27144.22     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7475                      | CUSIP: 36179WJU3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2234387 | PA      | $2152099.67   | 0.01%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7550                      | CUSIP: 3140XBL81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48736 | PA      | $47632.47     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE6394                      | CUSIP: 3133BGC71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1273042 | PA      | $1276504.95   | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8182                      | CUSIP: 3132D6CT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18959 | PA      | $18263.01     | 0.00%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5880                      | CUSIP: 31418FRA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9902544 | PA      | $10143903.86  | 0.06%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7909                      | CUSIP: 3138EQYF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5877911 | PA      | $5565511.14   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1601                      | CUSIP: 36179NX60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    634362 | PA      | $618101.77    | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6339                      | CUSIP: 3140XABH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2239230 | PA      | $2086606.89   | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5613                      | CUSIP: 31418FGX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21211133 | PA      | $21179356.77  | 0.13%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4182                      | CUSIP: 31418DUG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21047652 | PA      | $17291176.56  | 0.11%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995246                      | CUSIP: 31416BTB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50049 | PA      | $51108.71     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0308                      | CUSIP: 3618N5KW8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21441535 | PA      | $21666517.15  | 0.13%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2484                      | CUSIP: 31418BXN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    823660 | PA      | $803931.66    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1170                      | CUSIP: 3138AEJQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20917 | PA      | $21429.62     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3237                      | CUSIP: 31418CS39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59186 | PA      | $53708.19     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3738                      | CUSIP: 36179SEK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    319064 | PA      | $319620.74    | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784101                      | CUSIP: 3622A2RW4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2376525 | PA      | $2251194.95   | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05447                      | CUSIP: 3128M7L46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26926 | PA      | $27153.48     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3592                      | CUSIP: 3132DQ7D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4865516 | PA      | $4977440.07   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8341                      | CUSIP: 3140QUHT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3387680 | PA      | $3550706.92   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8070                      | CUSIP: 3132D56F4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1387036 | PA      | $1314387.79   | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3800                      | CUSIP: 31418DGJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1073985 | PA      | $1011837.26   | 0.01%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04121                      | CUSIP: 3128M54E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19607 | PA      | $20445.71     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8385                      | CUSIP: 3132D6J68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92859 | PA      | $95061.35     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2839                      | CUSIP: 3140QNEM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4780629 | PA      | $3958780.13   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3665                      | CUSIP: 31418DCB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148481 | PA      | $147456.36    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4920                      | CUSIP: 31418EPE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4690362 | PA      | $4823003.59   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4044                      | CUSIP: 36179SP50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     65226 | PA      | $63828.74     | 0.00%             | 2031-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4544                      | CUSIP: 3142GVBN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13935122 | PA      | $14417387.08  | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2620                      | CUSIP: 3140XH4E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3364778 | PA      | $3398642.87   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4945                        | CUSIP: 36202FP67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    847798 | PA      | $830230.26    | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA8275                      | CUSIP: 36178GFQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    163249 | PA      | $154842.16    | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890247                      | CUSIP: 31410LBQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58427 | PA      | $61815.28     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1873                      | CUSIP: 3140XHCK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3353907 | PA      | $3027767.49   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX4902                      | CUSIP: 3138Y6NU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    413839 | PA      | $391933.46    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2678                      | CUSIP: 36179Q6P1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2831280 | PA      | $2678237.11   | 0.02%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1359                      | CUSIP: 3138WAQM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50526 | PA      | $50187.03     | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5114                      | CUSIP: 3133KYVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6500605 | PA      | $5720407.04   | 0.04%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3228                      | CUSIP: 3140X6SS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4229475 | PA      | $4030215.90   | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7273                      | CUSIP: 31417ECK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    454870 | PA      | $423104.90    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4032                      | CUSIP: 3140J8PS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    553151 | PA      | $522281.66    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3662                      | CUSIP: 36179SB71<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2326051 | PA      | $2130865.63   | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09029                      | CUSIP: 31292SA67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1016313 | PA      | $942320.42    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2227                      | CUSIP: 3132AEPL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5071826 | PA      | $4904932.83   | 0.03%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4518                        | CUSIP: 36202FAT3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    106870 | PA      | $104844.02    | 0.00%             | 2039-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726468                      | CUSIP: 3620ADCD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      5328 | PA      | $5442.94      | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1083                      | CUSIP: 3140XGFZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9645061 | PA      | $8350387.80   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4111                      | CUSIP: 3140X7R92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1160266 | PA      | $1094428.95   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5125                      | CUSIP: 3133KYVS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2607891 | PA      | $2290451.22   | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1152                      | CUSIP: 3140X4H66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39012 | PA      | $37795.35     | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889572                      | CUSIP: 31410KJR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91892 | PA      | $95675.81     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5327                      | CUSIP: 3133KY4L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3973715 | PA      | $3969876.41   | 0.02%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01838                      | CUSIP: 3128LXBF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    402953 | PA      | $411451.41    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9453                      | CUSIP: 3138WKQF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203308 | PA      | $197761.07    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7269                      | CUSIP: 3138WHCF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    112874 | PA      | $109665.60    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18438                      | CUSIP: 3128MMPY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52815 | PA      | $52237.16     | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BO3004                      | CUSIP: 3617KJKR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    329092 | PA      | $304407.65    | 0.00%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1579                      | CUSIP: 3140X4XH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1243884 | PA      | $1224235.29   | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04014                      | CUSIP: 31292LN76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181359 | PA      | $173453.53    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2062                      | CUSIP: 3133USJF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2508740 | PA      | $2072752.82   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP0525                      | CUSIP: 3138M3SP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205160 | PA      | $195390.41    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08739                      | CUSIP: 3128MJZD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158794 | PA      | $154540.71    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0206                      | CUSIP: 3618N5GQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20336393 | PA      | $20709722.85  | 0.13%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5451                      | CUSIP: 3140QRBV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2066810 | PA      | $2136314.08   | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3323                      | CUSIP: 3140XJVR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2184535 | PA      | $1857346.47   | 0.01%             | 2042-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555678                      | CUSIP: 31385XJX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214646 | PA      | $218500.32    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4520                      | CUSIP: 31418EAW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10960088 | PA      | $9600418.98   | 0.06%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6902                      | CUSIP: 31417DU43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     99079 | PA      | $92256.23     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8986                      | CUSIP: 3140XC6Y9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3877432 | PA      | $3690884.68   | 0.02%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08762                      | CUSIP: 3128MJZ45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26138 | PA      | $25364.87     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ0813                      | CUSIP: 3140H13X6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104655 | PA      | $94968.51     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4399                      | CUSIP: 31418D3H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19521857 | PA      | $16736688.86  | 0.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0844                      | CUSIP: 3140QK5E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6818096 | PA      | $5811272.84   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 733746                      | CUSIP: 3620AMET5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     19270 | PA      | $19320.54     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08593                      | CUSIP: 3128MJUT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81301 | PA      | $81819.98     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8085                      | CUSIP: 3132D56W7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    641176 | PA      | $610127.91    | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0057                      | CUSIP: 3142J6B36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14637258 | PA      | $14992876.36  | 0.09%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1346                      | CUSIP: 3132ADP77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195949 | PA      | $196877.87    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889996                      | CUSIP: 31410KXZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30513 | PA      | $31748.78     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5072                      | CUSIP: 3138WET66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    959769 | PA      | $879215.75    | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848285                      | CUSIP: 31300LF26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2741 | PA      | $2860.04      | 0.00%             | 2040-06-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0791                      | CUSIP: 31417Y2Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167893 | PA      | $171966.51    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9907                      | CUSIP: 36180AAG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15819420 | PA      | $16125895.75  | 0.10%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7919                      | CUSIP: 3133KPYQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    887113 | PA      | $852100.12    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4442                      | CUSIP: 3138LU5C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63089 | PA      | $65497.51     | 0.00%             | 2042-09-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1704                      | CUSIP: 3140Q83N3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1072090 | PA      | $1073399.37   | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6981                      | CUSIP: 3132DUXJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2893104 | PA      | $2941254.99   | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18512                      | CUSIP: 3128MMSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141198 | PA      | $139296.93    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725594                      | CUSIP: 31402DC73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25088 | PA      | $26020.41     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5466                      | CUSIP: 36179UCB6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4760703 | PA      | $4600255.13   | 0.03%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726323                      | CUSIP: 3620AC4G6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     69573 | PA      | $71052.47     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4072                      | CUSIP: 31418DQ21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    822974 | PA      | $749565.70    | 0.00%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8002                      | CUSIP: 3132D53K6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    393598 | PA      | $383704.57    | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q01798                      | CUSIP: 3132GE7K0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    328827 | PA      | $331545.75    | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7928                      | CUSIP: 3132A8YZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12002 | PA      | $11861.10     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 615447                      | CUSIP: 36290RWG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1519 | PA      | $1524.28      | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3383                      | CUSIP: 31418CXM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2254271 | PA      | $2116494.00   | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7556                      | CUSIP: 3140XBME7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3700572 | PA      | $3458209.86   | 0.02%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92179                      | CUSIP: 312940M48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77230 | PA      | $79207.15     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0862                      | CUSIP: 3140Q75Y9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    956078 | PA      | $898242.23    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759137                      | CUSIP: 36230UEJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    380653 | PA      | $371478.85    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0418                      | CUSIP: 3132DMPB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4186956 | PA      | $3967693.15   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5077                      | CUSIP: 3133KYUA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3329548 | PA      | $2945254.50   | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7375                      | CUSIP: 31417EFR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53285 | PA      | $52568.04     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4681                      | CUSIP: 3132A5FW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1319239 | PA      | $1154935.01   | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5358                      | CUSIP: 3133KY5T2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2308900 | PA      | $2329300.00   | 0.01%             | 2045-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9432                      | CUSIP: 3140QHPS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4460530 | PA      | $4141172.91   | 0.03%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9541                      | CUSIP: 36179YS62<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6433491 | PA      | $6520095.59   | 0.04%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0480                      | CUSIP: 3133BMQ99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2005421 | PA      | $2015264.04   | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8038                      | CUSIP: 3140XB4Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3678128 | PA      | $3304368.68   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737942                      | CUSIP: 3620ARZF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2350 | PA      | $2345.28      | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5761                      | CUSIP: 31418FMK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16771116 | PA      | $17170715.07  | 0.11%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3004                      | CUSIP: 31418CKS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158638 | PA      | $157631.68    | 0.00%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2831                      | CUSIP: 3142GTED4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10988775 | PA      | $11586819.55  | 0.07%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4094                      | CUSIP: 31418DRQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3276980 | PA      | $2984546.94   | 0.02%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6574                      | CUSIP: 3140XAJU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3466506 | PA      | $3002274.10   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8097                      | CUSIP: 3132DV7J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14748508 | PA      | $12130097.56  | 0.07%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0215                      | CUSIP: 3138EGGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    684342 | PA      | $689135.24    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5.5 12/25                 | CUSIP: 21H0526C7<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -9640000 | PA      | $-9737905.77  | -0.06%            | 2025-12-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7519                      | CUSIP: 3132DVK87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2630083 | PA      | $2483309.89   | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698375                      | CUSIP: 36296Q2G3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    465867 | PA      | $467234.33    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8198                      | CUSIP: 36179XDB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5310304 | PA      | $4804131.08   | 0.03%             | 2052-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08619                      | CUSIP: 3128MJVM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    810249 | PA      | $744344.79    | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4340                      | CUSIP: 3140J8ZE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327189 | PA      | $297928.71    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5109                      | CUSIP: 3133KYVA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1170862 | PA      | $1061115.10   | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08708                      | CUSIP: 3128MJYE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193701 | PA      | $194403.29    | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1366                      | CUSIP: 31418AQU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    423074 | PA      | $411786.42    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9016                      | CUSIP: 36179YAR5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21028200 | PA      | $21129200.32  | 0.13%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7528                      | CUSIP: 3132DVLH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8129584 | PA      | $6767575.54   | 0.04%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7920                      | CUSIP: 3140XBYS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1947795 | PA      | $1771778.80   | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01882                      | CUSIP: 3128LXCT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    103146 | PA      | $105411.43    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QI6074                      | CUSIP: 3133WCXB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    445228 | PA      | $459091.78    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08861                      | CUSIP: 3128MJ5X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164469 | PA      | $154443.25    | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6614                      | CUSIP: 3132DUK30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3499386 | PA      | $3698581.82   | 0.02%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0215                      | CUSIP: 31419AGZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    357434 | PA      | $352646.43    | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9226                      | CUSIP: 3140XDHC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1773916 | PA      | $1610841.32   | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5009                      | CUSIP: 31418ER77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1552209 | PA      | $1556674.31   | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8092                      | CUSIP: 3132DV7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3866154 | PA      | $3472079.80   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8511                      | CUSIP: 3132D6N48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3146289 | PA      | $2920240.08   | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6474                      | CUSIP: 36179VFP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16131705 | PA      | $14601609.76  | 0.09%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5735                      | CUSIP: 31418FLR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5872279 | PA      | $5948639.38   | 0.04%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4446                      | CUSIP: 31418D5G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2749604 | PA      | $2412285.72   | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6153                      | CUSIP: 36179UZS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11711879 | PA      | $10619304.86  | 0.07%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0010                      | CUSIP: 3132D9AK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27402 | PA      | $27757.94     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3377                      | CUSIP: 3138WCXF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    118392 | PA      | $112156.99    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8568                      | CUSIP: 31417VQW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    591123 | PA      | $595334.71    | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3867                      | CUSIP: 3138WDJM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    777309 | PA      | $760125.14    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1257                      | CUSIP: 3140J5MF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    748956 | PA      | $698044.23    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5109                      | CUSIP: 3140J9VB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2019802 | PA      | $1978267.07   | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2211                      | CUSIP: 3132AEN44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    682402 | PA      | $659947.03    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1112                      | CUSIP: 31418AGW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142171 | PA      | $139521.22    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5208                        | CUSIP: 36202FYD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      8414 | PA      | $8360.10      | 0.00%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02384                      | CUSIP: 3128LXUH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136442 | PA      | $144236.93    | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8448                      | CUSIP: 3132DWL50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13476247 | PA      | $13949618.89  | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2327                      | CUSIP: 3132DPSQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2831937 | PA      | $2824776.49   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4157                      | CUSIP: 31418DTP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20555011 | PA      | $16016573.21  | 0.10%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0262                      | CUSIP: 3140Y6JG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16464612 | PA      | $17049853.07  | 0.11%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8162                      | CUSIP: 3140QUB88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12606835 | PA      | $13046084.77  | 0.08%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5113                      | CUSIP: 3133KYVE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1096886 | PA      | $934740.54    | 0.01%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8307                      | CUSIP: 3132DWGQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1051446 | PA      | $1052663.94   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2838                      | CUSIP: 31329LEK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9910 | PA      | $9765.88      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889455                      | CUSIP: 31410KE42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15141 | PA      | $16032.07     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0641                      | CUSIP: 3140W0WB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    312068 | PA      | $275249.56    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7508                      | CUSIP: 3132DVKV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2382836 | PA      | $2241669.69   | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0746                      | CUSIP: 3618N5ZL6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12850000 | PA      | $13006919.06  | 0.08%             | 2055-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3936                      | CUSIP: 3140X7LS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150067 | PA      | $144357.71    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4516                      | CUSIP: 3140X8AS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2452591 | PA      | $2285425.13   | 0.01%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3781                      | CUSIP: 3138X3FX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144813 | PA      | $142454.29    | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15537                      | CUSIP: 3128MELS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53103 | PA      | $52479.16     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5079                      | CUSIP: 36179TUC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    624778 | PA      | $625279.42    | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 3 12/25                   | CUSIP: 21H0306C3<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -1500000 | PA      | $-1353398.40  | -0.01%            | 2025-12-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784443                      | CUSIP: 3622A25C2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    939965 | PA      | $942635.25    | 0.01%             | 2042-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV9931                      | CUSIP: 3140MQA90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181087 | PA      | $173770.21    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2086                      | CUSIP: 3138EJJ82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3019 | PA      | $3135.58      | 0.00%             | 2042-05-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5915                      | CUSIP: 3140X9SD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    762189 | PA      | $778791.03    | 0.00%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5764                      | CUSIP: 36179UMM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1999711 | PA      | $1993193.22   | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FP0042                      | CUSIP: 3140XTBL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6855854 | PA      | $5638684.48   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7039                      | CUSIP: 3138WGZD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    593762 | PA      | $595229.24    | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4299                      | CUSIP: 3140QBX52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1612921 | PA      | $1457086.10   | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0977                      | CUSIP: 3140XGCP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4352449 | PA      | $3923768.12   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4665                      | CUSIP: 3140XLFF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2605358 | PA      | $2627508.57   | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7328                      | CUSIP: 3140QFEA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189935 | PA      | $158113.44    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4563                      | CUSIP: 3140QQB95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1869201 | PA      | $1879251.93   | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01749                      | CUSIP: 31283H5J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129785 | PA      | $134600.35    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6715                      | CUSIP: 3138EPN91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    134279 | PA      | $131328.76    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3654                      | CUSIP: 3142GUBY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14267785 | PA      | $14653439.27  | 0.09%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89941                      | CUSIP: 312937BJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29862 | PA      | $30113.03     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR9198                      | CUSIP: 3138W7GG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138319 | PA      | $128060.99    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6733                      | CUSIP: 3140XAPT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1506295 | PA      | $1458772.02   | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5658                      | CUSIP: 31418FJC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3374247 | PA      | $3438158.29   | 0.02%             | 2045-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0139                      | CUSIP: 36179MEL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     76334 | PA      | $75665.90     | 0.00%             | 2027-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4392                      | CUSIP: 3140QP3A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4633762 | PA      | $4564123.21   | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2722                      | CUSIP: 3138WQAY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2872314 | PA      | $2656969.97   | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01371                      | CUSIP: 31292HQY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5441 | PA      | $5767.87      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0824                      | CUSIP: 3132DM4H5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5034695 | PA      | $4365173.13   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5228                        | CUSIP: 36202FYZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      5653 | PA      | $5626.89      | 0.00%             | 2026-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1273                      | CUSIP: 31418AMX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124174 | PA      | $118276.42    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8267                      | CUSIP: 3132DWFG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8013097 | PA      | $8051174.83   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2521                      | CUSIP: 36179QYS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    937165 | PA      | $886861.62    | 0.01%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3735                      | CUSIP: 36179SEG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5252925 | PA      | $4812137.84   | 0.03%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6983                      | CUSIP: 3140QEXM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1757985 | PA      | $1453019.25   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2832                      | CUSIP: 31418CEE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3521406 | PA      | $3361650.67   | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5098                      | CUSIP: 3140J9UY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    882024 | PA      | $899996.95    | 0.01%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3822                      | CUSIP: 3140XKG87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4067549 | PA      | $4207441.08   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4311                      | CUSIP: 31418DYH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    372481 | PA      | $328215.08    | 0.00%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1594                      | CUSIP: 31427NXY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5137355 | PA      | $5239268.88   | 0.03%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4372                      | CUSIP: 3140XK2E9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11231072 | PA      | $9293293.36   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08796                      | CUSIP: 3128MJ3E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    783530 | PA      | $736500.82    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9135                      | CUSIP: 3140QVEH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4301718 | PA      | $4439657.14   | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5694                      | CUSIP: 3132DTKF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6486916 | PA      | $6786926.32   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0867                      | CUSIP: 3138EG6D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3418 | PA      | $3403.57      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7937                      | CUSIP: 36179WZA9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17115374 | PA      | $15451862.67  | 0.10%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9229                      | CUSIP: 3138ERHF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    322979 | PA      | $320043.79    | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 12/25                 | CUSIP: 01F0226C4<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2400000 | PA      | $-2042625.12  | -0.01%            | 2025-12-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK4740                      | CUSIP: 3140HJHS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    390726 | PA      | $377868.87    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08818                      | CUSIP: 3128MJ4C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1426322 | PA      | $1422132.47   | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5023                      | CUSIP: 31418ESM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2900258 | PA      | $2870506.29   | 0.02%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1839                      | CUSIP: 36179QBG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    201089 | PA      | $195885.39    | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4801                        | CUSIP: 36202FKN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    732109 | PA      | $734419.64    | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256939                      | CUSIP: 31371NLU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2198 | PA      | $2394.20      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4742                      | CUSIP: 3138M8HU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    295165 | PA      | $291522.97    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN5342                      | CUSIP: 3140JM5C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2951589 | PA      | $2852619.29   | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1374                      | CUSIP: 3140XGQ44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6367925 | PA      | $5659147.88   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4654                      | CUSIP: 31418EE48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3484764 | PA      | $3233667.48   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1669                      | CUSIP: 31427N2B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9220698 | PA      | $9580147.89   | 0.06%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5437                      | CUSIP: 3138ENBF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    337448 | PA      | $345537.62    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5090                      | CUSIP: 3133KYUP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2539393 | PA      | $2243569.12   | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9203                      | CUSIP: 36178WGL7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    780126 | PA      | $722505.12    | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6684                      | CUSIP: 36179VM98<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    165365 | PA      | $161260.11    | 0.00%             | 2035-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6040                      | CUSIP: 36179UV90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    985275 | PA      | $948989.87    | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16505                      | CUSIP: 3128MFNW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    513239 | PA      | $507729.45    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0933                      | CUSIP: 36179NBA5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2732443 | PA      | $2539876.16   | 0.02%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3058                      | CUSIP: 31418CMG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1423332 | PA      | $1379609.29   | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q21319                      | CUSIP: 3132JNPC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1254529 | PA      | $1193396.53   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1059                      | CUSIP: 31418AE95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    353624 | PA      | $349546.77    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8073                      | CUSIP: 3132D56J6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2691816 | PA      | $2447559.66   | 0.02%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 787109                      | CUSIP: 3622ACYE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2578561 | PA      | $2712690.78   | 0.02%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4856                      | CUSIP: 3140J9ME8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    401293 | PA      | $392225.98    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7795                      | CUSIP: 3133KPUU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4587854 | PA      | $4618257.04   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA2226                      | CUSIP: 31334YPK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182041 | PA      | $166519.61    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256803                      | CUSIP: 31371NGL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1225 | PA      | $1236.30      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03202                      | CUSIP: 3128M43K7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12490 | PA      | $13011.47     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0361                      | CUSIP: 3132CWMJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1316930 | PA      | $1280122.94   | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6760                      | CUSIP: 3132DUQM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6832217 | PA      | $6896708.59   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3805                      | CUSIP: 36179SGN1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    191800 | PA      | $192057.94    | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0543                      | CUSIP: 3138EGS96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199262 | PA      | $204162.15    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0291                      | CUSIP: 31427MKD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7700373 | PA      | $7928042.07   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0149                      | CUSIP: 3140XFEX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1051702 | PA      | $954627.03    | 0.01%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93095                      | CUSIP: 312941NL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168725 | PA      | $170130.12    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V81760                      | CUSIP: 3132L65V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26533 | PA      | $25936.42     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4322                      | CUSIP: 36179SYT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1157553 | PA      | $1123966.25   | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5272                      | CUSIP: 31418E2E9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11040528 | PA      | $11307899.05  | 0.07%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6061                      | CUSIP: 3140X9WX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456298 | PA      | $379850.82    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8745                      | CUSIP: 3140XCWF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22870901 | PA      | $19479279.12  | 0.12%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4563                      | CUSIP: 31418EB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16427825 | PA      | $14022009.20  | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7253                      | CUSIP: 36179WBW7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2231494 | PA      | $1782211.42   | 0.01%             | 2051-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1701                      | CUSIP: 31427N3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10331043 | PA      | $10500895.59  | 0.06%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3245                      | CUSIP: 3140XJTB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1847623 | PA      | $1886082.61   | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1507                      | CUSIP: 3132DNU84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  38343126 | PA      | $31451915.01  | 0.19%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY8862                      | CUSIP: 3138YNZ42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62192 | PA      | $60677.57     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8057                      | CUSIP: 3132DV5S0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    509305 | PA      | $476267.66    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 931801                      | CUSIP: 31412QGJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10452 | PA      | $10697.67     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8238                      | CUSIP: 3132DWEK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20148730 | PA      | $19845925.30  | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8328                      | CUSIP: 3132DWHD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11064215 | PA      | $10877191.05  | 0.07%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0405                      | CUSIP: 3132ACNW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1821942 | PA      | $1831468.32   | 0.01%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7705                      | CUSIP: 3140XBR36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1580621 | PA      | $1479077.11   | 0.01%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6542                      | CUSIP: 36179VHT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6494924 | PA      | $6051506.05   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF5841                      | CUSIP: 3133BTP20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2910832 | PA      | $2969150.04   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3734                      | CUSIP: 3138ELEG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10769 | PA      | $11181.10     | 0.00%             | 2043-06-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1235                      | CUSIP: 31427NLR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6571023 | PA      | $6641263.71   | 0.04%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1697                      | CUSIP: 3132DN3E1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    935951 | PA      | $925979.36    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08824                      | CUSIP: 3128MJ4J6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2815819 | PA      | $2726320.47   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190396                      | CUSIP: 31368HNM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    591448 | PA      | $595694.87    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09042                      | CUSIP: 31292SBK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    362653 | PA      | $345066.71    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4574                      | CUSIP: 3132A5CK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120506 | PA      | $121074.85    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08741                      | CUSIP: 3128MJZF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8111102 | PA      | $7371497.14   | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0717                      | CUSIP: 3132ACYN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42854 | PA      | $42297.87     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03507                      | CUSIP: 3128M5GQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10497 | PA      | $11125.40     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6218                      | CUSIP: 36179U4B5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    781449 | PA      | $708549.30    | 0.00%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4226                      | CUSIP: 3140X7VU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26713 | PA      | $23152.22     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3970                      | CUSIP: 3142GUMU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10095713 | PA      | $10517667.69  | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5229                      | CUSIP: 3140XLY36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3252043 | PA      | $3315672.07   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0023                      | CUSIP: 3132CWAY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6123 | PA      | $5965.48      | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8375                      | CUSIP: 3138WJJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210586 | PA      | $205696.20    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0691                      | CUSIP: 3138XBXV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    358093 | PA      | $351496.32    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8594                      | CUSIP: 3132A9RP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8028 | PA      | $7877.54      | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6471                      | CUSIP: 3140QSFM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1793352 | PA      | $1763038.05   | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735989                      | CUSIP: 31402RUN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166933 | PA      | $172567.78    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8351                      | CUSIP: 3132DWH48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2727271 | PA      | $2828823.01   | 0.02%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4306                      | CUSIP: 31418DYC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19219386 | PA      | $16525420.33  | 0.10%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3093                      | CUSIP: 3140X6NK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56671 | PA      | $54806.48     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4262                      | CUSIP: 36179SWX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4032355 | PA      | $3789823.36   | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0892                      | CUSIP: 3132DM7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    374899 | PA      | $311855.52    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2681                      | CUSIP: 3140QM6T6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1860107 | PA      | $1752234.01   | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4541                      | CUSIP: 31418EBK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264278 | PA      | $238329.77    | 0.00%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1921                      | CUSIP: 36179QD24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    193425 | PA      | $193900.55    | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4747                      | CUSIP: 3132A5HY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    764239 | PA      | $717530.14    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0040                      | CUSIP: 3142J6BJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12628528 | PA      | $12792743.45  | 0.08%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2451                      | CUSIP: 3132DPWL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3284239 | PA      | $3470162.31   | 0.02%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783366                      | CUSIP: 36241LW36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    170497 | PA      | $174187.06    | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995515                      | CUSIP: 31416B3Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30422 | PA      | $30640.59     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8574                      | CUSIP: 3132A9Q34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    474751 | PA      | $466524.95    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8045                      | CUSIP: 36179W5E4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4087442 | PA      | $3924457.22   | 0.02%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08721                      | CUSIP: 3128MJYT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2319207 | PA      | $2114254.21   | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2321                      | CUSIP: 3140XHSK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3218229 | PA      | $2759086.59   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2086                      | CUSIP: 3132AEJ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3038720 | PA      | $2848250.79   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60676                      | CUSIP: 31335AXD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    637684 | PA      | $640593.83    | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95796                      | CUSIP: 312944NM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38632 | PA      | $38116.47     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40045                      | CUSIP: 3132FCBN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29708 | PA      | $30420.36     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0584                      | CUSIP: 3140XFUJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146231 | PA      | $121366.40    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3404                      | CUSIP: 3133KJX98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2029504 | PA      | $1690120.63   | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8806                      | CUSIP: 3140XQYC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6869761 | PA      | $7034229.96   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06409                      | CUSIP: 3128M8N26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    330532 | PA      | $350047.07    | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61932                      | CUSIP: 31335CED2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450931 | PA      | $424147.02    | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97046                      | CUSIP: 312945ZK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211167 | PA      | $212911.21    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890789                      | CUSIP: 31410LUN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20645 | PA      | $20180.84     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4818                      | CUSIP: 31418EK82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2450816 | PA      | $2521848.18   | 0.02%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5465                      | CUSIP: 36179UCA8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    275237 | PA      | $257822.53    | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4293                        | CUSIP: 36202EXW4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6910 | PA      | $7375.72      | 0.00%             | 2038-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18717                      | CUSIP: 3128MMYP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    499400 | PA      | $501975.85    | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH2886                      | CUSIP: 3138A4F42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       115 | PA      | $115.13       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0505                      | CUSIP: 31427MR37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7336243 | PA      | $6063590.04   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0898                      | CUSIP: 3140XF7L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3149679 | PA      | $2823713.03   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2444                      | CUSIP: 36179QWD9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    729553 | PA      | $673363.30    | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09000                      | CUSIP: 31292R7M8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    524355 | PA      | $500946.31    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5126                      | CUSIP: 3140QCVU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1130444 | PA      | $1023697.41   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4495                        | CUSIP: 36202E7G8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    330613 | PA      | $331730.49    | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 984281                      | CUSIP: 31415MM69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113188 | PA      | $119892.36    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05645                      | CUSIP: 3128M7TA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    394431 | PA      | $397746.29    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5135                      | CUSIP: 3133KYV48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5818342 | PA      | $5102464.08   | 0.03%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07195                      | CUSIP: 3128M9KG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    539333 | PA      | $543870.85    | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8878                      | CUSIP: 3140QU2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9334069 | PA      | $9734134.16   | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0091                      | CUSIP: 3618N5C56<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29455098 | PA      | $29458503.31  | 0.18%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0264                      | CUSIP: 3140Y6JJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7386702 | PA      | $7634837.30   | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725220                      | CUSIP: 31402CVM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311704 | PA      | $317466.49    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4977                      | CUSIP: 3132DSQ62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20515874 | PA      | $20568484.92  | 0.13%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7408                      | CUSIP: 31417EGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142828 | PA      | $132264.07    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9615                      | CUSIP: 3138WKVH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    527637 | PA      | $526632.62    | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8164                      | CUSIP: 3140XQCA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11032464 | PA      | $11447887.78  | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A86249                      | CUSIP: 3129325J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165987 | PA      | $167385.60    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2486                      | CUSIP: 3140W2XQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6886139 | PA      | $6031641.37   | 0.04%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07942                      | CUSIP: 3128MAEP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62764 | PA      | $63175.18     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01589                      | CUSIP: 31283HXS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70234 | PA      | $71590.41     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8787                      | CUSIP: 3140XCXR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2627884 | PA      | $2267747.42   | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04527                      | CUSIP: 3128M6LG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    299480 | PA      | $312599.76    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 677292                      | CUSIP: 36295QNH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     50732 | PA      | $51830.19     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3278                      | CUSIP: 31418CUC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    356621 | PA      | $355496.60    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9174                      | CUSIP: 36179YFP4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    369040 | PA      | $382188.86    | 0.00%             | 2053-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4000                      | CUSIP: 3142GUNS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9440010 | PA      | $9666013.57   | 0.06%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725205                      | CUSIP: 31402CU67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151092 | PA      | $153861.85    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB0499                      | CUSIP: 3133KTRU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8087939 | PA      | $7128740.75   | 0.04%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5398                      | CUSIP: 36179T7K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6552406 | PA      | $6331572.68   | 0.04%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3032                      | CUSIP: 3132DQLM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5090059 | PA      | $5231008.12   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04334                      | CUSIP: 3128M6EF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     83176 | PA      | $85159.13     | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9487                      | CUSIP: 3138WKRH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    360015 | PA      | $346030.47    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08692                      | CUSIP: 3128MJXW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1326186 | PA      | $1212303.96   | 0.01%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6008                      | CUSIP: 3140QDVA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    652374 | PA      | $609851.47    | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2549                      | CUSIP: 31418BZP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    914851 | PA      | $862939.92    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9240                      | CUSIP: 36179YHR8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21795937 | PA      | $21900624.75  | 0.14%             | 2053-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3918                      | CUSIP: 3140QPK89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    836178 | PA      | $824134.18    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1629                      | CUSIP: 3138X0Y36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3979589 | PA      | $3679606.84   | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1104                      | CUSIP: 3133KGGM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3132709 | PA      | $2840805.11   | 0.02%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3484                      | CUSIP: 3138EK2S3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    748764 | PA      | $754016.73    | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0696                      | CUSIP: 3140XFX22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3932554 | PA      | $3541542.79   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0695                      | CUSIP: 3138XBXZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158669 | PA      | $159593.11    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 487825                      | CUSIP: 36210B4J1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     96730 | PA      | $97010.16     | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AZ0988                      | CUSIP: 36197DCZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    460845 | PA      | $428518.38    | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701603                      | CUSIP: 36296UNU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     46702 | PA      | $47689.02     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96815                      | CUSIP: 312945SC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4342 | PA      | $4282.21      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3566                      | CUSIP: 3140X66C0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    955020 | PA      | $926279.70    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3781                      | CUSIP: 3138A5FX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159393 | PA      | $157004.62    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8492                      | CUSIP: 3132DWNH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8793305 | PA      | $8780131.71   | 0.05%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786630                      | CUSIP: 3622ACHF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2630721 | PA      | $2700868.24   | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2493                      | CUSIP: 31329KXW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    990257 | PA      | $940071.67    | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5907                      | CUSIP: 3140X9R56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    458028 | PA      | $426809.47    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3170                      | CUSIP: 3140QNQY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6184388 | PA      | $5496039.19   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2602                      | CUSIP: 36179Q3K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    595760 | PA      | $579833.69    | 0.00%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7559                      | CUSIP: 3140XBMH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1322537 | PA      | $1169751.88   | 0.01%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3996                      | CUSIP: 3132E0NM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2014328 | PA      | $2094582.37   | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0317                      | CUSIP: 36179MK66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1871488 | PA      | $1742861.30   | 0.01%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4796                      | CUSIP: 31418EKJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1255087 | PA      | $1225064.43   | 0.01%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE7993                      | CUSIP: 3133BH3A2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    773490 | PA      | $742478.51    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0028                      | CUSIP: 3142J6A60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10355193 | PA      | $10601921.83  | 0.07%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BZ5517                      | CUSIP: 3617U1DW9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    114421 | PA      | $98721.20     | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 620472                      | CUSIP: 36290XJR2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     61223 | PA      | $61426.24     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6999                      | CUSIP: 3140XAX56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7099583 | PA      | $6642307.71   | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C92004                      | CUSIP: 3128P8GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1070207 | PA      | $1060878.07   | 0.01%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3752                      | CUSIP: 3140QPE29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11030015 | PA      | $10266262.26  | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2.5 12/25                 | CUSIP: 21H0226C0<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -1600000 | PA      | $-1388750.08  | -0.01%            | 2025-12-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4095                      | CUSIP: 31418DRR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3289203 | PA      | $3071182.79   | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0568                      | CUSIP: 3132DMTZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5937341 | PA      | $4907361.75   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BC8968                      | CUSIP: 3617BC6D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    593839 | PA      | $589309.33    | 0.00%             | 2047-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3376                      | CUSIP: 36179RXD6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2834841 | PA      | $2667879.00   | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1202                      | CUSIP: 3132DNKP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3547288 | PA      | $3307204.98   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1679                      | CUSIP: 36179N2L1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    458035 | PA      | $459119.60    | 0.00%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5175                        | CUSIP: 36202FXC5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    693840 | PA      | $695907.55    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO3659                      | CUSIP: 3138LUB53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173050 | PA      | $165025.45    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1194                      | CUSIP: 31427NKG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14189384 | PA      | $14552522.02  | 0.09%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ9190                      | CUSIP: 3140KVF88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3945436 | PA      | $3284427.91   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2959                      | CUSIP: 3138LTJD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194774 | PA      | $191200.96    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8800                      | CUSIP: 3140XCX60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2628587 | PA      | $2362300.11   | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3915                      | CUSIP: 3132E0K43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5891241 | PA      | $6122278.57   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6820                      | CUSIP: 3133KNSH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18229848 | PA      | $15016157.54  | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8585                      | CUSIP: 3140XCRF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5327601 | PA      | $5000323.17   | 0.03%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9511                      | CUSIP: 3133AUR83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1349105 | PA      | $1120550.21   | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5667                      | CUSIP: 3140X9JM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3267937 | PA      | $3113529.46   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08688                      | CUSIP: 3128MJXS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    763882 | PA      | $745332.23    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5956                      | CUSIP: 3140X9TN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69221 | PA      | $67008.48     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93337                      | CUSIP: 312941V61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     83840 | PA      | $84538.78     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3956                      | CUSIP: 3140QBME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    716075 | PA      | $670743.22    | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5764                      | CUSIP: 3133KMMM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15434873 | PA      | $12709077.42  | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH5768                      | CUSIP: 3140GUMS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59915 | PA      | $59745.26     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00730                      | CUSIP: 31292GY34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       653 | PA      | $668.69       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5111                      | CUSIP: 3140XLVD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3727649 | PA      | $3825047.09   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01644                      | CUSIP: 31283HZH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150594 | PA      | $156057.33    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18571                      | CUSIP: 3128MMT52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    346782 | PA      | $337922.18    | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8183                      | CUSIP: 3132DWCU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18439466 | PA      | $15802959.69  | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3798                      | CUSIP: 31418DGG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142295 | PA      | $138718.01    | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4996                      | CUSIP: 3140X8RS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5802163 | PA      | $4824644.45   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q53751                      | CUSIP: 3132XWEZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1577776 | PA      | $1483074.68   | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8178                      | CUSIP: 3132DWCP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21899550 | PA      | $18768315.18  | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8462                      | CUSIP: 3132DWMK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21056647 | PA      | $21330456.80  | 0.13%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1836                      | CUSIP: 3140XHBE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5940276 | PA      | $5142902.54   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4962                      | CUSIP: 36179TQP3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4348317 | PA      | $4073192.46   | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2879                      | CUSIP: 3140X6FV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    122212 | PA      | $120196.40    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08473                      | CUSIP: 3128MJQ37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1654635 | PA      | $1583371.54   | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5731                      | CUSIP: 3133KMLL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18208127 | PA      | $15026715.60  | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q41208                      | CUSIP: 3132WEKW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    434795 | PA      | $410056.63    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5724                      | CUSIP: 3138LWLE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63179 | PA      | $62282.84     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3333                      | CUSIP: 31418CV35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2923809 | PA      | $2830339.32   | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37159                      | CUSIP: 31297S5U5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9738 | PA      | $9950.70      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0600                      | CUSIP: 3132D9UZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8122298 | PA      | $7333613.49   | 0.05%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2683                      | CUSIP: 3138EJ6V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23969 | PA      | $23899.14     | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4181                      | CUSIP: 31418DUF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16501822 | PA      | $12858307.33  | 0.08%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5664                      | CUSIP: 3140X9JJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161905 | PA      | $152938.50    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1106                      | CUSIP: 31418AGQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144180 | PA      | $140656.89    | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5837                      | CUSIP: 3138WFPX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73876 | PA      | $72154.46     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1282                      | CUSIP: 3140XGM89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    598840 | PA      | $577424.36    | 0.00%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8062                      | CUSIP: 3132DV5X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4325519 | PA      | $3887325.26   | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DA1520                      | CUSIP: 3140A1VN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2584510 | PA      | $2655096.01   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9328                      | CUSIP: 3138MRLJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    330824 | PA      | $315288.42    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8140                      | CUSIP: 3132D6BH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5109217 | PA      | $4608881.88   | 0.03%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745412                      | CUSIP: 31403DDR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    303425 | PA      | $314380.99    | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3415                      | CUSIP: 31418CYM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2968485 | PA      | $2870803.82   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783276                      | CUSIP: 36241LT97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    290910 | PA      | $291689.78    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5585                      | CUSIP: 31418FF36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4636374 | PA      | $4629427.91   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4847                      | CUSIP: 31418EL57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1659773 | PA      | $1707877.99   | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1090                      | CUSIP: 36179NF78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    572410 | PA      | $544319.07    | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2827                      | CUSIP: 36179RD89<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    459934 | PA      | $447299.53    | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17774                      | CUSIP: 3128PXT71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108131 | PA      | $107405.82    | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5017                        | CUSIP: 36202FSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1971837 | PA      | $1977886.95   | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4894                      | CUSIP: 31418ENL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9501725 | PA      | $9770431.08   | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00834                      | CUSIP: 31292G4T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2326 | PA      | $2381.86      | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61771                      | CUSIP: 31335B6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149166 | PA      | $150407.09    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5388                      | CUSIP: 31418E7A2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9479275 | PA      | $9611425.63   | 0.06%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3377                      | CUSIP: 36179RXE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    468509 | PA      | $454983.92    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5620                      | CUSIP: 3133KMG58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2912977 | PA      | $2416751.67   | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8370                      | CUSIP: 3132D6JP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3395589 | PA      | $3397159.93   | 0.02%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3802                      | CUSIP: 36179SGK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2739904 | PA      | $2509991.56   | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18663                      | CUSIP: 3128MMWZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    216896 | PA      | $212013.41    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6223                      | CUSIP: 3138EN4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    412300 | PA      | $414471.69    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4416                      | CUSIP: 31418D4A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1419349 | PA      | $1323730.55   | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9289                      | CUSIP: 3140QHKB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2752536 | PA      | $2344350.98   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4325                      | CUSIP: 31418DYX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  50109028 | PA      | $41103193.13  | 0.25%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8474                      | CUSIP: 3132DWMX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28360098 | PA      | $28326474.63  | 0.17%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6633                      | CUSIP: 3140XALP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    621408 | PA      | $636150.96    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4269                        | CUSIP: 36202EW62<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     91247 | PA      | $97159.06     | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783314                      | CUSIP: 36241LVF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     36490 | PA      | $37267.35     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995203                      | CUSIP: 31416BRY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    525524 | PA      | $535535.62    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8268                      | CUSIP: 3132DWFH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8787965 | PA      | $8965402.87   | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8533                      | CUSIP: 3132DWPS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7930738 | PA      | $8033865.48   | 0.05%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 6.5 12/25                 | CUSIP: 21H0626C6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3091640.70   | 0.02%             | 2025-12-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4571                      | CUSIP: 31418ECH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1601241 | PA      | $1443615.54   | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0223                      | CUSIP: 3140XFG96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    418036 | PA      | $405699.03    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 938805                      | CUSIP: 31412YNW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3824 | PA      | $4024.33      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8130                      | CUSIP: 3140XQA80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3725153 | PA      | $3816665.11   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4609                      | CUSIP: 31417BDP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    367514 | PA      | $360831.13    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2 12/25                   | CUSIP: 01F0206C8<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -5000000 | PA      | $-4070312.50  | -0.03%            | 2025-12-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0007                      | CUSIP: 36179MAG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    118444 | PA      | $117478.51    | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6527                      | CUSIP: 3138WGHD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    322718 | PA      | $314519.38    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM0903                      | CUSIP: 3131XUAC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1194544 | PA      | $1169047.94   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC1591                      | CUSIP: 31417KXV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30782 | PA      | $32075.17     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4831                      | CUSIP: 3140QQLM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2414801 | PA      | $2377755.83   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0654                      | CUSIP: 3140XFWQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3507702 | PA      | $3054395.92   | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786757                      | CUSIP: 3622ACME7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3809555 | PA      | $3909945.12   | 0.02%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2542                      | CUSIP: 31418BZG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241058 | PA      | $220103.28    | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4030                      | CUSIP: 3140QPPQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8939776 | PA      | $8833361.33   | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6659                      | CUSIP: 3140XNMH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2329967 | PA      | $2391790.02   | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 4.5 12/25                 | CUSIP: 01F0424C4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12740000 | PA      | $12742986.26  | 0.08%             | 2025-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7563                      | CUSIP: 3132DVML6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9636954 | PA      | $9570425.11   | 0.06%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1937                      | CUSIP: 3138AFEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    536332 | PA      | $549468.48    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4805                        | CUSIP: 36202FKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6060 | PA      | $6400.85      | 0.00%             | 2040-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02699                      | CUSIP: 3128M4KL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46164 | PA      | $48854.40     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8455                      | CUSIP: 3132DWMC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25840281 | PA      | $26735842.99  | 0.17%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14197                      | CUSIP: 3128MC3E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16371 | PA      | $16317.01     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4237                      | CUSIP: 31418DV74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15784475 | PA      | $12967343.83  | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7512                      | CUSIP: 3132DVKZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1667324 | PA      | $1510400.35   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3378                      | CUSIP: 36179RXF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    159077 | PA      | $159553.10    | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0409                      | CUSIP: 3138EGN34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34572 | PA      | $34054.48     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0558                      | CUSIP: 3618N5TQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10243607 | PA      | $10578780.58  | 0.07%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6832                      | CUSIP: 31419HSW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2077 | PA      | $2162.34      | 0.00%             | 2040-11-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6020                      | CUSIP: 3132DTVM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5557598 | PA      | $5766867.43   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9469                      | CUSIP: 3138ERQX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    278267 | PA      | $273385.08    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4828                      | CUSIP: 3140X8LJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5471787 | PA      | $4867541.25   | 0.03%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9816                      | CUSIP: 3140XD4A1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1417198 | PA      | $1345914.47   | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3726                      | CUSIP: 3133KKD71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14985159 | PA      | $12207662.62  | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4635                      | CUSIP: 3140X8EH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    521947 | PA      | $431076.04    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1472                      | CUSIP: 3140X4T63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    350605 | PA      | $346819.93    | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9905                      | CUSIP: 36180AAE3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12682534 | PA      | $12687963.83  | 0.08%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5991                      | CUSIP: 3138WTUR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53421 | PA      | $49254.15     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5131                      | CUSIP: 3133KYVY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4188222 | PA      | $3674461.69   | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18531                      | CUSIP: 3128MMSV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128640 | PA      | $126718.09    | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5019                      | CUSIP: 36179TSG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1564178 | PA      | $1465210.07   | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW1845                      | CUSIP: 3140MTBP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    881369 | PA      | $884255.15    | 0.01%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6400                      | CUSIP: 3132DUDD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2345016 | PA      | $2482165.37   | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8025                      | CUSIP: 3140QF4K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1510757 | PA      | $1289080.80   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE4624                      | CUSIP: 31419FD60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14177 | PA      | $13965.68     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4785                      | CUSIP: 3132A5J63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17621 | PA      | $17041.49     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08046                      | CUSIP: 3128MJBQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    379718 | PA      | $394338.86    | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4215                      | CUSIP: 3133KKVG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63497 | PA      | $52124.30     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8064                      | CUSIP: 3132DV5Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    690671 | PA      | $665785.70    | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC6418                      | CUSIP: 3133ARDX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2096087 | PA      | $1808830.65   | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6846                      | CUSIP: 3132DUTB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3413221 | PA      | $3558980.71   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4652                      | CUSIP: 3142GVE23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13400507 | PA      | $13748062.62  | 0.08%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL2509                      | CUSIP: 31427PYF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8633108 | PA      | $8919066.97   | 0.06%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4344                      | CUSIP: 3132E0ZH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3376138 | PA      | $3505279.70   | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4479                      | CUSIP: 3138LU6R1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62036 | PA      | $60917.72     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1441                      | CUSIP: 3138ASS78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49890 | PA      | $49660.46     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995838                      | CUSIP: 31416CHP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73785 | PA      | $76820.01     | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1947                      | CUSIP: 3140J6EV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1162168 | PA      | $1226736.27   | 0.01%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW1004                      | CUSIP: 3138XQDJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277053 | PA      | $262805.49    | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC6037                      | CUSIP: 3140F1V74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    118989 | PA      | $112088.25    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3182                      | CUSIP: 31418CRC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    896581 | PA      | $842344.16    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9279                      | CUSIP: 3140GYJZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    324047 | PA      | $324443.10    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5032                      | CUSIP: 3133KYSV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1249521 | PA      | $1141645.22   | 0.01%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO6382                      | CUSIP: 3138LXCU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    430808 | PA      | $412335.61    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0391                      | CUSIP: 36179MNG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2532636 | PA      | $2358210.54   | 0.01%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9851                      | CUSIP: 3138AP5M6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    393721 | PA      | $396306.23    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1724                      | CUSIP: 3140X44J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3157083 | PA      | $2843176.84   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q43259                      | CUSIP: 3132WGTR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    230378 | PA      | $217270.57    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08637                      | CUSIP: 3128MJV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    271824 | PA      | $265942.21    | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8650                      | CUSIP: 36179XTF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    610029 | PA      | $630942.07    | 0.00%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1838                      | CUSIP: 36179QBF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    185057 | PA      | $175501.20    | 0.00%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93511                      | CUSIP: 3129413U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241401 | PA      | $247532.75    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 699759                      | CUSIP: 31400WMG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1017 | PA      | $1045.83      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0208                      | CUSIP: 3138EGGS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197937 | PA      | $199291.59    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4493                      | CUSIP: 3132E07E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7933438 | PA      | $8239606.58   | 0.05%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3394                      | CUSIP: 3138A4XY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    583418 | PA      | $574751.29    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06224                      | CUSIP: 3128M8G99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177768 | PA      | $170735.31    | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0024                      | CUSIP: 3618N5A25<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  33663049 | PA      | $32985256.68  | 0.20%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7683                      | CUSIP: 3140XPRD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1042204 | PA      | $1066177.88   | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1449                      | CUSIP: 36179NTE8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    612770 | PA      | $597475.23    | 0.00%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08823                      | CUSIP: 3128MJ4H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    763896 | PA      | $717568.11    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0657                      | CUSIP: 3132ACWS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1053962 | PA      | $1115617.50   | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BU1104                      | CUSIP: 3140M2GN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3815722 | PA      | $3174061.34   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3505                      | CUSIP: 3140QN3P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8028911 | PA      | $7455400.96   | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2664                      | CUSIP: 3142GS6A1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2563620 | PA      | $2566989.29   | 0.02%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8265                      | CUSIP: 3132D6FE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    840193 | PA      | $852075.10    | 0.01%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4386                      | CUSIP: 31418D2U5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5614013 | PA      | $4780402.96   | 0.03%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781496                      | CUSIP: 36225BUV8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     21247 | PA      | $22173.86     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4205                      | CUSIP: 31418DU75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8821025 | PA      | $7995791.57   | 0.05%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3870                      | CUSIP: 31418DJQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3890536 | PA      | $3358576.14   | 0.02%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5990                      | CUSIP: 3138WTUQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    122985 | PA      | $113639.20    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5216                      | CUSIP: 31418EYN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9478280 | PA      | $9725588.67   | 0.06%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 5.5 12/25                 | CUSIP: 01F0524C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16000000 | PA      | $16380000.00  | 0.10%             | 2025-12-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3657                      | CUSIP: 31418DB35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    654385 | PA      | $638344.68    | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725232                      | CUSIP: 31402CVZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    291528 | PA      | $296872.73    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2310                      | CUSIP: 3132DPR75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4569939 | PA      | $4760583.85   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5215                      | CUSIP: 31418EYM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4147924 | PA      | $4210934.91   | 0.03%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2679                      | CUSIP: 36179Q6Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1778594 | PA      | $1731035.75   | 0.01%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783382                      | CUSIP: 36241LXK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    110957 | PA      | $111253.93    | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE5069                      | CUSIP: 3140FQT31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    359771 | PA      | $329358.56    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08615                      | CUSIP: 3128MJVH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1223894 | PA      | $1159145.74   | 0.01%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8570                      | CUSIP: 3132A9QX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162559 | PA      | $159742.31    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4292                        | CUSIP: 36202EXV6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14446 | PA      | $15382.69     | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9489                      | CUSIP: 36179YRJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10542158 | PA      | $10790869.89  | 0.07%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7535                      | CUSIP: 3132DVLQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18342967 | PA      | $15943813.30  | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4647                      | CUSIP: 3132A5EU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247174 | PA      | $233148.15    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV5979                      | CUSIP: 3138XHUD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    706750 | PA      | $693001.90    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9603                      | CUSIP: 36179YU44<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4681922 | PA      | $4587287.28   | 0.03%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00765                      | CUSIP: 31292GZ66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1149 | PA      | $1204.33      | 0.00%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8115                      | CUSIP: 3132DWAQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1220114 | PA      | $1095748.37   | 0.01%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8514                      | CUSIP: 3132DWN74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3535715 | PA      | $3530417.81   | 0.02%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5018                      | CUSIP: 36179TSF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    878907 | PA      | $801859.66    | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9606                      | CUSIP: 3140XRU86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8170075 | PA      | $7965059.21   | 0.05%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08791                      | CUSIP: 3128MJ2Z2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    316452 | PA      | $287497.63    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6529                      | CUSIP: 3140QSHF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5703571 | PA      | $5836555.58   | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7631                      | CUSIP: 3140QTPR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6995462 | PA      | $7349712.70   | 0.05%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8302                      | CUSIP: 3140XCGL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17694 | PA      | $17078.18     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund | Vanguard Market Liquidity Fund | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78 | Long             | STIV             | CORP              | US        |   4966055 | NS      | $496605515.20 | 3.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6411                      | CUSIP: 36179VDQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3406222 | PA      | $3287166.01   | 0.02%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2314                      | CUSIP: 3132DPSB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2190432 | PA      | $2235343.34   | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5118                      | CUSIP: 3133KYVK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6030474 | PA      | $5302774.88   | 0.03%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5157                      | CUSIP: 3138EMWT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44524 | PA      | $43858.14     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI3417                      | CUSIP: 3138AGYP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4018 | PA      | $4196.57      | 0.00%             | 2041-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QO1222                      | CUSIP: 3133WKLB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    659510 | PA      | $652744.71    | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9171                      | CUSIP: 36179YFL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22863661 | PA      | $23221457.06  | 0.14%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9125                      | CUSIP: 3138ERD72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46015 | PA      | $45155.14     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ9232                      | CUSIP: 3140E2HJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294945 | PA      | $289637.73    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3595                      | CUSIP: 36179R7G8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    245723 | PA      | $218015.22    | 0.00%             | 2046-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4155                      | CUSIP: 3132E0TL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  59906161 | PA      | $48802565.72  | 0.30%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01883                      | CUSIP: 3128LXCU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90335 | PA      | $92329.74     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9553                      | CUSIP: 3133AUTJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5502447 | PA      | $4561666.98   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3834                      | CUSIP: 3140X7HL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7433444 | PA      | $7396064.58   | 0.05%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q16616                      | CUSIP: 3132J7YN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    910058 | PA      | $845860.46    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6750                      | CUSIP: 3140QSQC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3620510 | PA      | $3682297.74   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2841                      | CUSIP: 31418CEP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    697939 | PA      | $650806.66    | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5264                      | CUSIP: 3133KYZ51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2158158 | PA      | $2207803.67   | 0.01%             | 2043-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14120                      | CUSIP: 3128MCYR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10618 | PA      | $10600.35     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2871                      | CUSIP: 31418CFM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9517 | PA      | $9312.00      | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8133                      | CUSIP: 3132DWBA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13002252 | PA      | $10098917.83  | 0.06%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4714                      | CUSIP: 3140X8GY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2117914 | PA      | $1840902.70   | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5368                      | CUSIP: 3132DS6D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24862235 | PA      | $21175309.38  | 0.13%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4600                      | CUSIP: 31418EDE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31033043 | PA      | $28816333.87  | 0.18%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08573                      | CUSIP: 3128MJT75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181949 | PA      | $178368.10    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0578                      | CUSIP: 3138EGUC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4744 | PA      | $4726.36      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08792                      | CUSIP: 3128MJ3A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1797306 | PA      | $1689427.55   | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0154                      | CUSIP: 36179ME30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1968253 | PA      | $1876093.36   | 0.01%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6997                      | CUSIP: 3138EPX33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1214076 | PA      | $1222592.31   | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BU5917                      | CUSIP: 3140M7SF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8759886 | PA      | $7589506.45   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0942                      | CUSIP: 3132DNBK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2013420 | PA      | $1746301.30   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08786                      | CUSIP: 3128MJ2U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172521 | PA      | $172229.48    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 12/25                   | CUSIP: 01F0506C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21180000 | PA      | $21140287.50  | 0.13%             | 2025-12-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9909                      | CUSIP: 36180AAJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2983252 | PA      | $3078124.12   | 0.02%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735402                      | CUSIP: 31402RAB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563237 | PA      | $574629.01    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6981                      | CUSIP: 3140QEXK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6129345 | PA      | $5096704.82   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5129                      | CUSIP: 3140XLVX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31736709 | PA      | $27407212.43  | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4761                      | CUSIP: 31418EJF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9703142 | PA      | $9755315.25   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK7766                      | CUSIP: 3138ECTY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    441196 | PA      | $436496.74    | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8233                      | CUSIP: 3132D6EE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298545 | PA      | $299336.55    | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4080                      | CUSIP: 3132E0Q96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3034838 | PA      | $3082837.33   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3978                      | CUSIP: 3140X7M48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1055919 | PA      | $1015563.56   | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7645                      | CUSIP: 3140QFP78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12995861 | PA      | $11768670.81  | 0.07%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0000                      | CUSIP: 31326SAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1235578 | PA      | $1103844.89   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1016                      | CUSIP: 31418ADW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25514 | PA      | $25060.42     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4965                      | CUSIP: 3140XLQT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1700592 | PA      | $1785092.46   | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2446                      | CUSIP: 36179QWF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    824751 | PA      | $802603.15    | 0.00%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735496                      | CUSIP: 31402RC98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4358 | PA      | $4637.63      | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4955                      | CUSIP: 3140XLQH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3079471 | PA      | $3091216.85   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1028                      | CUSIP: 3140X4EA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    353448 | PA      | $331514.94    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0547                      | CUSIP: 3140XFTD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317326 | PA      | $273838.39    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4278                      | CUSIP: 31418DXG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4030504 | PA      | $3653437.83   | 0.02%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0105                      | CUSIP: 3132CWDJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157644 | PA      | $150502.55    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FP0051                      | CUSIP: 3140XTBV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11183742 | PA      | $9240149.66   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8107                      | CUSIP: 3132DWAG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5321034 | PA      | $4578514.41   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0205                      | CUSIP: 3618N5GP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15088964 | PA      | $15246110.91  | 0.09%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4626                      | CUSIP: 31418ED80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21534538 | PA      | $20622016.00  | 0.13%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0258                      | CUSIP: 3618N5JC4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6554271 | PA      | $6555029.04   | 0.04%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5876                      | CUSIP: 36179UQ54<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    455679 | PA      | $439751.69    | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8570                      | CUSIP: 36179XQX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10080622 | PA      | $10250975.78  | 0.06%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3360                      | CUSIP: 3140XJWW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4360771 | PA      | $4473348.19   | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5232                        | CUSIP: 36202FY59<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    313277 | PA      | $299056.19    | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3.5 12/25                 | CUSIP: 01F0326C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23720000 | PA      | $21941000.00  | 0.14%             | 2025-12-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254766                      | CUSIP: 31371K6B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    288928 | PA      | $293948.58    | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9727                      | CUSIP: 36179YYY4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8270842 | PA      | $8540820.96   | 0.05%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0425                      | CUSIP: 3618N5PK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26884243 | PA      | $27434485.60  | 0.17%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4769                      | CUSIP: 3132A5JN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    307080 | PA      | $297262.67    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6038                      | CUSIP: 3140X9V85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3690378 | PA      | $3532004.09   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781830                      | CUSIP: 36241KA73<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    120964 | PA      | $123014.35    | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5133                      | CUSIP: 3140X8V38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4746379 | PA      | $4632286.14   | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92269                      | CUSIP: 312940QW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28361 | PA      | $28597.75     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0221                      | CUSIP: 36179MG61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    228707 | PA      | $223500.31    | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6709                      | CUSIP: 3133KNN25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6852567 | PA      | $5913462.45   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0056                      | CUSIP: 3142J6B28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9947004 | PA      | $10076349.41  | 0.06%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08650                      | CUSIP: 3128MJWL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1292257 | PA      | $1221185.70   | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5775                      | CUSIP: 3140XMMZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2428090 | PA      | $2513448.42   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3938                      | CUSIP: 31418DLU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    758075 | PA      | $730761.08    | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV2634                      | CUSIP: 3140MF4U4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79472 | PA      | $76186.36     | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3217                      | CUSIP: 31418CSF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92565 | PA      | $89206.68     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7706                      | CUSIP: 36179WR34<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15667669 | PA      | $14142418.72  | 0.09%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03805                      | CUSIP: 31292LGN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    730529 | PA      | $700288.11    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1527                      | CUSIP: 3142GRVV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10580703 | PA      | $10876615.88  | 0.07%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555880                      | CUSIP: 31385XQ91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109875 | PA      | $113620.71    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4937                      | CUSIP: 31417BPX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    457105 | PA      | $436746.44    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01665                      | CUSIP: 31283HZ65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169751 | PA      | $176077.48    | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7226                      | CUSIP: 3140XBA42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1072785 | PA      | $1039159.95   | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9407                      | CUSIP: 3138ERNZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27096 | PA      | $27285.45     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786642                      | CUSIP: 3622ACHT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4628092 | PA      | $4784644.56   | 0.03%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8217                      | CUSIP: 3132D6DW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1980173 | PA      | $2012509.46   | 0.01%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8925                      | CUSIP: 31417F4K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    227437 | PA      | $211170.80    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9071                      | CUSIP: 3133KRCG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2407557 | PA      | $2491441.89   | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00078                      | CUSIP: 3132GDCP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     37039 | PA      | $37345.80     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08882                      | CUSIP: 3128MJ6U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1029755 | PA      | $995737.75    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14813                      | CUSIP: 3128MDSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56867 | PA      | $56315.33     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8512                      | CUSIP: 3132D6N55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11029545 | PA      | $10239871.91  | 0.06%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7569                      | CUSIP: 3132DVMS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7226284 | PA      | $7521535.07   | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3934                      | CUSIP: 3138WDLQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167217 | PA      | $164587.84    | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX0833                      | CUSIP: 3138Y14T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    420676 | PA      | $398607.19    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8805                      | CUSIP: 3138ETYB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    432793 | PA      | $410239.72    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8136                      | CUSIP: 3132D6BD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8004196 | PA      | $7220361.17   | 0.04%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6820                      | CUSIP: 36179VSH4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7862250 | PA      | $7111600.25   | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8188                      | CUSIP: 3132DWCZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29608631 | PA      | $24240962.26  | 0.15%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08702                      | CUSIP: 3128MJX88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    977675 | PA      | $922047.88    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4777                      | CUSIP: 36179TJW6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    932523 | PA      | $851941.16    | 0.01%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07239                      | CUSIP: 3128M9LU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    501415 | PA      | $467854.49    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745311                      | CUSIP: 3620C1AL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    181083 | PA      | $176884.65    | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM0913                      | CUSIP: 3131XUAN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1114486 | PA      | $1090699.21   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7138                      | CUSIP: 36179V4X5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2022978 | PA      | $1882970.16   | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890755                      | CUSIP: 31410LTL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153341 | PA      | $147058.14    | 0.00%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1859                      | CUSIP: 3132AEB47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3008206 | PA      | $3070443.79   | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783353                      | CUSIP: 36241LWN2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     55757 | PA      | $56950.69     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3429                      | CUSIP: 3138EKY33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    300045 | PA      | $302126.86    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK0909                      | CUSIP: 3140HEAK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    278078 | PA      | $268927.93    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2134                      | CUSIP: 3140XHLQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5592221 | PA      | $5217231.68   | 0.03%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6913                      | CUSIP: 3140XAVF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1527754 | PA      | $1439155.16   | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4398                      | CUSIP: 31418D3G5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29846587 | PA      | $24482414.91  | 0.15%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07589                      | CUSIP: 3128M9XS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55665 | PA      | $58026.82     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3775                      | CUSIP: 3132E0FQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13043147 | PA      | $13249437.56  | 0.08%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08715                      | CUSIP: 3128MJYM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3343641 | PA      | $3048157.11   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4777                      | CUSIP: 3132A5JW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    390436 | PA      | $366328.94    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7948                      | CUSIP: 3133KPZM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4832725 | PA      | $4933322.64   | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95257                      | CUSIP: 312943ZW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     99065 | PA      | $95187.75     | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9409                      | CUSIP: 3140QHN35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4839649 | PA      | $4270195.64   | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1223                      | CUSIP: 36179NLC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1262762 | PA      | $1171996.68   | 0.01%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7118                      | CUSIP: 3138EP4C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1050200 | PA      | $1029443.04   | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6631                      | CUSIP: 3140KELM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3498818 | PA      | $2909355.25   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1762                      | CUSIP: 36179N5X2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    924559 | PA      | $926749.39    | 0.01%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3778                      | CUSIP: 3140X7FU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1007972 | PA      | $872985.46    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AQ6652                      | CUSIP: 36189XL93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    390901 | PA      | $364702.48    | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8487                      | CUSIP: 36179XNC6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2544179 | PA      | $2357167.52   | 0.01%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67715                      | CUSIP: 3132XCSC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3880630 | PA      | $3889845.95   | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5497                      | CUSIP: 31418FDB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8335318 | PA      | $8443706.45   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1840                      | CUSIP: 36179QBH3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    481778 | PA      | $482941.06    | 0.00%             | 2044-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QJ3250                      | CUSIP: 3133CTTF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3339660 | PA      | $3465318.98   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781988                      | CUSIP: 36241KF52<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     93268 | PA      | $95025.16     | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3731                      | CUSIP: 31418DED0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182132 | PA      | $185387.84    | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8068                      | CUSIP: 3132D56D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2863942 | PA      | $2604066.41   | 0.02%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8069                      | CUSIP: 3132DV6E0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1200524 | PA      | $1122272.84   | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08705                      | CUSIP: 3128MJYB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    253009 | PA      | $230649.94    | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 535704                      | CUSIP: 31384WDH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       869 | PA      | $882.14       | 0.00%             | 2030-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4426                      | CUSIP: 36179S4K0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    552060 | PA      | $545823.76    | 0.00%             | 2032-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0615                      | CUSIP: 3132DMVG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    829083 | PA      | $825690.96    | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61352                      | CUSIP: 31335BQD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25442 | PA      | $25648.84     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0367                      | CUSIP: 3618N5MR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9909890 | PA      | $10104974.99  | 0.06%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9316                      | CUSIP: 3140QVK60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4334553 | PA      | $4375468.52   | 0.03%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5122                      | CUSIP: 3133KYVP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2827921 | PA      | $2556753.49   | 0.02%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4754                      | CUSIP: 3140X8H83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2775607 | PA      | $2643176.57   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8350                      | CUSIP: 3140QUH41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6231679 | PA      | $6405961.31   | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4437                      | CUSIP: 31418D4X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32764385 | PA      | $26865573.73  | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5529                      | CUSIP: 31418FEB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2163637 | PA      | $2119626.13   | 0.01%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4733                      | CUSIP: 31418EHK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18987774 | PA      | $18696482.31  | 0.12%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8231                      | CUSIP: 3132DWEC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8126892 | PA      | $8004756.61   | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4396                      | CUSIP: 3140QP3E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6455045 | PA      | $6358035.21   | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0855                      | CUSIP: 3140Q75R4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2163493 | PA      | $2036673.38   | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2712                      | CUSIP: 3140X6AN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20601 | PA      | $20397.72     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91796                      | CUSIP: 3129397H8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38942 | PA      | $39920.83     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8409                      | CUSIP: 3132DWKW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6042079 | PA      | $6199729.73   | 0.04%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0533                      | CUSIP: 3142GQSX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3458598 | PA      | $3668056.92   | 0.02%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01857                      | CUSIP: 3128LXB25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26856 | PA      | $27358.88     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM0802                      | CUSIP: 3131XT3K4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1186899 | PA      | $1161937.71   | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0149                      | CUSIP: 3618N5EX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2639761 | PA      | $2713760.39   | 0.02%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B8336                      | CUSIP: 3128UGUL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9494 | PA      | $9870.23      | 0.00%             | 2041-06-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6925                      | CUSIP: 3138WGVT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156496 | PA      | $153455.29    | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4288                      | CUSIP: 3138X3XS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    909093 | PA      | $892747.76    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3713                        | CUSIP: 36202EDS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     21340 | PA      | $22555.92     | 0.00%             | 2035-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2879                      | CUSIP: 31418CFV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    864409 | PA      | $838936.34    | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4373                      | CUSIP: 3140X72F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3256126 | PA      | $3155085.02   | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4400                      | CUSIP: 31418D3J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3115776 | PA      | $2790397.28   | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995737                      | CUSIP: 31416CEJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    358195 | PA      | $365782.36    | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995674                      | CUSIP: 31416CCK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56643 | PA      | $59976.23     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6046                      | CUSIP: 3132DTWF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2700161 | PA      | $2791498.62   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J21162                      | CUSIP: 31306YJF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74344 | PA      | $73441.73     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995049                      | CUSIP: 31416BL63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    224736 | PA      | $233425.57    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9313                      | CUSIP: 3140XDK39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1360434 | PA      | $1234862.17   | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4715                        | CUSIP: 36202FGY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    283571 | PA      | $289707.17    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1082                      | CUSIP: 3133KGFX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     96620 | PA      | $98253.98     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3414                      | CUSIP: 3140X6YL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3343927 | PA      | $3272827.23   | 0.02%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1656                      | CUSIP: 3132DNZV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2110905 | PA      | $1844046.35   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4512                      | CUSIP: 36179TAM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    244057 | PA      | $244558.20    | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2133                      | CUSIP: 3140XHLP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5371648 | PA      | $5176423.73   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3463                      | CUSIP: 31418CZ56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36236 | PA      | $36408.17     | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 704480                      | CUSIP: 36296XUD4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    178210 | PA      | $182016.47    | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0330                      | CUSIP: 3140W0LL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3793656 | PA      | $3936397.46   | 0.02%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1442                      | CUSIP: 3140XGS83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5012721 | PA      | $4558170.52   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5400                      | CUSIP: 3138ENAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12748 | PA      | $12836.11     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3572                      | CUSIP: 36179R6H7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    177137 | PA      | $173724.62    | 0.00%             | 2031-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM7731                      | CUSIP: 3131Y2SU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168375 | PA      | $162834.16    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7767                      | CUSIP: 36179WTY4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25193792 | PA      | $21882620.02  | 0.14%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD3808                      | CUSIP: 31418RGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41168 | PA      | $41461.58     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3211                      | CUSIP: 31418CR97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2226568 | PA      | $2156779.92   | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257452                      | CUSIP: 31371N5M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3459 | PA      | $3531.90      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD7160                      | CUSIP: 3140FE5W0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1070965 | PA      | $1043086.30   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1790                      | CUSIP: 3142GR7C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5478264 | PA      | $5743026.24   | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0217                      | CUSIP: 3140XFG39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7343109 | PA      | $6435129.90   | 0.04%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9585                      | CUSIP: 3138WKUK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156840 | PA      | $152904.42    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07851                      | CUSIP: 3128MABU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145320 | PA      | $143330.00    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QZ3304                      | CUSIP: 31427AU62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6511365 | PA      | $6616179.42   | 0.04%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8112                      | CUSIP: 3138ETAN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2121025 | PA      | $2005806.03   | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8029                      | CUSIP: 3132A84N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52172 | PA      | $51559.55     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2561                      | CUSIP: 31418BZ33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    495535 | PA      | $486133.79    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2974                      | CUSIP: 3132DQJT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1099158 | PA      | $1150304.22   | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01864                      | CUSIP: 3128LXB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47639 | PA      | $48567.60     | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3282                      | CUSIP: 36179RUF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     19720 | PA      | $19203.80     | 0.00%             | 2030-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2906                      | CUSIP: 3140XJGQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3862053 | PA      | $3877991.10   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1610                      | CUSIP: 3140XGYG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2771782 | PA      | $2623703.51   | 0.02%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3240                      | CUSIP: 3140QAS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    196325 | PA      | $199957.35    | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3216                      | CUSIP: 31418CSE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    308411 | PA      | $306069.20    | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09010                      | CUSIP: 31294UAK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125629 | PA      | $124152.15    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8744                      | CUSIP: 3140XQWE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17664797 | PA      | $14572798.23  | 0.09%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BP1022                      | CUSIP: 3617L7D30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    444752 | PA      | $411253.17    | 0.00%             | 2049-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1065                      | CUSIP: 36179NFE3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     28513 | PA      | $28199.33     | 0.00%             | 2028-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4121                      | CUSIP: 3140QPSK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1402301 | PA      | $1338190.36   | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8068                      | CUSIP: 3140XP6E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3246510 | PA      | $3299886.30   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5716                      | CUSIP: 31417CK61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20234 | PA      | $20047.77     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6925                      | CUSIP: 3140XNVT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22487906 | PA      | $19153080.30  | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08242                      | CUSIP: 3128MJHU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74243 | PA      | $78792.18     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0307                      | CUSIP: 3618N5KV0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2066857 | PA      | $2065803.97   | 0.01%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM0062                      | CUSIP: 3140X3B80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6932978 | PA      | $6487581.88   | 0.04%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 952436                      | CUSIP: 31413QSZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4923 | PA      | $5035.71      | 0.00%             | 2037-09-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5121                      | CUSIP: 3140XLVP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1840759 | PA      | $1923446.37   | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0145                      | CUSIP: 3618N5ET2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6024812 | PA      | $5897386.21   | 0.04%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA8386                      | CUSIP: 36178GJ70<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    191198 | PA      | $185655.24    | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725425                      | CUSIP: 31402C4J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315790 | PA      | $326981.98    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783771                      | CUSIP: 3622A2FL1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     53224 | PA      | $54338.10     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV8024                      | CUSIP: 3140MM4J4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    971990 | PA      | $931804.59    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783069                      | CUSIP: 36241LMS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    452533 | PA      | $462190.87    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888029                      | CUSIP: 31410FSS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164012 | PA      | $173221.47    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2705                      | CUSIP: 31418CAF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2350956 | PA      | $2140711.35   | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3880                      | CUSIP: 3132E0JZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4557135 | PA      | $4680478.84   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8341                      | CUSIP: 3132DWHS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9541544 | PA      | $9566012.47   | 0.06%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01820                      | CUSIP: 3128LXAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    198512 | PA      | $206116.88    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5785                      | CUSIP: 3140JANB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1154174 | PA      | $1088879.99   | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02168                      | CUSIP: 3128LXMR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22786 | PA      | $24059.24     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07031                      | CUSIP: 3128M9EC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212921 | PA      | $209754.25    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2471                      | CUSIP: 3133KHW85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    448598 | PA      | $419498.17    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5020                      | CUSIP: 36179TSH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2449196 | PA      | $2372009.16   | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97259                      | CUSIP: 312946B47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50260 | PA      | $49590.84     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5616                      | CUSIP: 3138A7G28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16634 | PA      | $16579.62     | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8512                      | CUSIP: 3140QGN60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7329970 | PA      | $6037789.22   | 0.04%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6473                      | CUSIP: 3138WGFP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186394 | PA      | $170191.07    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3053                        | CUSIP: 36202DMA6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1093 | PA      | $1133.63      | 0.00%             | 2031-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0487                      | CUSIP: 3138LQRH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    841331 | PA      | $781127.54    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6840                      | CUSIP: 31417DS61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40096 | PA      | $39571.15     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3187                      | CUSIP: 31418CRH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1028530 | PA      | $991569.79    | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1459                      | CUSIP: 31418ATR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1910926 | PA      | $1858359.14   | 0.01%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14614                      | CUSIP: 3128MDK36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       659 | PA      | $657.51       | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2925                      | CUSIP: 3138XEHB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20470 | PA      | $20334.88     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18818                      | CUSIP: 3128PYYP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284016 | PA      | $281150.58    | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9827                      | CUSIP: 3138AP4M7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3328 | PA      | $3465.37      | 0.00%             | 2041-11-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8491                      | CUSIP: 36179XNG7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7484994 | PA      | $7614407.71   | 0.05%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8362                      | CUSIP: 3138WJJG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2457061 | PA      | $2327621.35   | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1287                      | CUSIP: 36179NNC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1065546 | PA      | $1068237.75   | 0.01%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7429                      | CUSIP: 3140XPHF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2056401 | PA      | $2121055.80   | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3611                      | CUSIP: 3138WDAM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    324992 | PA      | $308451.63    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3191                      | CUSIP: 3140XJRM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    831772 | PA      | $855064.77    | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1348                      | CUSIP: 3132CXP97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12235691 | PA      | $11052768.89  | 0.07%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1343                      | CUSIP: 3142GRP53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2191412 | PA      | $2271874.32   | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5645                      | CUSIP: 3138WFHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403185 | PA      | $380342.76    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH8835                      | CUSIP: 3138AAY96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1827 | PA      | $1872.52      | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60440                      | CUSIP: 31335APZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4390721 | PA      | $4159369.91   | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA0466                      | CUSIP: 31416HQU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127241 | PA      | $128154.76    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18581                      | CUSIP: 3128MMUF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1446266 | PA      | $1408222.64   | 0.01%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9111                      | CUSIP: 3138ERDR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82655 | PA      | $83074.54     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1779                      | CUSIP: 3131XU6Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2665176 | PA      | $2426831.58   | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1920                      | CUSIP: 3140XHD20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6069127 | PA      | $5899499.46   | 0.04%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0595                      | CUSIP: 3132DMUU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2061057 | PA      | $1865144.86   | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2806                      | CUSIP: 3138EKDL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12120 | PA      | $12577.21     | 0.00%             | 2039-08-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1887                      | CUSIP: 3133L8CY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3103736 | PA      | $2886370.08   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1225                      | CUSIP: 36179NLE6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    570056 | PA      | $556121.14    | 0.00%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01552                      | CUSIP: 31292HWM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145969 | PA      | $151062.30    | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5234                        | CUSIP: 36202FY75<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    135497 | PA      | $135900.08    | 0.00%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256311                      | CUSIP: 31371MVC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10310 | PA      | $10320.36     | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04591                      | CUSIP: 3128M6NG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35952 | PA      | $37320.94     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7099                      | CUSIP: 31417D3H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150795 | PA      | $139801.21    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8680                      | CUSIP: 3140XQUE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1261543 | PA      | $1216428.04   | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ0881                      | CUSIP: 3138YR6T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    305928 | PA      | $298582.90    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18631                      | CUSIP: 3128MMVZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1293024 | PA      | $1251638.89   | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4497                      | CUSIP: 31418D7K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2763105 | PA      | $2557505.52   | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB0353                      | CUSIP: 3133KTMA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1583690 | PA      | $1356431.19   | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5261                      | CUSIP: 3132DSZ21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3154181 | PA      | $3235494.75   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60855                      | CUSIP: 31335A5Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166799 | PA      | $167853.49    | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7252                      | CUSIP: 3140XPBW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1631331 | PA      | $1635514.44   | 0.01%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4418                      | CUSIP: 3140QB4C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1455543 | PA      | $1319461.29   | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR1196                      | CUSIP: 3138NXKJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584923 | PA      | $541908.64    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4919                      | CUSIP: 3140XLPD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5254119 | PA      | $4496308.91   | 0.03%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS6674                      | CUSIP: 3132A7MX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270524 | PA      | $266585.26    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08771                      | CUSIP: 3128MJ2D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1504171 | PA      | $1459652.79   | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3741                      | CUSIP: 3132E0EN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2049610 | PA      | $2155872.08   | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2510                      | CUSIP: 31418BYG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     85039 | PA      | $82748.50     | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5805                      | CUSIP: 3140X9NX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5357712 | PA      | $4953465.57   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2866                      | CUSIP: 31418CFG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1611853 | PA      | $1538727.94   | 0.01%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1815                      | CUSIP: 3140XHAR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2622300 | PA      | $2570321.44   | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01599                      | CUSIP: 31292HX41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184540 | PA      | $191229.91    | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08743                      | CUSIP: 3128MJZH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129036 | PA      | $125579.97    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8323                      | CUSIP: 3132D6G87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1182040 | PA      | $1183325.35   | 0.01%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8104                      | CUSIP: 3132DWAD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26304280 | PA      | $20496434.37  | 0.13%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0089                      | CUSIP: 3618N5C31<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3783656 | PA      | $3592878.30   | 0.02%             | 2054-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9107                      | CUSIP: 3138ERDM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    118217 | PA      | $118824.12    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18666                      | CUSIP: 3128MMW41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1234874 | PA      | $1206809.83   | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6105                      | CUSIP: 3140X9YB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2460251 | PA      | $2133851.08   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6710                      | CUSIP: 36179VN30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19793013 | PA      | $17915641.44  | 0.11%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5483                      | CUSIP: 3140JACV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1330467 | PA      | $1249982.92   | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5904                      | CUSIP: 3133KMRZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3661067 | PA      | $3163915.07   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07872                      | CUSIP: 3128MACH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349655 | PA      | $351918.86    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6012                      | CUSIP: 3140QRVE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4683399 | PA      | $4478062.22   | 0.03%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05965                      | CUSIP: 3128M76A9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    662088 | PA      | $667602.54    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735670                      | CUSIP: 31402RJP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175191 | PA      | $181041.83    | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785023                      | CUSIP: 3622AAPG3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    354088 | PA      | $345775.62    | 0.00%             | 2034-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8508                      | CUSIP: 3132D6NZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9247193 | PA      | $8616916.77   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0624                      | CUSIP: 36179MVR8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2882489 | PA      | $2681826.35   | 0.02%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6438                      | CUSIP: 31418UEL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183495 | PA      | $187901.93    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6680                      | CUSIP: 3140KEM62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3363152 | PA      | $2796545.69   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7504                      | CUSIP: 3140XBKS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1901669 | PA      | $1785442.86   | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08577                      | CUSIP: 3128MJUB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211271 | PA      | $207134.22    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8679                      | CUSIP: 3132A9UC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79654 | PA      | $77744.90     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782734                      | CUSIP: 36241LBB1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    210488 | PA      | $214956.00    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91187                      | CUSIP: 3128P7J87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3995 | PA      | $4051.48      | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0153                      | CUSIP: 36179ME22<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    736839 | PA      | $686078.58    | 0.00%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2374                      | CUSIP: 3140QMT87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18885875 | PA      | $16350791.83  | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0714                      | CUSIP: 3140Y6YL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7868070 | PA      | $8103156.15   | 0.05%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1837                      | CUSIP: 3140XHBF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24795987 | PA      | $21413338.12  | 0.13%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8554                      | CUSIP: 3140QUQG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3951754 | PA      | $4150458.45   | 0.03%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0373                      | CUSIP: 3132D9MW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    998888 | PA      | $935467.06    | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0395                      | CUSIP: 31419ANM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254434 | PA      | $256233.24    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7710                      | CUSIP: 3138LYR82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    283463 | PA      | $279431.26    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0331                      | CUSIP: 3133BMLL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    833109 | PA      | $800227.28    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4727                      | CUSIP: 3140X8HD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    429309 | PA      | $419206.34    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK5328                      | CUSIP: 3140HJ4N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269951 | PA      | $261068.09    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4494                      | CUSIP: 31418D7G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5366870 | PA      | $4799702.68   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701734                      | CUSIP: 36296USX9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     50122 | PA      | $50274.96     | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09022                      | CUSIP: 31292SAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2106820 | PA      | $1954425.55   | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3930                      | CUSIP: 3140X7LL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2002298 | PA      | $1957598.35   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8230                      | CUSIP: 3132D6EB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    892712 | PA      | $907290.25    | 0.01%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785312                      | CUSIP: 3622AAYH1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    444601 | PA      | $383180.98    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7554                      | CUSIP: 3132DVMB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9944146 | PA      | $8631078.84   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4559                      | CUSIP: 3138M8B51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203038 | PA      | $188305.51    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3192                      | CUSIP: 3132DQRM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5411665 | PA      | $5457674.37   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0987                      | CUSIP: 3140QLCZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1561314 | PA      | $1350272.77   | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5115                      | CUSIP: 3133KYVG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5165531 | PA      | $4675762.54   | 0.03%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN4443                      | CUSIP: 3140JL5D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    103274 | PA      | $102755.13    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889624                      | CUSIP: 31410KLD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27082 | PA      | $28222.09     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0887                      | CUSIP: 3140XF6Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1764576 | PA      | $1590228.06   | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8155                      | CUSIP: 3132DWBY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32881133 | PA      | $26971578.01  | 0.17%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18940                      | CUSIP: 3128PY4Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59705 | PA      | $59103.08     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7521                      | CUSIP: 3138EQLB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2418347 | PA      | $2463391.63   | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA1713                      | CUSIP: 3140W13X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5645990 | PA      | $5681641.10   | 0.04%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4713                      | CUSIP: 31418EGX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    605744 | PA      | $601422.91    | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2976                      | CUSIP: 3140X6JW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7217 | PA      | $6994.45      | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2646                      | CUSIP: 3138EJ5G9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4524 | PA      | $4700.65      | 0.00%             | 2042-05-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2303                      | CUSIP: 3140X5RZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    131170 | PA      | $131940.94    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5772                      | CUSIP: 31418FMW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5697229 | PA      | $5832375.67   | 0.04%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1526                      | CUSIP: 3132ADVT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    346038 | PA      | $336705.60    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05936                      | CUSIP: 3128M74V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193783 | PA      | $191365.93    | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0606                      | CUSIP: 31417YU88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75369 | PA      | $75751.53     | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4289                      | CUSIP: 3140QPXT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2008914 | PA      | $1978722.98   | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7054                      | CUSIP: 36179VZT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3992696 | PA      | $3716366.28   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4994                      | CUSIP: 31418ERQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    817748 | PA      | $809358.84    | 0.00%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09007                      | CUSIP: 31292SAG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    757578 | PA      | $723192.38    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5231                      | CUSIP: 3140QCY59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3864707 | PA      | $3634541.67   | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 710846                      | CUSIP: 36297FWF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     59479 | PA      | $59655.16     | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04269                      | CUSIP: 31292LW68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159014 | PA      | $147878.56    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5235                        | CUSIP: 36202FY83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     89656 | PA      | $91612.05     | 0.00%             | 2041-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0499                      | CUSIP: 3138W9RV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169590 | PA      | $167485.98    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5500                      | CUSIP: 3140QDDE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1309684 | PA      | $1249538.54   | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8131                      | CUSIP: 3132D6A83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9511122 | PA      | $8591606.03   | 0.05%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5823                      | CUSIP: 31418FPH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9606030 | PA      | $9839412.85   | 0.06%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1037                      | CUSIP: 31418AEK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    363054 | PA      | $354471.15    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3029                      | CUSIP: 31418CLK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    278987 | PA      | $272669.58    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4581                      | CUSIP: 31418ECT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4717156 | PA      | $4255214.47   | 0.03%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786914                      | CUSIP: 3622ACSB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1080866 | PA      | $1118779.11   | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7631                      | CUSIP: 3140XBPR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2861828 | PA      | $2687280.20   | 0.02%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2373                      | CUSIP: 3140QMT79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3173822 | PA      | $2749778.34   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6405                      | CUSIP: 3138WGDK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     71754 | PA      | $69931.26     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01847                      | CUSIP: 31292JBQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    248788 | PA      | $258335.58    | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4333                      | CUSIP: 3132E0Y63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4539514 | PA      | $4736208.86   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4387                      | CUSIP: 31418D2V3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16372170 | PA      | $14397005.40  | 0.09%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725221                      | CUSIP: 31402CVN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    527421 | PA      | $545762.47    | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5132                      | CUSIP: 3140XLV21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10737706 | PA      | $9549264.48   | 0.06%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8386                      | CUSIP: 3138ETJ80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1713682 | PA      | $1682917.88   | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3365                      | CUSIP: 3138EKW35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    360917 | PA      | $382130.50    | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1873                      | CUSIP: 3140X5CK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6764850 | PA      | $6126050.05   | 0.04%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725424                      | CUSIP: 31402C4H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    512282 | PA      | $530267.15    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5078                      | CUSIP: 36179TUB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2381504 | PA      | $2303473.67   | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786659                      | CUSIP: 3622ACJC5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9685181 | PA      | $9725646.20   | 0.06%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4980                      | CUSIP: 31418ERA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    938409 | PA      | $964946.68    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737660                      | CUSIP: 3620ARQM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     61413 | PA      | $59968.19     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5527                      | CUSIP: 36179UD82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    883042 | PA      | $824135.45    | 0.01%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2629                      | CUSIP: 3138EJ4P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87336 | PA      | $89175.35     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2960                      | CUSIP: 36179RJD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3195937 | PA      | $2942572.36   | 0.02%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2576                      | CUSIP: 3140X52J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22147 | PA      | $21569.68     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1062                      | CUSIP: 31418AFC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19356 | PA      | $19193.82     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3444                      | CUSIP: 31418CZJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1850373 | PA      | $1842802.90   | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0734                      | CUSIP: 3132CWY73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5544745 | PA      | $5269317.66   | 0.03%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0810                      | CUSIP: 31427M3U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4165703 | PA      | $4233575.74   | 0.03%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9563                      | CUSIP: 3138E2TV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6247 | PA      | $6499.85      | 0.00%             | 2042-01-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16447                      | CUSIP: 3128MFL48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12133 | PA      | $12025.79     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5021                      | CUSIP: 3140XLSK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3431193 | PA      | $2951317.90   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08831                      | CUSIP: 3128MJ4R8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2599978 | PA      | $2517340.38   | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9777                      | CUSIP: 36179Y2J2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2159541 | PA      | $2115890.73   | 0.01%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7075                      | CUSIP: 3140XA2H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58802 | PA      | $56922.61     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08105                      | CUSIP: 3128MJDK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    116076 | PA      | $120685.22    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06214                      | CUSIP: 3128M8GX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    244258 | PA      | $257918.24    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW7396                      | CUSIP: 3138XXGE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16411 | PA      | $16326.50     | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 2658                        | CUSIP: 36202C5T6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     15313 | PA      | $15783.82     | 0.00%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4379                      | CUSIP: 31418D2M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24424265 | PA      | $20939674.23  | 0.13%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2201                      | CUSIP: 3140X5NT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    892505 | PA      | $865088.91    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7544                      | CUSIP: 3132DVLZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7712089 | PA      | $6974201.37   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14490                      | CUSIP: 3128PT7B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13516 | PA      | $13487.35     | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2280                      | CUSIP: 3140W2RA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11096176 | PA      | $11405465.51  | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08353                      | CUSIP: 3128MJMB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    321930 | PA      | $324639.24    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3706                      | CUSIP: 3138WDDL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    216888 | PA      | $205729.97    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785311                      | CUSIP: 3622AAYG3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1660002 | PA      | $1432752.95   | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03600                      | CUSIP: 31292K7M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67005 | PA      | $64230.34     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9526                      | CUSIP: 3140XRSQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1791991 | PA      | $1810586.65   | 0.01%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2572                      | CUSIP: 3140X52E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1989717 | PA      | $1743152.71   | 0.01%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4127                      | CUSIP: 36179SSQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4270116 | PA      | $4013284.24   | 0.02%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91947                      | CUSIP: 312940EU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169098 | PA      | $173376.58    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0858                      | CUSIP: 3132DM5T8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5871710 | PA      | $5096384.55   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4125                      | CUSIP: 36179SSN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1466780 | PA      | $1297087.62   | 0.01%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9540                      | CUSIP: 36179YS54<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10998847 | PA      | $11020741.22  | 0.07%             | 2054-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783672                      | CUSIP: 3622A2CH3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    162277 | PA      | $150344.78    | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6765                      | CUSIP: 36179VQS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    993633 | PA      | $864128.12    | 0.01%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX2530                      | CUSIP: 3138Y3Y47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151222 | PA      | $147823.99    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J19197                      | CUSIP: 3128Q0GE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140962 | PA      | $139886.87    | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07784                      | CUSIP: 3128M96V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2352968 | PA      | $2312661.23   | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07026                      | CUSIP: 3128M9D74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72082 | PA      | $72666.55     | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783035                      | CUSIP: 36241LLQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    177839 | PA      | $178347.27    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3933                      | CUSIP: 31418DLP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    601085 | PA      | $549202.00    | 0.00%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2219                      | CUSIP: 3142GSPD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6813165 | PA      | $7155216.85   | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08632                      | CUSIP: 3128MJV23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    881194 | PA      | $833260.91    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257048                      | CUSIP: 31371NP90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       492 | PA      | $499.23       | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07924                      | CUSIP: 3128MAD55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2177596 | PA      | $2069343.18   | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08051                      | CUSIP: 3128MJBV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60806 | PA      | $62140.01     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2903                      | CUSIP: 31418CGM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7538 | PA      | $7372.93      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9244                      | CUSIP: 36179YHV9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2106632 | PA      | $2179056.99   | 0.01%             | 2053-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9665                      | CUSIP: 3140XDW36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4806662 | PA      | $3977333.17   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5762                      | CUSIP: 36179UMK5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1541599 | PA      | $1442133.11   | 0.01%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5090                      | CUSIP: 3140J9UQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5015 | PA      | $5080.69      | 0.00%             | 2031-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7620                      | CUSIP: 3138A9PE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21451 | PA      | $21602.16     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3418                      | CUSIP: 3140XJYQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9666391 | PA      | $9802946.71   | 0.06%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6527                      | CUSIP: 3140XAHD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1835692 | PA      | $1848545.25   | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8509                      | CUSIP: 3132D6N22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9019303 | PA      | $8404559.00   | 0.05%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 436717                      | CUSIP: 36207NDW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    139928 | PA      | $142891.43    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6942                      | CUSIP: 3138EPWC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8279 | PA      | $8089.02      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9667                      | CUSIP: 36179YW42<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13011653 | PA      | $13029421.89  | 0.08%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9241                      | CUSIP: 36179YHS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20521705 | PA      | $20842851.26  | 0.13%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1375                      | CUSIP: 36179NQ43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    468654 | PA      | $445204.19    | 0.00%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0322                      | CUSIP: 3140XFLC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3848177 | PA      | $3547329.56   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0423                      | CUSIP: 3140QKPH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10403417 | PA      | $9439898.94   | 0.06%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4540                      | CUSIP: 31418EBJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    900861 | PA      | $788578.22    | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC7906                      | CUSIP: 3133ASYB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1518376 | PA      | $1317883.28   | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91025                      | CUSIP: 312939D65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41910 | PA      | $42967.19     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3385                      | CUSIP: 3140J7XP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1771062 | PA      | $1731000.54   | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8278                      | CUSIP: 3132DWFT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3827978 | PA      | $3938924.29   | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9491                      | CUSIP: 36179YRL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1365225 | PA      | $1412161.31   | 0.01%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6154                      | CUSIP: 36179UZT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    996000 | PA      | $928002.05    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7245                      | CUSIP: 3138WHBP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317628 | PA      | $299208.04    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6875                      | CUSIP: 3140QST92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4659506 | PA      | $4820397.51   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3465                      | CUSIP: 31418CZ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    561075 | PA      | $555586.88    | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0013                      | CUSIP: 3142J6AP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13395910 | PA      | $13570104.07  | 0.08%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08601                      | CUSIP: 3128MJU32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    649930 | PA      | $636648.85    | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0949                      | CUSIP: 31419BBT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4332508 | PA      | $4267579.30   | 0.03%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08653                      | CUSIP: 3128MJWP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2033517 | PA      | $1864002.79   | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9779                      | CUSIP: 36179Y2L7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18677410 | PA      | $18885061.32  | 0.12%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782665                      | CUSIP: 36241K6A1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    364751 | PA      | $372476.57    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2445                      | CUSIP: 36179QWE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1519147 | PA      | $1437880.24   | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9324                      | CUSIP: 3138MRLE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    888584 | PA      | $823624.93    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5937                      | CUSIP: 31417CS30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    923282 | PA      | $879270.51    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2032                      | CUSIP: 3140Q9HJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184441 | PA      | $179063.67    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 705753                      | CUSIP: 36297ABW2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2785 | PA      | $2958.26      | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5286                      | CUSIP: 3133KL2T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6029144 | PA      | $5135056.64   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07907                      | CUSIP: 3128MADL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    778811 | PA      | $825598.91    | 0.01%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7242                      | CUSIP: 3140XPBL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4157590 | PA      | $3608604.39   | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783289                      | CUSIP: 36241LUN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    908524 | PA      | $910959.24    | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1191                      | CUSIP: 3140Q8KD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1470062 | PA      | $1380214.76   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2842                      | CUSIP: 3140QNEQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13808416 | PA      | $11374167.68  | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7380                      | CUSIP: 3140XBFW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127751 | PA      | $111042.14    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7527                      | CUSIP: 3140QFLH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12679683 | PA      | $10819171.98  | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB2077                      | CUSIP: 31416XJX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    399725 | PA      | $394230.51    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786826                      | CUSIP: 3622ACPK0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5775930 | PA      | $5937163.31   | 0.04%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7613                      | CUSIP: 3132A8N62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68937 | PA      | $68445.91     | 0.00%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2348                      | CUSIP: 3138XDTE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113501 | PA      | $111120.79    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7769                      | CUSIP: 36179WT24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1470700 | PA      | $1366386.49   | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9425                      | CUSIP: 36179YPJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12330239 | PA      | $12741394.87  | 0.08%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5126                      | CUSIP: 3133KYVT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2732825 | PA      | $2468428.71   | 0.02%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786681                      | CUSIP: 3622ACJ27<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2396668 | PA      | $2441850.04   | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD3793                      | CUSIP: 31418RGB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40359 | PA      | $41304.12     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ3437                      | CUSIP: 3138AUZB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20200 | PA      | $21012.82     | 0.00%             | 2041-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8070                      | CUSIP: 3132DV6F7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437190 | PA      | $421301.17    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4550                      | CUSIP: 3138WEBU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    558288 | PA      | $528863.31    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04219                      | CUSIP: 3128M6AU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22615 | PA      | $23595.11     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555591                      | CUSIP: 31385XF85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42699 | PA      | $44139.87     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2149                      | CUSIP: 36179QL66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1141187 | PA      | $1111090.95   | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 550656                      | CUSIP: 36213CWR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     26212 | PA      | $26715.22     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 487821                      | CUSIP: 36210B4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    222650 | PA      | $227376.36    | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0981                      | CUSIP: 3132CXCS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    898451 | PA      | $913122.56    | 0.01%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97474                      | CUSIP: 312946JT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172764 | PA      | $170308.42    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1042                      | CUSIP: 3140J5EQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1174302 | PA      | $1145935.52   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4154                      | CUSIP: 31418DTL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1783435 | PA      | $1621605.54   | 0.01%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8067                      | CUSIP: 3132D56C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    876740 | PA      | $797184.22    | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5431                      | CUSIP: 3140QRA94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4974653 | PA      | $5058920.80   | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735676                      | CUSIP: 31402RJV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1164655 | PA      | $1187632.89   | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783261                      | CUSIP: 36241LTS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    220764 | PA      | $221355.53    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8389                      | CUSIP: 3132DWKA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4465351 | PA      | $4737309.81   | 0.03%             | 2053-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8031                      | CUSIP: 3132D54Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1719823 | PA      | $1640842.96   | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6767                      | CUSIP: 36179VQU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    534689 | PA      | $497684.04    | 0.00%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0786                      | CUSIP: 3132DM2T1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202505 | PA      | $168451.55    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06808                      | CUSIP: 3128M83R3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3268201 | PA      | $3225252.56   | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3047                      | CUSIP: 31419DL58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164264 | PA      | $165429.29    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8163                      | CUSIP: 3132DWB85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    429383 | PA      | $400456.13    | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5590                      | CUSIP: 31418FF85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125743 | PA      | $127206.83    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q07465                      | CUSIP: 3132GSTW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265097 | PA      | $253414.64    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08597                      | CUSIP: 3128MJUX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    714019 | PA      | $676933.63    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06881                      | CUSIP: 3128M86S8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12855 | PA      | $12304.24     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8347                      | CUSIP: 3132D6HY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3467886 | PA      | $3421474.18   | 0.02%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0529                      | CUSIP: 3132ACSS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7420116 | PA      | $6809872.39   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4730                      | CUSIP: 3132A5HF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    520366 | PA      | $488887.53    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1222                      | CUSIP: 3138EHLC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7048 | PA      | $7365.03      | 0.00%             | 2040-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3488                      | CUSIP: 3132DQ2V7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6291330 | PA      | $5205841.02   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1193                      | CUSIP: 3138AEKF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    276517 | PA      | $278447.08    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1597                      | CUSIP: 3138EHX31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1186 | PA      | $1255.25      | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4468                        | CUSIP: 36202E6D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    185960 | PA      | $186591.35    | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93996                      | CUSIP: 312942NM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    232532 | PA      | $234461.28    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6740                      | CUSIP: 3138EBP25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1386990 | PA      | $1366400.48   | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QN4368                      | CUSIP: 3133GAZ90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    958633 | PA      | $868950.09    | 0.01%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4661                      | CUSIP: 3140X8FB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1317300 | PA      | $1253923.01   | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8453                      | CUSIP: 3140XQMB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6442629 | PA      | $6584792.14   | 0.04%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0305                      | CUSIP: 3140W0KT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3405303 | PA      | $3362639.18   | 0.02%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1694                      | CUSIP: 3132DN3B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2071687 | PA      | $2040552.80   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G62009                      | CUSIP: 31335CGS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    893808 | PA      | $850144.06    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS1767                      | CUSIP: 3132A16C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    521597 | PA      | $542914.51    | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08540                      | CUSIP: 3128MJS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1618838 | PA      | $1497696.58   | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8112                      | CUSIP: 3132DWAM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12686457 | PA      | $9853638.23   | 0.06%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5595                      | CUSIP: 3138WFGD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155193 | PA      | $146467.79    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8148                      | CUSIP: 36179XBR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    769847 | PA      | $695503.68    | 0.00%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4154                      | CUSIP: 3140XKTL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3458248 | PA      | $3595123.73   | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0243                      | CUSIP: 3140Q7HV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169308 | PA      | $168826.74    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1858                      | CUSIP: 3132AEB39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5881755 | PA      | $5876072.81   | 0.04%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2808                      | CUSIP: 3132DQDM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5517481 | PA      | $4565509.47   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6572                      | CUSIP: 3140XNJS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4441477 | PA      | $4663071.60   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6328                      | CUSIP: 3140QSA68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4691237 | PA      | $4827568.87   | 0.03%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09064                      | CUSIP: 31292SB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159952 | PA      | $156595.04    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0066                      | CUSIP: 3132DMCB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    352408 | PA      | $366131.28    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5222                      | CUSIP: 3140X8YU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2889884 | PA      | $2354244.46   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0659                      | CUSIP: 3142GQWV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3637006 | PA      | $3862505.22   | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05832                      | CUSIP: 3128M7Y59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29237 | PA      | $29982.67     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2891                      | CUSIP: 36179RF87<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1726157 | PA      | $1589750.42   | 0.01%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q38893                      | CUSIP: 3132QV3B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17919 | PA      | $17483.93     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3686                      | CUSIP: 3140XKCY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1370673 | PA      | $1384468.32   | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4122                      | CUSIP: 3140QBSL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    821202 | PA      | $771012.15    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V82942                      | CUSIP: 3132L8HT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3606704 | PA      | $3225983.19   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4096                      | CUSIP: 31418DRS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10404376 | PA      | $8965511.11   | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7797                      | CUSIP: 3140XBUX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4807074 | PA      | $4662412.02   | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5054                      | CUSIP: 3133KYTK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1834590 | PA      | $1672631.01   | 0.01%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1866                      | CUSIP: 3132AECB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182602 | PA      | $185980.77    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1787                      | CUSIP: 3142GR6Z8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5202684 | PA      | $5472417.53   | 0.03%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782562                      | CUSIP: 36241KZ35<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    145045 | PA      | $148123.23    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2949                      | CUSIP: 3138EKH32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23791 | PA      | $24829.85     | 0.00%             | 2042-08-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5470                      | CUSIP: 3140X9CG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3776856 | PA      | $3519430.36   | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2523                      | CUSIP: 31329KYU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    425394 | PA      | $421233.45    | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8308                      | CUSIP: 3132DWGR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    419596 | PA      | $427674.95    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1661                      | CUSIP: 3138X0Z35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182049 | PA      | $179083.78    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4606                      | CUSIP: 3132A5DK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1197755 | PA      | $1098374.10   | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0812                      | CUSIP: 3132DM3V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10085853 | PA      | $9073568.46   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08847                      | CUSIP: 3128MJ5H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584443 | PA      | $565867.18    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0462                      | CUSIP: 36179MQP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3933684 | PA      | $3746269.98   | 0.02%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05911                      | CUSIP: 3128M73U8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    719185 | PA      | $737124.97    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5531                      | CUSIP: 31418FED5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8038633 | PA      | $8143162.94   | 0.05%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8127                      | CUSIP: 3132DWA45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16778893 | PA      | $13032254.85  | 0.08%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698089                      | CUSIP: 36296QRJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    182989 | PA      | $179207.65    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5252                      | CUSIP: 3132DSZR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6318136 | PA      | $6406217.55   | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DC3457                      | CUSIP: 3140AQZX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1808756 | PA      | $1852747.43   | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18672                      | CUSIP: 3128MMXA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    995154 | PA      | $959672.04    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91853                      | CUSIP: 3128P8BW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    580489 | PA      | $571009.99    | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7803                      | CUSIP: 3138WHU59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    188831 | PA      | $183797.99    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1983                      | CUSIP: 3133KHFY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1557929 | PA      | $1406920.07   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8149                      | CUSIP: 3132DWBS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14596219 | PA      | $11336960.74  | 0.07%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1711                      | CUSIP: 3138EH3V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    658134 | PA      | $662742.63    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18608                      | CUSIP: 3128MMVA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    436042 | PA      | $427520.24    | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2721                      | CUSIP: 3138WQAX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1000302 | PA      | $926384.48    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3623                      | CUSIP: 3132E0AY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1969626 | PA      | $2025295.23   | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0806                      | CUSIP: 3140QK3Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    771887 | PA      | $605317.90    | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1628                      | CUSIP: 3138X0Y28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1409824 | PA      | $1304517.38   | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08474                      | CUSIP: 3128MJQ45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167370 | PA      | $164822.28    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1538                      | CUSIP: 3140XGV89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9394650 | PA      | $8434124.41   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BT9377                      | CUSIP: 3140LYM34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4824820 | PA      | $3978788.77   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG D97610                      | CUSIP: 3128E4N32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       364 | PA      | $366.09       | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5397                      | CUSIP: 36179T7J8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    227762 | PA      | $213351.54    | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08681                      | CUSIP: 3128MJXK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4867913 | PA      | $4597027.16   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5177                      | CUSIP: 31418EXF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5028260 | PA      | $4798375.50   | 0.03%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4922                        | CUSIP: 36202FPF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1216656 | PA      | $1191578.54   | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7537                      | CUSIP: 3132DVLS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5580394 | PA      | $4612336.60   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8166                      | CUSIP: 3132DWCB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18165832 | PA      | $14895304.47  | 0.09%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91718                      | CUSIP: 3128P74B6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    380649 | PA      | $370160.90    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0756                      | CUSIP: 36179MZV5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    119097 | PA      | $117424.42    | 0.00%             | 2028-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783707                      | CUSIP: 3622A2DL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6646 | PA      | $6560.92      | 0.00%             | 2028-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4780                      | CUSIP: 36179TJZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    408497 | PA      | $408824.56    | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3965                      | CUSIP: 3138WDMP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    769763 | PA      | $752771.08    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0881                      | CUSIP: 3140XF6T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7370589 | PA      | $6381222.66   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1543                      | CUSIP: 3132DNWC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22656114 | PA      | $19494584.67  | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4660                      | CUSIP: 31418EFA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1281761 | PA      | $1187562.15   | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2656                      | CUSIP: 3138EJ5S3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110437 | PA      | $108990.71    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4254                      | CUSIP: 31418DWQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8865410 | PA      | $6885811.16   | 0.04%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255814                      | CUSIP: 31371MDT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    365080 | PA      | $379194.67    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6289                      | CUSIP: 3138EN7B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56036 | PA      | $58587.48     | 0.00%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8583                      | CUSIP: 3138WJRD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    893304 | PA      | $840102.60    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3119                      | CUSIP: 3138WCPD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33927 | PA      | $33418.85     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4990                      | CUSIP: 31418ERL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3592795 | PA      | $3604561.44   | 0.02%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4378                      | CUSIP: 3140XK2L3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3710394 | PA      | $3770979.42   | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8966                      | CUSIP: 3138WJ6C7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    494076 | PA      | $478898.36    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5142                      | CUSIP: 3133KLWB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11427249 | PA      | $9911204.90   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8004                      | CUSIP: 3140XB3N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1827792 | PA      | $1836945.56   | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1275                      | CUSIP: 3140XGMZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3099532 | PA      | $2694131.38   | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5181                      | CUSIP: 3140X8XK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1440442 | PA      | $1253390.60   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786927                      | CUSIP: 3622ACSQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3477452 | PA      | $3603775.69   | 0.02%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4068                      | CUSIP: 36179SQV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8672113 | PA      | $7938992.59   | 0.05%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9516                      | CUSIP: 3140XDSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5314727 | PA      | $4593018.17   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3443                      | CUSIP: 31418CZH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3051868 | PA      | $2951443.56   | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786862                      | CUSIP: 3622ACQP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7229817 | PA      | $6496622.09   | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1415                      | CUSIP: 3138ASSD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181345 | PA      | $182590.73    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8046                      | CUSIP: 3132D55F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1001430 | PA      | $972502.37    | 0.01%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60536                      | CUSIP: 31335ASZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    290569 | PA      | $284950.81    | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5775                      | CUSIP: 3132DTMY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7354003 | PA      | $7663664.17   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6643                      | CUSIP: 31419HLZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       820 | PA      | $853.65       | 0.00%             | 2040-10-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1091                      | CUSIP: 36179NF86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3897417 | PA      | $3808044.11   | 0.02%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1398                      | CUSIP: 31427NRU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8624531 | PA      | $8635327.92   | 0.05%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783121                      | CUSIP: 36241LPE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    876090 | PA      | $855473.93    | 0.01%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3903                      | CUSIP: 3140XKKR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4117821 | PA      | $4247289.60   | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4877                        | CUSIP: 36202FM29<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       518 | PA      | $516.36       | 0.00%             | 2025-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4207                      | CUSIP: 31418DU91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315475 | PA      | $300198.12    | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16932                      | CUSIP: 3128PWVZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3259 | PA      | $3241.33      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1288                      | CUSIP: 3132DNND1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    733876 | PA      | $700553.51    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8991                      | CUSIP: 3140XC7D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2262501 | PA      | $2149407.01   | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8008                      | CUSIP: 3140XP3S6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3375253 | PA      | $3432855.10   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9582                      | CUSIP: 3133KRUF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1159365 | PA      | $1203803.19   | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8426                      | CUSIP: 36179XLF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14808825 | PA      | $14185935.91  | 0.09%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3327                      | CUSIP: 3140XJVV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17338 | PA      | $16455.44     | 0.00%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04587                      | CUSIP: 3128M6NC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59287 | PA      | $61865.72     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3353                      | CUSIP: 3132DQWN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1270050 | PA      | $1280450.59   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08658                      | CUSIP: 3128MJWU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    621874 | PA      | $569967.55    | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5330                      | CUSIP: 3140X84Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182699 | PA      | $179411.48    | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5508                      | CUSIP: 31419GDN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17457 | PA      | $18071.37     | 0.00%             | 2040-12-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA8065                      | CUSIP: 3133A26A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    911794 | PA      | $821134.70    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC3014                      | CUSIP: 31417MK44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4705 | PA      | $4880.25      | 0.00%             | 2039-10-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995050                      | CUSIP: 31416BL71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    257997 | PA      | $272255.99    | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0501                      | CUSIP: 3132DMRW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3822874 | PA      | $3478607.56   | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7903                      | CUSIP: 3140QTX95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    293023 | PA      | $287703.24    | 0.00%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8186                      | CUSIP: 3138ANCY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153527 | PA      | $151076.26    | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1156                      | CUSIP: 36179NH92<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1139696 | PA      | $1058118.65   | 0.01%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60038                      | CUSIP: 31335ABF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1989859 | PA      | $1897391.98   | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5204                        | CUSIP: 36202FX92<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    243221 | PA      | $243941.16    | 0.00%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 12/25                 | CUSIP: 01F0526C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2025312.40   | 0.01%             | 2025-12-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3243                      | CUSIP: 31418CS96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1635062 | PA      | $1596956.26   | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8030                      | CUSIP: 3132DV4P7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7895225 | PA      | $7110208.36   | 0.04%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8763                      | CUSIP: 3140XQWZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3758348 | PA      | $3884305.68   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7147                      | CUSIP: 3140XN5H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2893274 | PA      | $2511234.20   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9033                      | CUSIP: 3138ABBB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       272 | PA      | $271.48       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3676                      | CUSIP: 3140J8CN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    819403 | PA      | $805854.11    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9546                      | CUSIP: 3133AUTB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6494361 | PA      | $5402254.16   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0065                      | CUSIP: 3142J6CB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9893482 | PA      | $10134621.19  | 0.06%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0331                      | CUSIP: 3138W9LM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    130771 | PA      | $120831.54    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5239                      | CUSIP: 3138LVZD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    310726 | PA      | $306023.80    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6785                      | CUSIP: 31417DRF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40270 | PA      | $39728.15     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2806                      | CUSIP: 31418CDL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2773677 | PA      | $2517827.77   | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0428                      | CUSIP: 31417YPN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49643 | PA      | $49862.16     | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA2236                      | CUSIP: 31334YPV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1641229 | PA      | $1501292.48   | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9017                      | CUSIP: 36179YAS3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11642935 | PA      | $11826045.96  | 0.07%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AC3794                      | CUSIP: 36179DGB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     12710 | PA      | $12516.25     | 0.00%             | 2028-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889983                      | CUSIP: 31410KXL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181699 | PA      | $192380.76    | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7504                      | CUSIP: 3132DVKR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4444433 | PA      | $4172797.35   | 0.03%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4519                        | CUSIP: 36202FAU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     97842 | PA      | $98172.59     | 0.00%             | 2039-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18540                      | CUSIP: 3128MMS61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    239811 | PA      | $234542.44    | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848674                      | CUSIP: 31300LT70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4450 | PA      | $4621.45      | 0.00%             | 2042-02-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4837                      | CUSIP: 36179TLS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5693656 | PA      | $5336968.74   | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06168                      | CUSIP: 3128M8FH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128887 | PA      | $123780.10    | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3174                      | CUSIP: 3138EKQ40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215547 | PA      | $212569.72    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5244                      | CUSIP: 3140X8ZJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3527393 | PA      | $3336969.56   | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1163                      | CUSIP: 3140X4JH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    771371 | PA      | $750012.88    | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848353                      | CUSIP: 31300LH65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2733 | PA      | $2851.67      | 0.00%             | 2040-09-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 908775                      | CUSIP: 31411HT83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2134 | PA      | $2259.04      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7523                      | CUSIP: 3132DVLC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13024032 | PA      | $11328704.48  | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q13205                      | CUSIP: 3132HPR22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1677580 | PA      | $1563663.32   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4488                      | CUSIP: 3140QB7A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1400310 | PA      | $1336877.97   | 0.01%             | 2034-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3781                      | CUSIP: 3132A4FW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1076411 | PA      | $994186.38    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3495                      | CUSIP: 31418C3D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    957565 | PA      | $926055.39    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7593                      | CUSIP: 3140QFNK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5708054 | PA      | $4714282.86   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8042                      | CUSIP: 3132DV5B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161218 | PA      | $163797.52    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06893                      | CUSIP: 3128M87E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194643 | PA      | $191679.50    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3247                      | CUSIP: 31418CTD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1224941 | PA      | $1195588.48   | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0393                      | CUSIP: 3138EGNK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189795 | PA      | $191124.34    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2414                      | CUSIP: 36179QVF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    122918 | PA      | $120962.10    | 0.00%             | 2029-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15688                      | CUSIP: 3128MERH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22473 | PA      | $22326.23     | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4474                      | CUSIP: 31418D6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16533087 | PA      | $14499381.47  | 0.09%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0730                      | CUSIP: 3132DMY33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5190683 | PA      | $4303207.09   | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03832                      | CUSIP: 31292LHH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50776 | PA      | $51193.38     | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9801                      | CUSIP: 3140XR3K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11636621 | PA      | $11827938.70  | 0.07%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1308                      | CUSIP: 31418AN20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79608 | PA      | $78535.95     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0025                      | CUSIP: 3142J6A37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4960937 | PA      | $4858476.45   | 0.03%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555967                      | CUSIP: 31385XTY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    118822 | PA      | $122873.52    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1026                      | CUSIP: 3140X4D86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1017928 | PA      | $960898.44    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4833                        | CUSIP: 36202FLN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    634049 | PA      | $621087.78    | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7114                      | CUSIP: 3140QS3Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3483237 | PA      | $3542681.46   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5412                      | CUSIP: 3140JAAN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160497 | PA      | $160341.78    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8111                      | CUSIP: 3132D6AL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5736540 | PA      | $5315069.96   | 0.03%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 780651                      | CUSIP: 36225AWL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       244 | PA      | $245.98       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0217                      | CUSIP: 3140Y6G38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6866725 | PA      | $7138164.98   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04123                      | CUSIP: 3128M54G2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5094 | PA      | $5403.29      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3150                      | CUSIP: 31418CQC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    187566 | PA      | $187032.86    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6783                      | CUSIP: 3138A8RD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1197809 | PA      | $1179840.42   | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0005                      | CUSIP: 3142GQAF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3027197 | PA      | $3144647.05   | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3357                      | CUSIP: 3132DQWS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1219638 | PA      | $1257463.82   | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1251                      | CUSIP: 3140X4L95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    624404 | PA      | $577440.91    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0331                      | CUSIP: 3140XFLM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3303932 | PA      | $2968196.85   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7311                      | CUSIP: 36179WDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  46093005 | PA      | $38425830.36  | 0.24%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2551                      | CUSIP: 3140W2ZR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8439373 | PA      | $8734079.26   | 0.05%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11218                      | CUSIP: 3132HMK75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186681 | PA      | $178185.08    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8239                      | CUSIP: 3132DWEL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6044483 | PA      | $6076983.93   | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5711                      | CUSIP: 36179UKY7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    693640 | PA      | $691379.30    | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932864                      | CUSIP: 31412RMM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    432882 | PA      | $426406.39    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2652                      | CUSIP: 3133KH5M4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    767426 | PA      | $667290.60    | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4461                      | CUSIP: 3140XK5X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1263319 | PA      | $1273664.78   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08660                      | CUSIP: 3128MJWW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    956811 | PA      | $935534.63    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784297                      | CUSIP: 3622A2X23<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    245722 | PA      | $237913.87    | 0.00%             | 2046-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3689                      | CUSIP: 3140XKC32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2724480 | PA      | $2800775.33   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3683                      | CUSIP: 31418DCV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    658487 | PA      | $639436.43    | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4209                      | CUSIP: 31418DVB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28048864 | PA      | $21780692.00  | 0.13%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4834                        | CUSIP: 36202FLP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    720406 | PA      | $722680.17    | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3982                      | CUSIP: 3140X7M89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1900910 | PA      | $1777601.34   | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2147                      | CUSIP: 36179QL41<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    399822 | PA      | $370530.07    | 0.00%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1157                      | CUSIP: 36179NJA7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2070285 | PA      | $1969042.69   | 0.01%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4555                      | CUSIP: 3140QQBZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400443 | PA      | $394299.84    | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3664                      | CUSIP: 36179SB97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     96534 | PA      | $93884.09     | 0.00%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08479                      | CUSIP: 3128MJQ94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    484308 | PA      | $463219.97    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2372                      | CUSIP: 36179QT50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1141194 | PA      | $1110547.53   | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3364                      | CUSIP: 3140J7W27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    273691 | PA      | $266834.18    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4578                        | CUSIP: 36202FCP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    149015 | PA      | $152195.62    | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05849                      | CUSIP: 3128M7ZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    285084 | PA      | $287468.27    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3742                      | CUSIP: 3138X3EQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1534827 | PA      | $1460897.34   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD8781                      | CUSIP: 36180MXJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    409376 | PA      | $379138.80    | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8077                      | CUSIP: 3138EQ6P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265501 | PA      | $263631.21    | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6475                      | CUSIP: 36179VFQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3384780 | PA      | $3153696.37   | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08788                      | CUSIP: 3128MJ2W9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2028078 | PA      | $1907616.13   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK7591                      | CUSIP: 3131XBNG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192641 | PA      | $189668.38    | 0.00%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0521                      | CUSIP: 3132CWSJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    938096 | PA      | $872104.68    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5065                      | CUSIP: 3138MLTX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40145 | PA      | $37131.96     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3045                      | CUSIP: 3140XJL35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    957763 | PA      | $967103.45    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05671                      | CUSIP: 3128M7T48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     96509 | PA      | $100509.64    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8237                      | CUSIP: 3132DWEJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16254500 | PA      | $15582482.08  | 0.10%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4979                        | CUSIP: 36202FQ82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    463244 | PA      | $473414.83    | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7742                      | CUSIP: 3140XPS83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5507338 | PA      | $5584115.38   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA8621                      | CUSIP: 31416SSK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56338 | PA      | $56741.50     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4583                      | CUSIP: 3140X8CV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7022768 | PA      | $5846192.82   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0261                      | CUSIP: 3618N5JF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6838272 | PA      | $7018748.93   | 0.04%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4413                      | CUSIP: 31418D3X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18098703 | PA      | $14840261.33  | 0.09%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5136                      | CUSIP: 36179TV51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3076983 | PA      | $2882297.57   | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1035                      | CUSIP: 31418AEH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14963 | PA      | $14837.62     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8023                      | CUSIP: 3132DV4G7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6464625 | PA      | $5580705.95   | 0.03%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0147                      | CUSIP: 3618N5EV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27158619 | PA      | $27452076.48  | 0.17%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5436                      | CUSIP: 3140JABE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2300582 | PA      | $2248933.01   | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737286                      | CUSIP: 3620ARCX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     44782 | PA      | $44907.17     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8506                      | CUSIP: 3132DWNX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34691227 | PA      | $35142334.66  | 0.22%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4371                      | CUSIP: 3138WD2D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    360721 | PA      | $341190.01    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07810                      | CUSIP: 3128MAAK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33258 | PA      | $33537.16     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8785                      | CUSIP: 3140XCXP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5015164 | PA      | $4327865.29   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8872                      | CUSIP: 3140XC2E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    229496 | PA      | $225973.47    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4850                      | CUSIP: 31418EL81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3970455 | PA      | $4039015.77   | 0.02%             | 2037-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5242                      | CUSIP: 3132DSZF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5450396 | PA      | $5570664.36   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5014                      | CUSIP: 3140X8SC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1317450 | PA      | $1313295.29   | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6599                      | CUSIP: 36179VKL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9250338 | PA      | $8372941.65   | 0.05%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9962                      | CUSIP: 36180AB77<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3541345 | PA      | $3367211.96   | 0.02%             | 2054-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7555                      | CUSIP: 3132DVMC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5224571 | PA      | $4718156.58   | 0.03%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1012                      | CUSIP: 36179NDR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5574614 | PA      | $5279139.95   | 0.03%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2753                      | CUSIP: 3132DQBW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2569886 | PA      | $2637033.12   | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08670                      | CUSIP: 3128MJW89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2713519 | PA      | $2483349.00   | 0.02%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA6290                      | CUSIP: 36178D7B1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    352400 | PA      | $325108.21    | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4800                        | CUSIP: 36202FKM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    301029 | PA      | $294865.85    | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3736                      | CUSIP: 36179SEH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5049159 | PA      | $4751781.80   | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2516                      | CUSIP: 3140XHYN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    828470 | PA      | $795254.21    | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0204                      | CUSIP: 3618N5GN3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25551731 | PA      | $25554684.65  | 0.16%             | 2055-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16724                      | CUSIP: 3128MFVR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69170 | PA      | $66700.81     | 0.00%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0461                      | CUSIP: 36179MQN3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    709881 | PA      | $660795.79    | 0.00%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7741                      | CUSIP: 3138WHS78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3360256 | PA      | $3183235.79   | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR5589                      | CUSIP: 3140L4F79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204388 | PA      | $166504.95    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1404                      | CUSIP: 3140QLR24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6008847 | PA      | $5452702.59   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3073                      | CUSIP: 31418CMX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1281445 | PA      | $1279006.26   | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890565                      | CUSIP: 31410LMN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    438490 | PA      | $406464.18    | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4722                      | CUSIP: 3140X8G84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    393051 | PA      | $353970.10    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6223                      | CUSIP: 3132DT4G2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2610065 | PA      | $2701821.02   | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 310104                      | CUSIP: 31374CNV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    232720 | PA      | $241371.86    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RQ0042                      | CUSIP: 3142J6BL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7478312 | PA      | $7743919.22   | 0.05%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8506                      | CUSIP: 3132D6NX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6629001 | PA      | $6177177.22   | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7663                      | CUSIP: 3140QTQR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5695741 | PA      | $6022886.69   | 0.04%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5047                      | CUSIP: 3132DSTC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3881618 | PA      | $3970908.42   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A94605                      | CUSIP: 312943DJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    244224 | PA      | $240987.33    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3370                      | CUSIP: 3140XJW82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3469484 | PA      | $2994011.11   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4570                      | CUSIP: 31418ECG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1244541 | PA      | $1088769.21   | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2625                      | CUSIP: 3142GS4K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7216467 | PA      | $7337367.68   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0783                      | CUSIP: 36179M2Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1236490 | PA      | $1176793.59   | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1043                      | CUSIP: 3140J5ER6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160859 | PA      | $161809.62    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8367                      | CUSIP: 3132DWJL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8044097 | PA      | $8166295.07   | 0.05%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2601                      | CUSIP: 36179Q3J8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1563858 | PA      | $1479931.73   | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3142                      | CUSIP: 3140XJP49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2574268 | PA      | $2495994.39   | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7120                      | CUSIP: 3132DU4D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3621153 | PA      | $3746190.22   | 0.02%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0794                      | CUSIP: 3132AC3B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    781896 | PA      | $782362.13    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8043                      | CUSIP: 3132DV5C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    262609 | PA      | $226702.45    | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4261                      | CUSIP: 31418DWX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3040896 | PA      | $2827930.84   | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3272                      | CUSIP: 3140X6T68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1102982 | PA      | $1049916.78   | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1859                      | CUSIP: 3138AFB58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242361 | PA      | $244042.16    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6045                      | CUSIP: 3138ENWF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    429439 | PA      | $421411.64    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08607                      | CUSIP: 3128MJU99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251695 | PA      | $253315.15    | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95575                      | CUSIP: 312944FQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    377090 | PA      | $372204.05    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7623                      | CUSIP: 3140XBPH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5350702 | PA      | $4630795.84   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2817                      | CUSIP: 31418CDX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342888 | PA      | $319853.23    | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888450                      | CUSIP: 31410GBT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185133 | PA      | $191319.75    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4040                        | CUSIP: 36202EPZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     31048 | PA      | $32980.83     | 0.00%             | 2037-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QB9394                      | CUSIP: 3133AGNK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223937 | PA      | $184319.67    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4679                        | CUSIP: 36202FFU5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    154770 | PA      | $158105.82    | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4058                      | CUSIP: 3140QPQL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3226670 | PA      | $3109401.67   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4138                      | CUSIP: 3140XKS43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5735227 | PA      | $4956416.24   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA3194                      | CUSIP: 3140W3RQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6833391 | PA      | $6930897.26   | 0.04%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX7627                      | CUSIP: 3140NCPM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1005381 | PA      | $1008673.98   | 0.01%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783177                      | CUSIP: 36241LQ66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    324611 | PA      | $325526.70    | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4074                      | CUSIP: 31418DQ47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3044335 | PA      | $2842545.39   | 0.02%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2966                      | CUSIP: 3140QAJL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    674659 | PA      | $688617.64    | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05623                      | CUSIP: 3128M7SL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4640 | PA      | $4756.06      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD1259                      | CUSIP: 3133AXMG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4892842 | PA      | $4048644.28   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0851                      | CUSIP: 3138EG5M2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218496 | PA      | $231395.72    | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08596                      | CUSIP: 3128MJUW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    502547 | PA      | $505587.78    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5260                      | CUSIP: 31418EZ29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1436929 | PA      | $1526015.96   | 0.01%             | 2054-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8134                      | CUSIP: 3132DWBB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  43980515 | PA      | $36103613.41  | 0.22%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1443                      | CUSIP: 3142GRS92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5738768 | PA      | $5989219.30   | 0.04%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14781                      | CUSIP: 3128PUJ29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3831 | PA      | $3821.48      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5133                      | CUSIP: 31418EV31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1076200 | PA      | $1079051.76   | 0.01%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3310                      | CUSIP: 3140QAVC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1152035 | PA      | $1115566.11   | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2736                      | CUSIP: 3142GTBE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4308422 | PA      | $4349091.38   | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08227                      | CUSIP: 3128MJHD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154586 | PA      | $163990.19    | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2232                      | CUSIP: 3140QMPS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3354778 | PA      | $3113540.19   | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5652                      | CUSIP: 36179UH54<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3268387 | PA      | $3257733.41   | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2625                      | CUSIP: 3140XH4K0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    923820 | PA      | $768179.80    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR2619                      | CUSIP: 3140L04D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2936392 | PA      | $2441684.17   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7214                      | CUSIP: 3140XPAQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1675555 | PA      | $1748025.20   | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8662                      | CUSIP: 3140QUTU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3363714 | PA      | $3400721.53   | 0.02%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4841                      | CUSIP: 31418ELX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6446466 | PA      | $6477098.81   | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4678                        | CUSIP: 36202FFT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    236889 | PA      | $237655.32    | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6190                      | CUSIP: 3138WF2Y1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    961082 | PA      | $906205.11    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4916                      | CUSIP: 31418EPA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325052 | PA      | $311206.72    | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4701                      | CUSIP: 31418EGK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19544812 | PA      | $19196112.89  | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9618                      | CUSIP: 3140XRVL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1686032 | PA      | $1498369.54   | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8373                      | CUSIP: 3132DWJS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13910706 | PA      | $14273667.16  | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0115                      | CUSIP: 31417YDV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148183 | PA      | $148624.10    | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9786                      | CUSIP: 3138WK2U8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110319 | PA      | $107447.22    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3280                      | CUSIP: 3138EKUE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141060 | PA      | $149387.98    | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738017                      | CUSIP: 3620AR4A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     77034 | PA      | $75186.51     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4671                      | CUSIP: 3132A5FL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4173613 | PA      | $3800370.14   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3451                      | CUSIP: 3138WCZR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172335 | PA      | $168599.27    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1008                      | CUSIP: 3140Q8DN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    421596 | PA      | $410225.93    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5513                      | CUSIP: 3140XMDT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2561612 | PA      | $2662070.81   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4469                        | CUSIP: 36202E6E4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    324207 | PA      | $331062.35    | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5892                      | CUSIP: 3138WFRN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    793130 | PA      | $747836.16    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255004                      | CUSIP: 31371LGM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4096 | PA      | $4387.41      | 0.00%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8035                      | CUSIP: 3132D54U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1996544 | PA      | $1902983.43   | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4618                        | CUSIP: 36202FDX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    214989 | PA      | $219595.02    | 0.00%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3365                      | CUSIP: 3140X6W31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    885926 | PA      | $797839.35    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4929                      | CUSIP: 31418EPP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1988355 | PA      | $2093860.40   | 0.01%             | 2053-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08862                      | CUSIP: 3128MJ5Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1460160 | PA      | $1412837.97   | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5914                      | CUSIP: 3140JASC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8458320 | PA      | $7862066.88   | 0.05%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0767                      | CUSIP: 3140XFZ95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3640613 | PA      | $3040914.13   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2600                      | CUSIP: 36179Q3H2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    421681 | PA      | $388991.13    | 0.00%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4453                      | CUSIP: 36179S5N3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    324406 | PA      | $324869.13    | 0.00%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782974                      | CUSIP: 36241LJT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    168232 | PA      | $171888.76    | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9056                      | CUSIP: 3140XDB21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5517729 | PA      | $4903581.81   | 0.03%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2643                      | CUSIP: 31418B5D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4220624 | PA      | $4048932.35   | 0.02%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5256                      | CUSIP: 3133KLZV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163996 | PA      | $134521.72    | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60711                      | CUSIP: 31335AYG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162571 | PA      | $163927.56    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8132                      | CUSIP: 3132D6A91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4509429 | PA      | $4173888.49   | 0.03%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3584                      | CUSIP: 3132DQ6V3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5364651 | PA      | $5575037.47   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00284                      | CUSIP: 3132GDJ52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    234231 | PA      | $236162.62    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5214                      | CUSIP: 31418EYL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11798628 | PA      | $11817823.31  | 0.07%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7665                      | CUSIP: 3133KPQS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5517730 | PA      | $5296505.19   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5121                      | CUSIP: 3133KYVN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2972172 | PA      | $2611832.45   | 0.02%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4861                      | CUSIP: 31418EMK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1222575 | PA      | $1193329.53   | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0900                      | CUSIP: 3132DM7M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2829495 | PA      | $2351027.72   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4369                        | CUSIP: 36202E2A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    252760 | PA      | $258077.99    | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0686                      | CUSIP: 3618N5XQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24029695 | PA      | $24315626.77  | 0.15%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3521                      | CUSIP: 36179R4E6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6448619 | PA      | $6068818.53   | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4516                      | CUSIP: 31418EAS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11774869 | PA      | $10898716.21  | 0.07%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18568                      | CUSIP: 3128MMT29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    188217 | PA      | $183619.99    | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5123                      | CUSIP: 3140X8VR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3991627 | PA      | $3800121.78   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0794                      | CUSIP: 3138LQ3C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15582 | PA      | $15409.44     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08080                      | CUSIP: 3128MJCS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     94997 | PA      | $98784.78     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4060                      | CUSIP: 3140X7QN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2146316 | PA      | $2089103.88   | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4636                      | CUSIP: 3140XLEJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1022457 | PA      | $1054923.34   | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3902                      | CUSIP: 31418DKQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7726127 | PA      | $6669720.64   | 0.04%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3321                      | CUSIP: 3140QAVP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1518896 | PA      | $1427013.58   | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2624                      | CUSIP: 3132DP4H8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3337754 | PA      | $3134800.22   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6115                      | CUSIP: 3133KMYL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    876153 | PA      | $753616.96    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4176                      | CUSIP: 31418DUA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5794841 | PA      | $5123457.78   | 0.03%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8257                      | CUSIP: 3132DWE66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22390312 | PA      | $22046822.64  | 0.14%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8348                      | CUSIP: 36179XHZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14843610 | PA      | $14942737.11  | 0.09%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90768                      | CUSIP: 312938Z97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109558 | PA      | $112320.18    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3586                      | CUSIP: 3138A46Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    290097 | PA      | $285739.46    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8419                      | CUSIP: 3132DWK85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1888141 | PA      | $1888852.70   | 0.01%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0316                      | CUSIP: 3140XFK67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5257834 | PA      | $4460949.40   | 0.03%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5925                      | CUSIP: 3138WFSP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184545 | PA      | $179644.76    | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2460                      | CUSIP: 3140XHWW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8712589 | PA      | $7881697.07   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2781                      | CUSIP: 31418CCT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1045609 | PA      | $915384.03    | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2520                      | CUSIP: 36179QYR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    427564 | PA      | $394414.67    | 0.00%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4737                      | CUSIP: 31418EHP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10138254 | PA      | $10192766.34  | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3278                      | CUSIP: 3140X6UC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1026278 | PA      | $964195.10    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8510                      | CUSIP: 3132D6N30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3185843 | PA      | $2957749.10   | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08469                      | CUSIP: 3128MJQX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264704 | PA      | $253452.52    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4043                      | CUSIP: 31418DP55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    187767 | PA      | $182342.99    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4932                      | CUSIP: 3140XLPS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4312946 | PA      | $4429619.44   | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7306                      | CUSIP: 3138EQDL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26555 | PA      | $26741.84     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4452                      | CUSIP: 36179S5M5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1494244 | PA      | $1449020.93   | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1520                      | CUSIP: 3142GRVN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7017991 | PA      | $7282251.39   | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC9096                      | CUSIP: 3140F5DA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3017229 | PA      | $2837536.26   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1J1516                      | CUSIP: 3128NHVH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1867 | PA      | $1930.11      | 0.00%             | 2037-02-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3697                      | CUSIP: 3140X7DB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1077933 | PA      | $1072512.20   | 0.01%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC6009                      | CUSIP: 3140F1VB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19669 | PA      | $18528.67     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6933                      | CUSIP: 36179VV23<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    350513 | PA      | $326583.16    | 0.00%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07977                      | CUSIP: 3128MAFS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246750 | PA      | $248823.69    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5282                        | CUSIP: 36202F2P0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    269665 | PA      | $275504.96    | 0.00%             | 2042-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5138                      | CUSIP: 3133KYV71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7088951 | PA      | $6214105.12   | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5989                      | CUSIP: 3140XMUP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1109079 | PA      | $917028.08    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9492                      | CUSIP: 36179YRM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    826592 | PA      | $849913.20    | 0.01%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1972                      | CUSIP: 3140XHFN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3221991 | PA      | $2846382.76   | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4424                        | CUSIP: 36202E4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    429889 | PA      | $438925.51    | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2666                      | CUSIP: 3132DP6B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2117669 | PA      | $2138981.80   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15336                      | CUSIP: 3128MEEH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    455141 | PA      | $445429.44    | 0.00%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1802                      | CUSIP: 31427PAC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11012718 | PA      | $11417935.29  | 0.07%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3071                      | CUSIP: 31418CMV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1185331 | PA      | $1177811.90   | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7049                      | CUSIP: 3138EPZP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456315 | PA      | $458675.09    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783278                      | CUSIP: 36241LUB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      8435 | PA      | $8618.20      | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698474                      | CUSIP: 36296Q6K0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    576450 | PA      | $578131.69    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4003                      | CUSIP: 36179SNU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17637392 | PA      | $16146367.22  | 0.10%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4368                        | CUSIP: 36202EZ93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    454428 | PA      | $455988.19    | 0.00%             | 2039-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5682                      | CUSIP: 3133KMJ30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18215603 | PA      | $15049962.48  | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4408                      | CUSIP: 31418D3S9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2736770 | PA      | $2474348.74   | 0.02%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8932                      | CUSIP: 3140XC4S4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3751517 | PA      | $3685090.05   | 0.02%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4410                      | CUSIP: 3138WD3U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160928 | PA      | $152011.82    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3217                      | CUSIP: 3140X6SF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2663369 | PA      | $2498923.88   | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5467                      | CUSIP: 36179UCC4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3288883 | PA      | $3285357.29   | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2005                      | CUSIP: 3140J6GP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1463180 | PA      | $1418233.06   | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5144                        | CUSIP: 36202FWD4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     74858 | PA      | $71661.59     | 0.00%             | 2041-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4127                      | CUSIP: 3132A4SQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    647801 | PA      | $651389.44    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5875                      | CUSIP: 36179UQ47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2026393 | PA      | $1889948.51   | 0.01%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4899                      | CUSIP: 36179TNQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4780304 | PA      | $4367225.43   | 0.03%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08830                      | CUSIP: 3128MJ4Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17963 | PA      | $16873.19     | 0.00%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888275                      | CUSIP: 31410F2G9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55031 | PA      | $57106.36     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8084                      | CUSIP: 3132DV6V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2915554 | PA      | $2618373.67   | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9658                      | CUSIP: 3140QVWU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6213156 | PA      | $6394912.55   | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q03310                      | CUSIP: 3132GJKX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108248 | PA      | $106413.05    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8202                      | CUSIP: 36179XDF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17681988 | PA      | $17800070.53  | 0.11%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 785056                      | CUSIP: 3622AAQH0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    300709 | PA      | $291190.31    | 0.00%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60506                      | CUSIP: 31335AR34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1229098 | PA      | $1162622.53   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY4200                      | CUSIP: 3138YHU24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    548765 | PA      | $502786.52    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3188                      | CUSIP: 3140XJRJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1946475 | PA      | $1889723.14   | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B4681                      | CUSIP: 3128JQCT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       156 | PA      | $161.81       | 0.00%             | 2040-05-01      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0486                      | CUSIP: 3618N5RG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16379331 | PA      | $16729924.43  | 0.10%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1254                      | CUSIP: 31427NMC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9341480 | PA      | $9675715.84   | 0.06%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 736520                      | CUSIP: 3620AQG56<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    334906 | PA      | $335796.27    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3937                      | CUSIP: 31418DLT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4729878 | PA      | $4259589.89   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5988                      | CUSIP: 3140X9UN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6948489 | PA      | $5732244.32   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67712                      | CUSIP: 3132XCR98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2983506 | PA      | $2915715.65   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4031                      | CUSIP: 31418DPR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311908 | PA      | $309267.02    | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782557                      | CUSIP: 36241KZW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     19476 | PA      | $19839.01     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 720161                      | CUSIP: 3620A6B63<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    181295 | PA      | $181813.73    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 719232                      | CUSIP: 3620A5A90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1689499 | PA      | $1693956.74   | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2593                      | CUSIP: 3132DP3A4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2807397 | PA      | $2893032.83   | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4170                      | CUSIP: 36179ST31<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    169207 | PA      | $165581.20    | 0.00%             | 2032-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4063                      | CUSIP: 31418DQR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    597737 | PA      | $592676.49    | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1155                      | CUSIP: 3140X4H90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1726887 | PA      | $1677798.63   | 0.01%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0706                      | CUSIP: 31417YYC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46830 | PA      | $47094.02     | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0712                      | CUSIP: 3132ACYH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102827 | PA      | $99443.61     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5878                      | CUSIP: 3138ENQ85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    518256 | PA      | $514646.77    | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9201                      | CUSIP: 3140XDGK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10764159 | PA      | $9356269.63   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6219                      | CUSIP: 36179U4C3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7200330 | PA      | $6708752.98   | 0.04%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06995                      | CUSIP: 3128M9C83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    268857 | PA      | $285408.57    | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8206                      | CUSIP: 3132DWDK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19285101 | PA      | $17198852.27  | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7468                      | CUSIP: 3140XPJN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2604645 | PA      | $2673514.13   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7989                      | CUSIP: 36179W2W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15134400 | PA      | $14056224.01  | 0.09%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8114                      | CUSIP: 3132DWAP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12259414 | PA      | $10548684.09  | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4816                      | CUSIP: 3140X8K63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4461236 | PA      | $3684535.52   | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08779                      | CUSIP: 3128MJ2M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7883842 | PA      | $7415563.94   | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3889                      | CUSIP: 3140XKKB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7186722 | PA      | $5984924.02   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8571                      | CUSIP: 36179XQY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10068080 | PA      | $10337070.14  | 0.06%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6996                      | CUSIP: 36179VXZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5226425 | PA      | $4727430.67   | 0.03%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6994                      | CUSIP: 36179VXX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  42284544 | PA      | $35290515.49  | 0.22%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255230                      | CUSIP: 31371LPP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11524 | PA      | $11745.00     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH1304                      | CUSIP: 3138A2NW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1280 | PA      | $1276.59      | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1555                      | CUSIP: 3140XGWR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    408486 | PA      | $381350.28    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9306                      | CUSIP: 36179YKT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13399802 | PA      | $13752571.72  | 0.08%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3936                      | CUSIP: 31417ALS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41817 | PA      | $39970.10     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1029                      | CUSIP: 31418AEB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    746069 | PA      | $737547.55    | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8467                      | CUSIP: 3132A9MQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    326718 | PA      | $322686.88    | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7543                      | CUSIP: 3138WHLZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1601868 | PA      | $1517480.74   | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02866                      | CUSIP: 31294MFF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1160 | PA      | $1158.11      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8850                      | CUSIP: 3140XCZQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1932445 | PA      | $1747067.82   | 0.01%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3663                      | CUSIP: 36179SB89<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3801106 | PA      | $3577234.95   | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01837                      | CUSIP: 3128LXBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    494908 | PA      | $505722.52    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723240                      | CUSIP: 3620A9PZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    134653 | PA      | $137523.16    | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3834                      | CUSIP: 31418DHL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80845 | PA      | $72806.27     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0422                      | CUSIP: 3618N5PG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9399079 | PA      | $9197349.12   | 0.06%             | 2055-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2660                      | CUSIP: 3132DP5V6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4214834 | PA      | $4233545.83   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61260                      | CUSIP: 31335BMH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12715 | PA      | $12806.16     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0424                      | CUSIP: 3618N5PJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24696648 | PA      | $24965433.47  | 0.15%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AE7714                      | CUSIP: 36181BSB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    179471 | PA      | $165399.80    | 0.00%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6931                      | CUSIP: 3140XNVZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6475165 | PA      | $6599834.12   | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1857                      | CUSIP: 3132AEB21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5745965 | PA      | $5765552.60   | 0.04%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9259                      | CUSIP: 3138ERJD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13216 | PA      | $13095.86     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61422                      | CUSIP: 31335BSK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1672949 | PA      | $1669603.06   | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1221                      | CUSIP: 3138EHLB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29480 | PA      | $30796.91     | 0.00%             | 2039-12-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5178                      | CUSIP: 31417BXG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4983772 | PA      | $4776141.94   | 0.03%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786597                      | CUSIP: 3622ACGE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4451901 | PA      | $4449910.22   | 0.03%             | 2051-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3105                      | CUSIP: 36179RNW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2687254 | PA      | $2538963.26   | 0.02%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8343                      | CUSIP: 3132DWHU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13396680 | PA      | $13752509.39  | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5542                      | CUSIP: 3140QREQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2918726 | PA      | $2974921.80   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1132                      | CUSIP: 3132DNHH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4653044 | PA      | $4470849.72   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9964                      | CUSIP: 36180AB93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12323622 | PA      | $12328898.07  | 0.08%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3619                      | CUSIP: 3140X7AV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    473518 | PA      | $471136.91    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3655                      | CUSIP: 3132E0BY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11111688 | PA      | $11292968.31  | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5793                      | CUSIP: 31418FNK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12584730 | PA      | $12885563.99  | 0.08%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0800                      | CUSIP: 3138LQ3J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242195 | PA      | $240098.90    | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3233                      | CUSIP: 3138EKSX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54251 | PA      | $55977.97     | 0.00%             | 2043-03-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4158                      | CUSIP: 3140XKTQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3883573 | PA      | $3732721.50   | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00232                      | CUSIP: 3132GDHH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    220220 | PA      | $222043.75    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8784                      | CUSIP: 3138WJXN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3256434 | PA      | $2956055.11   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3234                      | CUSIP: 3140QNSY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4436057 | PA      | $3983893.16   | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256711                      | CUSIP: 31371NDQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30608 | PA      | $31816.07     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO8431                      | CUSIP: 3140K4LM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    664819 | PA      | $633042.05    | 0.00%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6730                      | CUSIP: 3138WGPQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    233883 | PA      | $220611.52    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2074                      | CUSIP: 3132AEJT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1439422 | PA      | $1321041.33   | 0.01%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8516                      | CUSIP: 3132DWN90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16690246 | PA      | $17082702.07  | 0.11%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0707                      | CUSIP: 31427MYD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7886404 | PA      | $7318144.00   | 0.05%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9555                      | CUSIP: 3133AUTL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4802605 | PA      | $3988984.79   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4053                      | CUSIP: 3132E0QE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7050480 | PA      | $7235544.11   | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2894                      | CUSIP: 36179RGB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    376206 | PA      | $376885.06    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0475                      | CUSIP: 3140XFQ53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1717985 | PA      | $1422642.22   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735591                      | CUSIP: 31402RF87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    133273 | PA      | $135883.88    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2995                      | CUSIP: 31418CKH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1268415 | PA      | $1229450.84   | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08848                      | CUSIP: 3128MJ5J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2256550 | PA      | $2247805.15   | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4180                      | CUSIP: 3138ELUE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2881 | PA      | $2864.27      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5324                      | CUSIP: 3133KY4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1128286 | PA      | $1142109.37   | 0.01%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9542                      | CUSIP: 36179YS70<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6544136 | PA      | $6696992.45   | 0.04%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8871                      | CUSIP: 3140QG2D8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3763516 | PA      | $3345796.50   | 0.02%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5586                      | CUSIP: 31418FF44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4160497 | PA      | $4214598.01   | 0.03%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8231                      | CUSIP: 3140XQED5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4140869 | PA      | $4332907.78   | 0.03%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5855                      | CUSIP: 3133KMQG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1694201 | PA      | $1452491.06   | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9163                      | CUSIP: 3140XRFD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10065087 | PA      | $9539954.93   | 0.06%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5018                        | CUSIP: 36202FSF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    154381 | PA      | $157764.70    | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08711                      | CUSIP: 3128MJYH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1397384 | PA      | $1317876.35   | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4179                      | CUSIP: 31418DUD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6449833 | PA      | $6010220.46   | 0.04%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0429                      | CUSIP: 31427MPP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2269115 | PA      | $2408916.67   | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV7937                      | CUSIP: 3140MMZB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158625 | PA      | $152066.45    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA7256                      | CUSIP: 3133A2BZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2007820 | PA      | $1808183.80   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8439                      | CUSIP: 3132DWLU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5827666 | PA      | $5976079.89   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7254                      | CUSIP: 36179WBX5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  30111156 | PA      | $25111833.95  | 0.15%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4418                      | CUSIP: 31418D4C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6167994 | PA      | $5712896.14   | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2931                      | CUSIP: 31418CHH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204337 | PA      | $199801.78    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3375                      | CUSIP: 36179RXC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2916603 | PA      | $2671862.55   | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8026                      | CUSIP: 3132D54K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1485222 | PA      | $1417015.21   | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ5503                      | CUSIP: 3142GWDH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6133064 | PA      | $6175623.78   | 0.04%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3561                      | CUSIP: 3140XJ5X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1458545 | PA      | $1405017.79   | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4101                      | CUSIP: 31418RRX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53159 | PA      | $53533.39     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8694                      | CUSIP: 3140XQUU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8791479 | PA      | $8298118.23   | 0.05%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1354                      | CUSIP: 3138EHQG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183727 | PA      | $184941.64    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1980                      | CUSIP: 31418BFW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    289330 | PA      | $273693.02    | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1886                      | CUSIP: 3138AFCY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    385029 | PA      | $387664.47    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5096                      | CUSIP: 3133KYUV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2402964 | PA      | $2180885.93   | 0.01%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY4493                      | CUSIP: 3140NL7F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4224444 | PA      | $4291257.40   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782628                      | CUSIP: 36241K4M7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    377513 | PA      | $369342.19    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9591                      | CUSIP: 3138ERUR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    734717 | PA      | $719429.75    | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1948                      | CUSIP: 3138EJEW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    480264 | PA      | $472506.54    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8547                      | CUSIP: 3140QUP91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2543464 | PA      | $2663280.93   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5137                      | CUSIP: 36179TV69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4824569 | PA      | $4666491.14   | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5431                      | CUSIP: 3140X9A96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    453300 | PA      | $470416.07    | 0.00%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6416                      | CUSIP: 3140QEDW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1412872 | PA      | $1278130.64   | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82678                       | CUSIP: 36225E6Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1743 | PA      | $1784.02      | 0.00%             | 2040-11-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9107                      | CUSIP: 36179YDL5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11374687 | PA      | $11667921.62  | 0.07%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3912                      | CUSIP: 36179SKZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    314698 | PA      | $305251.99    | 0.00%             | 2031-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI3791                      | CUSIP: 3138AHF92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       553 | PA      | $551.47       | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8378                      | CUSIP: 3132DWJX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3646316 | PA      | $3824128.41   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5315                      | CUSIP: 3132DS3Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4318879 | PA      | $4379088.95   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5990                      | CUSIP: 3140X9UQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5955061 | PA      | $5170590.79   | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2403                      | CUSIP: 3132DPU48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3455674 | PA      | $3553399.04   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA4670                      | CUSIP: 31346YFK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79698 | PA      | $80973.12     | 0.00%             | 2049-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1173                      | CUSIP: 3140XGJT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3801592 | PA      | $3544297.81   | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0923                      | CUSIP: 3132DNAY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2501896 | PA      | $2166062.45   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97626                      | CUSIP: 312946PK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247807 | PA      | $254170.77    | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4445                      | CUSIP: 31418D5F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12764646 | PA      | $10837299.04  | 0.07%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8629                      | CUSIP: 3140XCST6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2242982 | PA      | $1742135.75   | 0.01%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU7032                      | CUSIP: 3138X6Y66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1174359 | PA      | $1153266.25   | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784114                      | CUSIP: 3622A2SB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1885451 | PA      | $1774404.97   | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18677                      | CUSIP: 3128MMXF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1235052 | PA      | $1206183.05   | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9362                      | CUSIP: 3138MRML2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    297044 | PA      | $292941.72    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3277                      | CUSIP: 31418CUB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1894609 | PA      | $1834041.59   | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256851                      | CUSIP: 31371NH40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9211 | PA      | $10037.48     | 0.00%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8189                      | CUSIP: 3132D6C24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3325496 | PA      | $3297617.15   | 0.02%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0025                      | CUSIP: 36179MA26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     19997 | PA      | $20429.15     | 0.00%             | 2042-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2186                      | CUSIP: 3140X5NC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    355602 | PA      | $322911.62    | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6020                      | CUSIP: 3140QDVN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    783437 | PA      | $697461.19    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08641                      | CUSIP: 3128MJWB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    725744 | PA      | $685965.80    | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4858                      | CUSIP: 3140X8MG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1424945 | PA      | $1421787.59   | 0.01%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7473                      | CUSIP: 31417EJT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    196779 | PA      | $182321.32    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1457                      | CUSIP: 3132CXTN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1209214 | PA      | $1238654.22   | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1101                      | CUSIP: 3138WAGK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    595153 | PA      | $582857.26    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7534                      | CUSIP: 3132DVLP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9296959 | PA      | $8136171.18   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7680                      | CUSIP: 3138E0RA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    916638 | PA      | $876925.20    | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7207                      | CUSIP: 3138EQAH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12283 | PA      | $12351.10     | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90938                      | CUSIP: 3128P7BF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.44         | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8507                      | CUSIP: 3132DWNY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11206866 | PA      | $11470384.89  | 0.07%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01527                      | CUSIP: 31292HVU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39459 | PA      | $40822.48     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 733933                      | CUSIP: 3620AMLN0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    140378 | PA      | $136805.14    | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0088                      | CUSIP: 36179MCZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2727220 | PA      | $2600678.99   | 0.02%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3818                      | CUSIP: 31418DG48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       826 | PA      | $840.30       | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6319                      | CUSIP: 3140XNAV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7267482 | PA      | $5644692.10   | 0.03%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5703                      | CUSIP: 3140QRKR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4730591 | PA      | $4917589.65   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08554                      | CUSIP: 3128MJTL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1671997 | PA      | $1589966.90   | 0.01%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2928                      | CUSIP: 3140XJHE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2507401 | PA      | $2488731.84   | 0.02%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3372                      | CUSIP: 31418CXA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    750201 | PA      | $750658.43    | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08534                      | CUSIP: 3128MJSY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    989012 | PA      | $915623.49    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3926                      | CUSIP: 3140J8LG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    266903 | PA      | $261182.92    | 0.00%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1996                      | CUSIP: 36179QGD7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    626602 | PA      | $610381.49    | 0.00%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3504                      | CUSIP: 3132DQ3M6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5094668 | PA      | $5252674.27   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995023                      | CUSIP: 31416BLC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    527088 | PA      | $547347.56    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0797                      | CUSIP: 3138W93F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33635 | PA      | $32961.05     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0030                      | CUSIP: 3138EGA87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40498 | PA      | $42218.83     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2224                      | CUSIP: 36179QPH8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2556456 | PA      | $2488729.43   | 0.02%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP3421                      | CUSIP: 3140KAYT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7779695 | PA      | $6381490.73   | 0.04%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8645                      | CUSIP: 36179XTA4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1014855 | PA      | $970899.61    | 0.01%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3306                      | CUSIP: 31418CU85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2262834 | PA      | $2190494.40   | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6615                      | CUSIP: 3138EPK52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4653 | PA      | $4630.24      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI2128                      | CUSIP: 3138AFLJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7452 | PA      | $7759.36      | 0.00%             | 2041-05-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1064                      | CUSIP: 3132DNFD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    914751 | PA      | $817223.06    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02482                      | CUSIP: 3128M4CT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2847 | PA      | $3009.07      | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7511                      | CUSIP: 3132DVKY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1619397 | PA      | $1523459.35   | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18472                      | CUSIP: 3128MMQ22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    641277 | PA      | $631481.83    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4767                      | CUSIP: 3140XLJM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3751797 | PA      | $3261083.48   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4143                      | CUSIP: 3140X7S91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    959913 | PA      | $935783.80    | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8493                      | CUSIP: 3132DWNJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31635146 | PA      | $32046513.85  | 0.20%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9145                      | CUSIP: 3140QVET7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5718511 | PA      | $5844695.19   | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14203                      | CUSIP: 3128MC3L7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3582 | PA      | $3576.06      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8151                      | CUSIP: 3132DWBU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6581109 | PA      | $5658640.63   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8090                      | CUSIP: 3132DV7B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20705030 | PA      | $17029115.07  | 0.11%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A13590                      | CUSIP: 31296M7B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16348 | PA      | $16941.82     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3856                      | CUSIP: 3132E0H96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3184502 | PA      | $3329789.70   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8319                      | CUSIP: 3132D6G46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3174530 | PA      | $3251818.27   | 0.02%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5 12/25                   | CUSIP: 21H0506C1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11870000 | PA      | $11857016.59  | 0.07%             | 2025-12-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2371                      | CUSIP: 36179QT43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    527082 | PA      | $498981.05    | 0.00%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91905                      | CUSIP: 3128P8DJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1708104 | PA      | $1634494.14   | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7558                      | CUSIP: 3140XBMG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3776757 | PA      | $3534126.16   | 0.02%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q14875                      | CUSIP: 3132HRMY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    291289 | PA      | $270662.42    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5273                      | CUSIP: 31418E2F6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1181952 | PA      | $1224762.42   | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5134                      | CUSIP: 3133KYV30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5127765 | PA      | $4350785.78   | 0.03%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4141                      | CUSIP: 3140QBS74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    629271 | PA      | $570439.08    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2516                      | CUSIP: 3140W2YN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8609514 | PA      | $8669258.78   | 0.05%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1585                      | CUSIP: 3138WAXP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57900 | PA      | $58193.53     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932135                      | CUSIP: 31412QSY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143830 | PA      | $147239.22    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8299                      | CUSIP: 3132DWGG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3344429 | PA      | $3351855.82   | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3357                      | CUSIP: 31418CWT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    557775 | PA      | $539943.31    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5154                      | CUSIP: 3133KYWP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6802363 | PA      | $6129062.74   | 0.04%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735036                      | CUSIP: 31402QSZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126155 | PA      | $130947.42    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5592                      | CUSIP: 3132DTF96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9232171 | PA      | $7604656.84   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2728                      | CUSIP: 3138WCA60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     86282 | PA      | $86696.41     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0753                      | CUSIP: 3140XFZT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3054373 | PA      | $2639607.22   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2488                      | CUSIP: 3140QMXS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2126102 | PA      | $1927863.33   | 0.01%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18626                      | CUSIP: 3128MMVU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1184675 | PA      | $1147198.01   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5996                      | CUSIP: 3140XMUW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14973749 | PA      | $15366787.39  | 0.09%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4399                      | CUSIP: 3140X73H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1875529 | PA      | $1562480.44   | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0813                      | CUSIP: 31418M3X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143497 | PA      | $146915.04    | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2754                      | CUSIP: 36179RBX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4561606 | PA      | $4314197.55   | 0.03%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1490                      | CUSIP: 31418AUQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    885973 | PA      | $861340.41    | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0541                      | CUSIP: 3132ACS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3123965 | PA      | $3039716.79   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3659                      | CUSIP: 3140XKB58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3725397 | PA      | $3821571.47   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03120                      | CUSIP: 3128M4YR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     93967 | PA      | $99559.95     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4287                      | CUSIP: 31418DXR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    474075 | PA      | $418121.85    | 0.00%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2847                      | CUSIP: 3140QNEV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13492568 | PA      | $11092917.12  | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5670                      | CUSIP: 31417CJQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1241423 | PA      | $1183194.43   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8079                      | CUSIP: 3132D56Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1720265 | PA      | $1603013.83   | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK4615                      | CUSIP: 3138E9DV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155712 | PA      | $153381.23    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4471                      | CUSIP: 31418D6H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1426148 | PA      | $1350403.95   | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7988                      | CUSIP: 36179W2V9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9973220 | PA      | $9003883.25   | 0.06%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 848983                      | CUSIP: 31408EFY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5305 | PA      | $5518.73      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7739                      | CUSIP: 3140QFS59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3240962 | PA      | $2806934.77   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01740                      | CUSIP: 31283H4Z5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    240211 | PA      | $249498.05    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1155                      | CUSIP: 3132DNH89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4142353 | PA      | $3718831.20   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18577                      | CUSIP: 3128MMUB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    879542 | PA      | $856414.23    | 0.01%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0291                      | CUSIP: 3140XFKD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    855920 | PA      | $710381.98    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5616                      | CUSIP: 3138ENG29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127624 | PA      | $132875.81    | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8261                      | CUSIP: 3132D6FA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    453842 | PA      | $465883.99    | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9422                      | CUSIP: 36179YPF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4234730 | PA      | $4248453.03   | 0.03%             | 2054-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR8881                      | CUSIP: 3140L72P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1019905 | PA      | $836602.81    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1560                      | CUSIP: 3140Q8WW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    236742 | PA      | $236439.20    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2014                      | CUSIP: 3133KHGX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13492388 | PA      | $12511752.97  | 0.08%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2604                      | CUSIP: 3140XH3N5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3717999 | PA      | $3755418.33   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3987                      | CUSIP: 31418DND0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1613189 | PA      | $1471863.42   | 0.01%             | 2040-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4587                      | CUSIP: 31418ECZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5988222 | PA      | $5395227.87   | 0.03%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08838                      | CUSIP: 3128MJ4Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179684 | PA      | $183442.67    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5936                      | CUSIP: 3140X9S22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4163956 | PA      | $3843685.37   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8183                      | CUSIP: 3132D6CU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1890513 | PA      | $1845289.82   | 0.01%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18619                      | CUSIP: 3128MMVM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    952464 | PA      | $923020.35    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08699                      | CUSIP: 3128MJX54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1114294 | PA      | $1086538.36   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4418                      | CUSIP: 3133KK4B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    230928 | PA      | $198702.98    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1401                      | CUSIP: 31418ARX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    845231 | PA      | $822463.57    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6867                      | CUSIP: 36179VTY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1965328 | PA      | $1829309.74   | 0.01%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 964874                      | CUSIP: 31414FMX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9701 | PA      | $10298.54     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0916                      | CUSIP: 3140XGAS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4040328 | PA      | $3590621.87   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01931                      | CUSIP: 3128LXEC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    832977 | PA      | $866734.65    | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01449                      | CUSIP: 31283HTE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8452 | PA      | $8871.90      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6293                      | CUSIP: 3140X97F6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4424069 | PA      | $3937181.52   | 0.02%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0711                      | CUSIP: 3140QKYH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1323495 | PA      | $1035410.03   | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0028                      | CUSIP: 3132ACA59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3391490 | PA      | $3131645.13   | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06877                      | CUSIP: 3128M86N9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90092 | PA      | $95429.94     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AV8890                      | CUSIP: 36195K2X1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    842185 | PA      | $808537.73    | 0.00%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5259                        | CUSIP: 36202FZY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    416068 | PA      | $406923.39    | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5442                      | CUSIP: 31418FBL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2435082 | PA      | $2385549.87   | 0.01%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6479                      | CUSIP: 3140XNFV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16705759 | PA      | $14238832.56  | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07859                      | CUSIP: 3128MAB40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190090 | PA      | $191408.94    | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7326                      | CUSIP: 3140XPD89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    988198 | PA      | $952240.53    | 0.01%             | 2038-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1893                      | CUSIP: 3132DPC63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3384915 | PA      | $3422155.19   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3783                      | CUSIP: 3140X7FZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2086321 | PA      | $2016821.04   | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01786                      | CUSIP: 31292H6X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10753 | PA      | $11156.45     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0747                      | CUSIP: 3618N5ZM4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6360000 | PA      | $6513524.04   | 0.04%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08443                      | CUSIP: 3128MJP53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    293939 | PA      | $296349.66    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0781                      | CUSIP: 3132DM2N4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13267690 | PA      | $11902884.98  | 0.07%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3104                      | CUSIP: 3140QNNW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1087983 | PA      | $941941.60    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5515                      | CUSIP: 3140XMDV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3097189 | PA      | $3230266.43   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0716                      | CUSIP: 3132DMYM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1588977 | PA      | $1326240.14   | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2373                      | CUSIP: 36179QT68<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    882410 | PA      | $883815.56    | 0.01%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848206                      | CUSIP: 31300LDK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2011 | PA      | $2096.33      | 0.00%             | 2039-12-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2030                      | CUSIP: 3132DPHF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1654729 | PA      | $1718131.79   | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3034                      | CUSIP: 36179RLP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2252497 | PA      | $2128253.35   | 0.01%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786317                      | CUSIP: 3622AB4A7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2966914 | PA      | $2983018.75   | 0.02%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08451                      | CUSIP: 3128MJQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    330700 | PA      | $333383.60    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9649                      | CUSIP: 3140QVWK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6032166 | PA      | $6070255.31   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8390                      | CUSIP: 3132DWKB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75025 | PA      | $71594.81     | 0.00%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5422                      | CUSIP: 31418FAY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4781250 | PA      | $4949197.99   | 0.03%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995196                      | CUSIP: 31416BRR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    226893 | PA      | $239934.33    | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5651                      | CUSIP: 3140QRH55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2574697 | PA      | $2656157.98   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4770                        | CUSIP: 36202FJP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    172431 | PA      | $168934.66    | 0.00%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4814                      | CUSIP: 3140XLK49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2593553 | PA      | $2347024.51   | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01222                      | CUSIP: 31292HLB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       778 | PA      | $819.96       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5114                        | CUSIP: 36202FVF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    244919 | PA      | $239708.67    | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2838                      | CUSIP: 3140QNEL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    537373 | PA      | $445999.94    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3101                      | CUSIP: 31418CNT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    844329 | PA      | $842721.70    | 0.01%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61582                      | CUSIP: 31335BXK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    316904 | PA      | $307623.50    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 787108                      | CUSIP: 3622ACYD6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7089230 | PA      | $7438053.44   | 0.05%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8967                      | CUSIP: 3138ET6D3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160459 | PA      | $156533.07    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4383                      | CUSIP: 31418D2R2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7944811 | PA      | $7361095.80   | 0.05%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9965                      | CUSIP: 36180ACA9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21570393 | PA      | $21808523.41  | 0.13%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3430                      | CUSIP: 3138A4Y41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3290 | PA      | $3280.21      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18459                      | CUSIP: 3128MMQM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17325 | PA      | $17089.96     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8800                      | CUSIP: 36179XX50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16629085 | PA      | $16708955.77  | 0.10%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3803                      | CUSIP: 36179SGL5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3855618 | PA      | $3628535.62   | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2680                      | CUSIP: 36179Q6R7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    240906 | PA      | $241484.04    | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5384                      | CUSIP: 3140X86W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    668586 | PA      | $655703.93    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8042                      | CUSIP: 36179W5B0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1140017 | PA      | $990453.92    | 0.01%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3936                      | CUSIP: 36179SLR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7813505 | PA      | $7157852.32   | 0.04%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05958                      | CUSIP: 3128M75T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1098974 | PA      | $1126906.13   | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738882                      | CUSIP: 3620AS2P3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    153218 | PA      | $149426.40    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2 12/25                   | CUSIP: 01F0204C0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9155000 | PA      | $8464799.06   | 0.05%             | 2025-12-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5445                      | CUSIP: 31418FBP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29621930 | PA      | $30348547.17  | 0.19%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7878                      | CUSIP: 3140XPXG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2831574 | PA      | $2931117.50   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX5316                      | CUSIP: 3138Y64A9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    331776 | PA      | $334079.37    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4019                      | CUSIP: 31418DPD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10832770 | PA      | $9344816.70   | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8875                      | CUSIP: 36179X2G0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9160279 | PA      | $8464760.93   | 0.05%             | 2053-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3851                      | CUSIP: 3140XKH52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5620228 | PA      | $5082488.90   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD2342                      | CUSIP: 31418PS89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156316 | PA      | $160063.22    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0314                      | CUSIP: 3142GQK43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2971655 | PA      | $3066836.20   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7536                      | CUSIP: 3132DVLR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9977422 | PA      | $8669315.16   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6293                      | CUSIP: 3140XM7F7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1580912 | PA      | $1644455.32   | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8162                      | CUSIP: 3132DWB77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2690538 | PA      | $2409566.98   | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7310                      | CUSIP: 36179WDP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5144733 | PA      | $4108907.25   | 0.03%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8470                      | CUSIP: 3138ETMU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2198920 | PA      | $2084454.05   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60899                      | CUSIP: 31335A7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150666 | PA      | $151933.91    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0998                      | CUSIP: 3132DNDB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    973020 | PA      | $841801.68    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04331                      | CUSIP: 3128M6EC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214516 | PA      | $219374.20    | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8682                      | CUSIP: 3132A9UF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46773 | PA      | $45641.59     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782998                      | CUSIP: 36241LKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     72026 | PA      | $73573.91     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08168                      | CUSIP: 3128MJFJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311166 | PA      | $329017.05    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1813                      | CUSIP: 3133L8AN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1617071 | PA      | $1465789.14   | 0.01%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05030                      | CUSIP: 3128M64P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54051 | PA      | $57136.18     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6306                      | CUSIP: 3138EPAG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    252488 | PA      | $253942.01    | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU0949                      | CUSIP: 3138X0BT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170396 | PA      | $163045.09    | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5190                      | CUSIP: 31418EXU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7567176 | PA      | $7682129.47   | 0.05%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0260                      | CUSIP: 3618N5JE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11464915 | PA      | $11663740.32  | 0.07%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q54334                      | CUSIP: 3132XWY88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    973053 | PA      | $914648.11    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BA0938                      | CUSIP: 3617ADBF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    148553 | PA      | $147651.83    | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5279                        | CUSIP: 36202F2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2125775 | PA      | $2028871.38   | 0.01%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723434                      | CUSIP: 3620A9V32<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     51114 | PA      | $52209.89     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6988                      | CUSIP: 3140QEXS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9302312 | PA      | $8103065.21   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0103                      | CUSIP: 3140EUDH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5273131 | PA      | $4998634.84   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2929                      | CUSIP: 31418CHF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1157800 | PA      | $1088846.50   | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0658                      | CUSIP: 3138EGWU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325534 | PA      | $327813.21    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8532                      | CUSIP: 3132DWPR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3137327 | PA      | $3132626.93   | 0.02%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8447                      | CUSIP: 3132DWL43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24133913 | PA      | $24707399.51  | 0.15%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ0534                      | CUSIP: 3138MFSY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    249585 | PA      | $232481.30    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5141                      | CUSIP: 3133KYWA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67195 | PA      | $58863.60     | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2473                      | CUSIP: 31418BXB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    513435 | PA      | $504517.24    | 0.00%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0511                      | CUSIP: 31417YR90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101414 | PA      | $101911.12    | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1927                      | CUSIP: 3138EJD96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3634 | PA      | $3788.81      | 0.00%             | 2039-11-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8345                      | CUSIP: 36179XHW9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1033537 | PA      | $958858.33    | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8045                      | CUSIP: 3132DV5E1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1261134 | PA      | $1180114.51   | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0218                      | CUSIP: 31419AG43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    594902 | PA      | $599130.23    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7522                      | CUSIP: 3140QTLC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11020324 | PA      | $11549486.91  | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786091                      | CUSIP: 3622ABUQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4303479 | PA      | $4036570.78   | 0.02%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4326                      | CUSIP: 31418DYY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10775305 | PA      | $9264939.34   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4492                      | CUSIP: 3133KK7D5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1038411 | PA      | $863464.66    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5665                      | CUSIP: 31417CJK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44932 | PA      | $42881.90     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2569                      | CUSIP: 36179Q2A8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    162031 | PA      | $159412.53    | 0.00%             | 2030-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5709                      | CUSIP: 3138LWKX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186214 | PA      | $183672.32    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2758                      | CUSIP: 3132DQB39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1983807 | PA      | $2041840.08   | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18725                      | CUSIP: 3128MMYX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67932 | PA      | $66152.69     | 0.00%             | 2034-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3775                      | CUSIP: 3140QPFR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    746061 | PA      | $715915.74    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2181                      | CUSIP: 3132DPM62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3630946 | PA      | $3729220.96   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5596                      | CUSIP: 36179UGD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    297102 | PA      | $296504.85    | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889745                      | CUSIP: 31410KP65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138265 | PA      | $143367.13    | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01584                      | CUSIP: 31283HXM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142055 | PA      | $144747.94    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7883                      | CUSIP: 36179WXL7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1768035 | PA      | $1642632.96   | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q45094                      | CUSIP: 3132WJUU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    492244 | PA      | $447359.28    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255842                      | CUSIP: 31371MEP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11563 | PA      | $11809.88     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37279                      | CUSIP: 31297TCQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8467 | PA      | $8816.28      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4387                      | CUSIP: 3138LU2V6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157709 | PA      | $151330.09    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8016                      | CUSIP: 3132DV3Z6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11038295 | PA      | $9940765.32   | 0.06%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4098                      | CUSIP: 3140XKRU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2879838 | PA      | $2967682.77   | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DB5477                      | CUSIP: 3140AFCP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2116850 | PA      | $2152975.84   | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8566                      | CUSIP: 36179XQT6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6896718 | PA      | $6390308.96   | 0.04%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5085                      | CUSIP: 3133KYUJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16345638 | PA      | $14450475.61  | 0.09%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6818                      | CUSIP: 36179VSF8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2239834 | PA      | $1871456.22   | 0.01%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07925                      | CUSIP: 3128MAD63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    714536 | PA      | $701679.75    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08836                      | CUSIP: 3128MJ4W7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    986293 | PA      | $954944.86    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3174                      | CUSIP: 36179RQ36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1110016 | PA      | $1078344.34   | 0.01%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1703                      | CUSIP: 3132AD3L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    831804 | PA      | $807551.51    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4111                      | CUSIP: 31418DR95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1214717 | PA      | $1104493.07   | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9990                      | CUSIP: 3138WLC43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    497123 | PA      | $496177.16    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08648                      | CUSIP: 3128MJWJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1100923 | PA      | $1009593.58   | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3246                      | CUSIP: 31418CTC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294296 | PA      | $283613.11    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725238                      | CUSIP: 31402CV74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    135556 | PA      | $138041.63    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6284                      | CUSIP: 3140XM6W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6341095 | PA      | $5288632.63   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5906                      | CUSIP: 3140QRR47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4116055 | PA      | $4195303.37   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3695                      | CUSIP: 3140FPC98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    566524 | PA      | $532607.39    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4653                      | CUSIP: 3132DSE24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2777054 | PA      | $2798928.69   | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8167                      | CUSIP: 3132DWCC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12171428 | PA      | $10434940.32  | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0697                      | CUSIP: 36179MX21<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    460969 | PA      | $416408.89    | 0.00%             | 2043-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5021                      | CUSIP: 36179TSJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    112864 | PA      | $112954.76    | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0037                      | CUSIP: 3132CWBE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    119609 | PA      | $118335.04    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723526                      | CUSIP: 3620A9YX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     51883 | PA      | $52030.82     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03695                      | CUSIP: 3128M5NL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218780 | PA      | $227736.33    | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4165                      | CUSIP: 3140XKTX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2690190 | PA      | $2334966.35   | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5841                      | CUSIP: 3140X9P33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    771479 | PA      | $769287.54    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783473                      | CUSIP: 36241L2E5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    173605 | PA      | $165053.46    | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3927                      | CUSIP: 3132E0LG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11036617 | PA      | $11204274.30  | 0.07%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8349                      | CUSIP: 36179XH25<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10406578 | PA      | $10600326.07  | 0.07%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7174                      | CUSIP: 3140XA6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1507167 | PA      | $1515536.90   | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4040                      | CUSIP: 3140XKP20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1321838 | PA      | $1335141.90   | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ9191                      | CUSIP: 3140KVF96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1152085 | PA      | $957988.10    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1240                      | CUSIP: 31418ALW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44353 | PA      | $43771.64     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3939                      | CUSIP: 31418DLV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1532004 | PA      | $1433104.84   | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2161                      | CUSIP: 3132DPMJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3067322 | PA      | $3131170.86   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2425                      | CUSIP: 31418BVT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    420652 | PA      | $413178.08    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4305                      | CUSIP: 31418DYB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  39778746 | PA      | $32629518.53  | 0.20%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7413                      | CUSIP: 3132DVGW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6172108 | PA      | $6209152.61   | 0.04%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QH2144                      | CUSIP: 3133CELZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5903512 | PA      | $6060314.82   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1602                      | CUSIP: 36179NX78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    214989 | PA      | $215525.50    | 0.00%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8441                      | CUSIP: 3140QGLX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3379633 | PA      | $2810250.05   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA7681                      | CUSIP: 31416RRB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    236787 | PA      | $238485.19    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9437                      | CUSIP: 3138EEPX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176759 | PA      | $168789.78    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5697                      | CUSIP: 3138WFKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    827590 | PA      | $780510.41    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87701                      | CUSIP: 312934RW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156817 | PA      | $158133.67    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8489                      | CUSIP: 3132DWNE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27266068 | PA      | $26711448.76  | 0.16%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2713                      | CUSIP: 3138WQAP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77303 | PA      | $79731.87     | 0.00%             | 2043-07-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91606                      | CUSIP: 3128P7YB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    344352 | PA      | $335437.39    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3437                      | CUSIP: 3140XJZB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1641138 | PA      | $1704019.91   | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 366983                      | CUSIP: 36204DUG2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     21566 | PA      | $21029.26     | 0.00%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0324                      | CUSIP: 3140Q7LE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277590 | PA      | $276801.11    | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03926                      | CUSIP: 3128M5VT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197384 | PA      | $209234.71    | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889150                      | CUSIP: 31410GZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55263 | PA      | $57549.20     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60081                      | CUSIP: 31335ACS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24216 | PA      | $23767.81     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890246                      | CUSIP: 31410LBP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165107 | PA      | $171851.20    | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05733                      | CUSIP: 3128M7V29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21922 | PA      | $22467.00     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7828                      | CUSIP: 36179WVV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20190312 | PA      | $18227934.98  | 0.11%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4977                        | CUSIP: 36202FQ66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    353777 | PA      | $346440.04    | 0.00%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08271                      | CUSIP: 3128MJJR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203884 | PA      | $216668.64    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8113                      | CUSIP: 3132DWAN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  30653554 | PA      | $25163508.29  | 0.16%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4869                      | CUSIP: 31418EMT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7541342 | PA      | $7678221.77   | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7533                      | CUSIP: 36179WLN6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27246727 | PA      | $22714467.88  | 0.14%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1683                      | CUSIP: 3140X42R6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219065 | PA      | $211405.00    | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3235                      | CUSIP: 3131XJSY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2831360 | PA      | $2709940.86   | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0007                      | CUSIP: 31419AAH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    123903 | PA      | $131422.47    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8078                      | CUSIP: 3132D56P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9579322 | PA      | $8683148.10   | 0.05%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV3616                      | CUSIP: 3138XFAS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    135793 | PA      | $134035.71    | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7467                      | CUSIP: 3140XBJM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4996740 | PA      | $4656168.43   | 0.03%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4469                      | CUSIP: 31418R6F3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       611 | PA      | $636.02       | 0.00%             | 2040-05-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5330                      | CUSIP: 3132DS4P4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2658511 | PA      | $2760277.83   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0212                      | CUSIP: 3140XFGW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    701259 | PA      | $581361.26    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08766                      | CUSIP: 3128MJZ86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    513377 | PA      | $483204.67    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08563                      | CUSIP: 3128MJTV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    275318 | PA      | $270004.70    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18628                      | CUSIP: 3128MMVW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    519261 | PA      | $497404.38    | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786788                      | CUSIP: 3622ACND8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6591602 | PA      | $6831051.75   | 0.04%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4661                      | CUSIP: 31418EFB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173985 | PA      | $166776.56    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3745                      | CUSIP: 31418DET5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1491786 | PA      | $1397347.95   | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6363                      | CUSIP: 3140QEB92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5446725 | PA      | $4944309.16   | 0.03%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BA2882                      | CUSIP: 3140E7FY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245436 | PA      | $241019.06    | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4772                      | CUSIP: 3140X8JS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1551065 | PA      | $1561911.04   | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3286                      | CUSIP: 3140J7UL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    513333 | PA      | $511874.38    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7409                      | CUSIP: 3140XBGT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6905704 | PA      | $5885944.13   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08623                      | CUSIP: 3128MJVR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1718200 | PA      | $1626180.37   | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO9296                      | CUSIP: 3138M1KJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    259710 | PA      | $248712.00    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2962                      | CUSIP: 36179RJF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1508232 | PA      | $1465922.55   | 0.01%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2772                      | CUSIP: 3132DQCH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5671932 | PA      | $5789999.25   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8063                      | CUSIP: 3132DV5Y7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1118184 | PA      | $1045649.45   | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08849                      | CUSIP: 3128MJ5K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349078 | PA      | $355943.38    | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2828                      | CUSIP: 36179RD97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    420629 | PA      | $421258.63    | 0.00%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE7731                      | CUSIP: 31419JSV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223259 | PA      | $224831.44    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7545                      | CUSIP: 3138WHL34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192435 | PA      | $181275.50    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9403                      | CUSIP: 3140XRNV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5186790 | PA      | $5355757.61   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90993                      | CUSIP: 3128P7C68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2933 | PA      | $2942.30      | 0.00%             | 2026-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0238                      | CUSIP: 3138EGHQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       156 | PA      | $155.17       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17969                      | CUSIP: 3128PX2A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34751 | PA      | $34518.02     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9055                      | CUSIP: 3138ABBZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    641234 | PA      | $645710.28    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1849                      | CUSIP: 3140X5BT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29985 | PA      | $29679.68     | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7931                      | CUSIP: 3133KPY44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2123069 | PA      | $2090498.72   | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16400                      | CUSIP: 3128PWDD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10997 | PA      | $10960.97     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 428124                      | CUSIP: 36207CSM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     48021 | PA      | $49042.05     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3188                      | CUSIP: 31418CRJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1291458 | PA      | $1260795.43   | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4017                      | CUSIP: 31418DPB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1318724 | PA      | $1237880.31   | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8665                      | CUSIP: 3132A9TW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22302 | PA      | $21786.53     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1208                      | CUSIP: 31418AKW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    952218 | PA      | $884037.49    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1981                      | CUSIP: 3142GSFX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7078486 | PA      | $7406760.53   | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4089                      | CUSIP: 31417ARK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14388 | PA      | $14287.03     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87880                      | CUSIP: 312934XH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35031 | PA      | $35325.09     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08852                      | CUSIP: 3128MJ5N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    592140 | PA      | $572948.79    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3882                      | CUSIP: 3133KKJ34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65497 | PA      | $53940.84     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4451                      | CUSIP: 36179S5L7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4071965 | PA      | $3823233.64   | 0.02%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9873                      | CUSIP: 3138AP6K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102222 | PA      | $100462.16    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8199                      | CUSIP: 36179XDC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6533832 | PA      | $6068361.24   | 0.04%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0361                      | CUSIP: 3140XFMK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6095041 | PA      | $5276892.86   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3779                      | CUSIP: 3132E0FU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1615463 | PA      | $1548674.28   | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08687                      | CUSIP: 3128MJXR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414826 | PA      | $391741.83    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18424                      | CUSIP: 3128MMPJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50275 | PA      | $49907.03     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5562                      | CUSIP: 31418FFC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7076583 | PA      | $7163284.67   | 0.04%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8896                      | CUSIP: 31417F3E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161745 | PA      | $149785.45    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z50018                      | CUSIP: 3132FEAT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1150 | PA      | $1146.83      | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785223                      | CUSIP: 3622AAVQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1984542 | PA      | $1710383.87   | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2304                      | CUSIP: 36179QRZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    779226 | PA      | $758392.95    | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7666                      | CUSIP: 3138EQQU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47168 | PA      | $46500.79     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2975                      | CUSIP: 3138LTJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    333217 | PA      | $318843.18    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6429                      | CUSIP: 3132DUEA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8734745 | PA      | $8892001.01   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BA4803                      | CUSIP: 3140E9KR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    261787 | PA      | $256822.07    | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG6280                      | CUSIP: 3133C66R5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18276110 | PA      | $18322977.74  | 0.11%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4029                      | CUSIP: 3140QPPP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4182788 | PA      | $4119926.57   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1475                      | CUSIP: 31416WT93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82829 | PA      | $83415.94     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5081                        | CUSIP: 36202FUE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    180463 | PA      | $176637.43    | 0.00%             | 2041-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3371                      | CUSIP: 3140X6W98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22668 | PA      | $22828.67     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4635                      | CUSIP: 3142GVEH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7789657 | PA      | $7920161.39   | 0.05%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4313                      | CUSIP: 3140XKYK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12097592 | PA      | $10036769.95  | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5063                      | CUSIP: 3138XUTV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241585 | PA      | $236379.76    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK5021                      | CUSIP: 3131X8SJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16870 | PA      | $16693.33     | 0.00%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7135                      | CUSIP: 36179V4U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  37534931 | PA      | $31303047.49  | 0.19%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A39735                      | CUSIP: 31297VY85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9793 | PA      | $10025.56     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5736                      | CUSIP: 31418FLS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9482184 | PA      | $9706631.07   | 0.06%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1158                      | CUSIP: 36179NJB5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    180714 | PA      | $176549.21    | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18614                      | CUSIP: 3128MMVG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    869239 | PA      | $842697.40    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1134                      | CUSIP: 3132CXHK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5045400 | PA      | $4793200.30   | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888566                      | CUSIP: 31410GFF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199434 | PA      | $207184.55    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BX8557                      | CUSIP: 3617QDQJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    108148 | PA      | $93309.27     | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9724                      | CUSIP: 36179YYV0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11871027 | PA      | $11887237.85  | 0.07%             | 2054-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782623                      | CUSIP: 36241K4G0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    151032 | PA      | $147818.00    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 12/25                   | CUSIP: 01F0506C5<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -6010000 | PA      | $-5998731.25  | -0.04%            | 2025-12-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889633                      | CUSIP: 31410KLN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44531 | PA      | $46242.34     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2015                      | CUSIP: 3138WPGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170310 | PA      | $157539.52    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08758                      | CUSIP: 3128MJZY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    407182 | PA      | $395130.58    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4279                      | CUSIP: 3138X3XH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    388938 | PA      | $359328.55    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2860                      | CUSIP: 3138EKFA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    388859 | PA      | $361723.10    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3576                      | CUSIP: 3140X66N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4172559 | PA      | $3628116.13   | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0331                      | CUSIP: 3132D9LL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2328547 | PA      | $2295584.49   | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ3905                      | CUSIP: 3140H5KT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    360359 | PA      | $338334.65    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3339                      | CUSIP: 3140XJV91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13789556 | PA      | $12847652.13  | 0.08%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8795                      | CUSIP: 36179XXY7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2809759 | PA      | $2447502.35   | 0.02%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5138                      | CUSIP: 36179TV77<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1937160 | PA      | $1937504.56   | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1677                      | CUSIP: 3140X42K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    550927 | PA      | $554804.72    | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738419                      | CUSIP: 3620ASK81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    158301 | PA      | $158699.07    | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91431                      | CUSIP: 312939SU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18294 | PA      | $18753.37     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8066                      | CUSIP: 3132D56B3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1172869 | PA      | $1066442.59   | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08174                      | CUSIP: 3128MJFQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19600 | PA      | $20750.99     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4328                      | CUSIP: 31418DY22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7766555 | PA      | $7032689.46   | 0.04%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8247                      | CUSIP: 3140XCEV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14097303 | PA      | $12165349.22  | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6819                      | CUSIP: 3138EPSH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56761 | PA      | $57065.55     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8745                      | CUSIP: 3138ETWF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287616 | PA      | $289637.15    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2474                      | CUSIP: 31418BXC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125229 | PA      | $122915.98    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3637                      | CUSIP: 3132E0BE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1815274 | PA      | $1865758.71   | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8290                      | CUSIP: 3132DWF73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9945397 | PA      | $10226649.83  | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5041                      | CUSIP: 31418ES76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    537596 | PA      | $531241.00    | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR2462                      | CUSIP: 3138NYWY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414433 | PA      | $384312.85    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE0404                      | CUSIP: 3133B9NV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    299361 | PA      | $277042.28    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL2483                      | CUSIP: 31427PXM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24522163 | PA      | $25413734.57  | 0.16%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7589                      | CUSIP: 36179WNE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  28668072 | PA      | $24895800.98  | 0.15%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8336                      | CUSIP: 3140XCHN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3060656 | PA      | $2641210.73   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9330                      | CUSIP: 3138MRLL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1002868 | PA      | $954616.19    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8960                      | CUSIP: 3138ET5W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106684 | PA      | $107196.54    | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18713                      | CUSIP: 3128MMYK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    973201 | PA      | $960320.36    | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2149                      | CUSIP: 31418BL79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162807 | PA      | $160206.52    | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4977                      | CUSIP: 3140QCQ74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1053723 | PA      | $948951.83    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0443                      | CUSIP: 3132D9P40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4983196 | PA      | $4374366.83   | 0.03%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C92031                      | CUSIP: 3128P8HG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    340896 | PA      | $337924.06    | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5326                      | CUSIP: 31418E4L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1198502 | PA      | $1175527.58   | 0.01%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7937                      | CUSIP: 31417EZB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     98143 | PA      | $90860.43     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190370                      | CUSIP: 31368HMT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138642 | PA      | $146132.40    | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5060                      | CUSIP: 31418ETS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2254652 | PA      | $2290730.88   | 0.01%             | 2043-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5699                      | CUSIP: 3140QDKM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1662671 | PA      | $1449360.33   | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08537                      | CUSIP: 3128MJS35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3038341 | PA      | $2812000.25   | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1118                      | CUSIP: 31427NG45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3695518 | PA      | $3747066.11   | 0.02%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6380                      | CUSIP: 3140QECS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    422113 | PA      | $421177.39    | 0.00%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2239                      | CUSIP: 3140XHPZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1403138 | PA      | $1200761.36   | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91837                      | CUSIP: 3128P8BE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231849 | PA      | $223953.22    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1399                      | CUSIP: 3140XGRV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16380676 | PA      | $14741719.31  | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1132                      | CUSIP: 31418AHJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    310539 | PA      | $288249.52    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1592                      | CUSIP: 31418NXW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     71433 | PA      | $71942.45     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95085                      | CUSIP: 312943UJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223812 | PA      | $220831.52    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60238                      | CUSIP: 31335AHP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5134203 | PA      | $4867454.49   | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8642                      | CUSIP: 3132A9S73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6830 | PA      | $6678.61      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3802                      | CUSIP: 31418DGL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4649963 | PA      | $4187620.80   | 0.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4054                      | CUSIP: 3140J8QG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    485543 | PA      | $471993.22    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5260                        | CUSIP: 36202FZZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    225735 | PA      | $226402.87    | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7591                      | CUSIP: 36179WNG9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2857328 | PA      | $2648860.40   | 0.02%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8120                      | CUSIP: 3132DWAV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19970229 | PA      | $15510983.06  | 0.10%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6137                      | CUSIP: 3138WFZB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    578640 | PA      | $545477.35    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX5965                      | CUSIP: 3140NATX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    759029 | PA      | $789842.13    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91840                      | CUSIP: 3128P8BH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1235660 | PA      | $1193571.30   | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4720                      | CUSIP: 3140X8G68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3637388 | PA      | $3288228.75   | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5977                      | CUSIP: 3140JAUB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    329317 | PA      | $300690.14    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 2B1862                      | CUSIP: 31326GB70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21808 | PA      | $22564.33     | 0.00%             | 2043-11-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4210                      | CUSIP: 3140X7VC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    275991 | PA      | $273888.25    | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5060                      | CUSIP: 3133KYTR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1223503 | PA      | $1146968.02   | 0.01%             | 2040-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7826                      | CUSIP: 36179WVT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  42355272 | PA      | $35323072.80  | 0.22%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 993076                      | CUSIP: 31415YFR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4434 | PA      | $4703.79      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5085                      | CUSIP: 3138EMUK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117236 | PA      | $117935.31    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08278                      | CUSIP: 3128MJJY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4772 | PA      | $4981.41      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1096                      | CUSIP: 3132DNGD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5600959 | PA      | $4620582.09   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4696                        | CUSIP: 36202FGD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    464601 | PA      | $466104.07    | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8199                      | CUSIP: 3132DWDC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16155113 | PA      | $13226396.30  | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1500                      | CUSIP: 31416WU26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1506608 | PA      | $1484754.45   | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8008                      | CUSIP: 3132D53R1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2854270 | PA      | $2724975.25   | 0.02%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4794                      | CUSIP: 3140QCKG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    903525 | PA      | $815664.65    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08544                      | CUSIP: 3128MJTA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203439 | PA      | $188136.88    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2703                      | CUSIP: 3138WCAD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    498155 | PA      | $487540.78    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6 12/25                   | CUSIP: 01F0606C4<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -18330000 | PA      | $-18769634.05 | -0.12%            | 2025-12-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8220                      | CUSIP: 3132D6DZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1714355 | PA      | $1761987.06   | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1575                      | CUSIP: 3140XGXD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3636007 | PA      | $3413781.28   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4944                      | CUSIP: 3140X8P68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    569180 | PA      | $552382.93    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3513                      | CUSIP: 3133KJ3W0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6248912 | PA      | $5412062.72   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91843                      | CUSIP: 3128P8BL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200679 | PA      | $193781.20    | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4212                      | CUSIP: 3132E0VD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    703076 | PA      | $743976.65    | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1404                      | CUSIP: 3132CXRZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1958176 | PA      | $1921039.26   | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01649                      | CUSIP: 31292HZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     71576 | PA      | $74172.59     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8374                      | CUSIP: 3132DWJT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8340099 | PA      | $8638921.09   | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3073                      | CUSIP: 3132DQMW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2885106 | PA      | $2949670.14   | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A47404                      | CUSIP: 3128K8GM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13473 | PA      | $13778.42     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6598                      | CUSIP: 36179VKK5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10665700 | PA      | $9282258.31   | 0.06%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1355                      | CUSIP: 3132CXQG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1429567 | PA      | $1449785.00   | 0.01%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4069                      | CUSIP: 36179SQW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1127545 | PA      | $1059727.12   | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5830                      | CUSIP: 3138LWPQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168906 | PA      | $162463.14    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3600                      | CUSIP: 36179R7M5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    307083 | PA      | $313854.52    | 0.00%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8226                      | CUSIP: 3132DWD75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3633084 | PA      | $3371300.31   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7515                      | CUSIP: 3132DVK46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3267300 | PA      | $2972044.26   | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1767                      | CUSIP: 3132DN6C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1350768 | PA      | $1336377.33   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254982                      | CUSIP: 31371LFX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36305 | PA      | $36970.00     | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3535                      | CUSIP: 3140XJ4V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1764385 | PA      | $1459963.03   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37876                      | CUSIP: 31297TXD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5289 | PA      | $5407.67      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3794                      | CUSIP: 3138X3GC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146018 | PA      | $142845.72    | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7615                      | CUSIP: 3140XPN96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9233775 | PA      | $8976097.58   | 0.06%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5112                      | CUSIP: 3140XLVE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5122591 | PA      | $5250033.55   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5566                      | CUSIP: 3140XMFG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2198477 | PA      | $2222664.83   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5731                      | CUSIP: 31418FLM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1167114 | PA      | $1080098.96   | 0.01%             | 2055-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4927                      | CUSIP: 31418SPM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     97791 | PA      | $100159.41    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC2085                      | CUSIP: 3133ALJ66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2670091 | PA      | $2315851.83   | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2671                      | CUSIP: 31418B6H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    581465 | PA      | $547743.78    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8678                      | CUSIP: 3138WJUC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47353 | PA      | $45789.37     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3440                      | CUSIP: 3140X6ZE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    494952 | PA      | $461688.15    | 0.00%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4394                      | CUSIP: 3140XK3C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2234390 | PA      | $2174132.20   | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0542                      | CUSIP: 3132ACS76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2655607 | PA      | $2583989.60   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5594                      | CUSIP: 36179UGB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    224333 | PA      | $209368.29    | 0.00%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0699                      | CUSIP: 36179MX47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1653298 | PA      | $1574164.49   | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2180                      | CUSIP: 3132DPM54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1715827 | PA      | $1770784.29   | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5280                        | CUSIP: 36202F2M7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1674437 | PA      | $1637639.73   | 0.01%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2312                      | CUSIP: 3140QMSA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4241153 | PA      | $3647999.55   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6515                      | CUSIP: 3138WGGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315057 | PA      | $307052.31    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7117                      | CUSIP: 3138EP4B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    237387 | PA      | $232887.45    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5887                      | CUSIP: 3140XMRH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6148491 | PA      | $5091490.03   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03479                      | CUSIP: 31292K2L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     98006 | PA      | $100490.94    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18434                      | CUSIP: 3128MMPU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82128 | PA      | $81501.86     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2907                      | CUSIP: 31418CGR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1379677 | PA      | $1339020.23   | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2911                      | CUSIP: 31418CGV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1029682 | PA      | $959247.61    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4290                      | CUSIP: 3138X3XU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    418834 | PA      | $410547.33    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67702                      | CUSIP: 3132XCRX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4060636 | PA      | $3974716.65   | 0.02%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3521                      | CUSIP: 31418C4F8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3204100 | PA      | $3098666.15   | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0732                      | CUSIP: 3140Y6Y61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9611497 | PA      | $10077789.89  | 0.06%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2302                      | CUSIP: 36179QRX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1455283 | PA      | $1348669.81   | 0.01%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AN3040                      | CUSIP: 36185SLV9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     58495 | PA      | $56607.40     | 0.00%             | 2045-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9365                      | CUSIP: 36179YMN1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3275685 | PA      | $3388302.46   | 0.02%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01317                      | CUSIP: 31283HPA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1864 | PA      | $1956.29      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9392                      | CUSIP: 3140GYNJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1693867 | PA      | $1591399.88   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5520                      | CUSIP: 3140JAD21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3234703 | PA      | $3051534.14   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7790                      | CUSIP: 3133KPUP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1941033 | PA      | $1956322.36   | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4442                      | CUSIP: 31418D5C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2153367 | PA      | $1993810.72   | 0.01%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3121                      | CUSIP: 3140XJPF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1387482 | PA      | $1372700.52   | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02744                      | CUSIP: 3128M4LZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27767 | PA      | $29377.92     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4270                      | CUSIP: 3140XKW89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9908114 | PA      | $8201691.28   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4106                      | CUSIP: 31418DR46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    274071 | PA      | $249201.71    | 0.00%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4697                        | CUSIP: 36202FGE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    490231 | PA      | $500817.83    | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726414                      | CUSIP: 3620ADAP7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     55824 | PA      | $55983.69     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE1992                      | CUSIP: 3133BBF95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9558607 | PA      | $9238097.41   | 0.06%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6397                      | CUSIP: 3138WGDB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100260 | PA      | $94571.28     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1600                      | CUSIP: 36179NX52<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    408677 | PA      | $387907.80    | 0.00%             | 2044-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0788                      | CUSIP: 3132DM2V6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5829570 | PA      | $4856542.99   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7890                      | CUSIP: 3138WHXU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    309203 | PA      | $281551.54    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3805                      | CUSIP: 3140XKGP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2827906 | PA      | $2926657.88   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4963                      | CUSIP: 36179TQQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1379063 | PA      | $1335602.04   | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9314                      | CUSIP: 3140XDK47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31417 | PA      | $28487.37     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 741372                      | CUSIP: 3620AVT51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     22810 | PA      | $22871.63     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 12/25                   | CUSIP: 01F0406C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7470000 | PA      | $7116341.81   | 0.04%             | 2025-12-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7649                      | CUSIP: 36179WQA9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  28327059 | PA      | $24599659.64  | 0.15%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4999                      | CUSIP: 3138WERV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67006 | PA      | $63216.19     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5560                      | CUSIP: 3140X9FA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17612 | PA      | $17622.57     | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6521                      | CUSIP: 3140XAG71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2701458 | PA      | $2508043.78   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6784                      | CUSIP: 3138EBRE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101752 | PA      | $100931.03    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6819                      | CUSIP: 36179VSG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24562401 | PA      | $21350840.28  | 0.13%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8920                      | CUSIP: 3138WJ4E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2677621 | PA      | $2536562.33   | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX2566                      | CUSIP: 3138Y3Z87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431244 | PA      | $409011.77    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8007                      | CUSIP: 3132DV3Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110237 | PA      | $109475.73    | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY3407                      | CUSIP: 3138YGYD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8560 | PA      | $8366.34      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8221                      | CUSIP: 3132DWD26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4288074 | PA      | $3979094.50   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745418                      | CUSIP: 31403DDX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1008567 | PA      | $1048225.57   | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08558                      | CUSIP: 3128MJTQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    978580 | PA      | $959627.47    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9490                      | CUSIP: 36179YRK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9376888 | PA      | $9699086.11   | 0.06%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09015                      | CUSIP: 31292SAQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1422788 | PA      | $1320443.98   | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14924                      | CUSIP: 3128PUPH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        50 | PA      | $49.59        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5138                      | CUSIP: 31418EV80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    319398 | PA      | $324449.54    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5312                        | CUSIP: 36202F3V6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    142490 | PA      | $133044.51    | 0.00%             | 2042-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7549                      | CUSIP: 3132DVL60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9879779 | PA      | $8215285.41   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8151                      | CUSIP: 3140XQBV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3297673 | PA      | $3421845.48   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2970                      | CUSIP: 3138LTJQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    624440 | PA      | $580275.79    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786545                      | CUSIP: 3622ACES5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3508435 | PA      | $3525286.34   | 0.02%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1001                      | CUSIP: 3142GRDF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3115629 | PA      | $3168800.18   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5115                      | CUSIP: 3140J9VH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    198457 | PA      | $198079.03    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783718                      | CUSIP: 3622A2DX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    382111 | PA      | $372815.69    | 0.00%             | 2042-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03696                      | CUSIP: 3128M5NM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1035731 | PA      | $1079549.46   | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 787145                      | CUSIP: 3622ACZJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5661027 | PA      | $5957267.17   | 0.04%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4026                      | CUSIP: 31418DPL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1416324 | PA      | $1365292.56   | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3972                      | CUSIP: 3132E0MV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5783995 | PA      | $4789655.32   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9704                      | CUSIP: 3140XDYA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6529785 | PA      | $5386829.38   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0701                      | CUSIP: 3140Y6X70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9475946 | PA      | $9741305.32   | 0.06%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1064                      | CUSIP: 36179NFD5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    105004 | PA      | $103394.02    | 0.00%             | 2028-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4636                        | CUSIP: 36202FEH5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1380840 | PA      | $1385355.50   | 0.01%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4902                      | CUSIP: 36179TNT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    269965 | PA      | $270181.54    | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3916                      | CUSIP: 3140QPK63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3607282 | PA      | $3553070.04   | 0.02%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1429                      | CUSIP: 3132DNSS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6272312 | PA      | $6038473.47   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0623                      | CUSIP: 3618N5VR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16961370 | PA      | $17163194.94  | 0.11%             | 2055-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4511                      | CUSIP: 36179TAL9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3602554 | PA      | $3493522.26   | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4214                      | CUSIP: 3133KKVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3947465 | PA      | $3240475.07   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2 12/25                   | CUSIP: 21H0206C4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9360000 | PA      | $7799512.03   | 0.05%             | 2025-12-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6762                      | CUSIP: 3140QSQQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6030066 | PA      | $6197768.44   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1785                      | CUSIP: 3140XG6X2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2798922 | PA      | $2532461.23   | 0.02%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7548                      | CUSIP: 3132DVL52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9469890 | PA      | $8225364.67   | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08698                      | CUSIP: 3128MJX47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1684864 | PA      | $1591106.07   | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08635                      | CUSIP: 3128MJV56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    812944 | PA      | $746009.16    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9846                      | CUSIP: 3140XD5G7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14506335 | PA      | $12355129.82  | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18692                      | CUSIP: 3128MMXW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1257191 | PA      | $1242123.66   | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8476                      | CUSIP: 3132DWMZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5102050 | PA      | $5226802.93   | 0.03%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5328                      | CUSIP: 3133KY4M8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1165787 | PA      | $1180070.32   | 0.01%             | 2045-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J36173                      | CUSIP: 31307S2E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64864 | PA      | $62810.78     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0752                      | CUSIP: 3138W9ZS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    259509 | PA      | $253556.04    | 0.00%             | 2028-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4713                        | CUSIP: 36202FGW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    410723 | PA      | $412038.25    | 0.00%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783217                      | CUSIP: 36241LSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    146220 | PA      | $149350.30    | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3979                      | CUSIP: 36179SM46<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    112589 | PA      | $110229.40    | 0.00%             | 2031-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2549                      | CUSIP: 3140X5ZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    733773 | PA      | $715649.76    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1519                      | CUSIP: 3142GRVM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7230482 | PA      | $7509521.84   | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7510                      | CUSIP: 3132DVKX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2586325 | PA      | $2348565.61   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4415                      | CUSIP: 31418D3Z3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3744752 | PA      | $3349009.56   | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3865                      | CUSIP: 31418DJK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    739506 | PA      | $719762.10    | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5066                      | CUSIP: 3133KYTX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    486144 | PA      | $442533.13    | 0.00%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01840                      | CUSIP: 31292JBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    613957 | PA      | $637507.01    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2406                      | CUSIP: 31329KU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143715 | PA      | $141129.04    | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8791                      | CUSIP: 3133KQXU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4275980 | PA      | $4292290.49   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5084                      | CUSIP: 3140QQUJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3417131 | PA      | $3449386.87   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5982                      | CUSIP: 3140X9UG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4614676 | PA      | $3841545.65   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5806                      | CUSIP: 3140X9NY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2174976 | PA      | $1992383.02   | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3774                      | CUSIP: 31418DFQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2324886 | PA      | $2093723.95   | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8163                      | CUSIP: 3140XQB97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6049080 | PA      | $6294342.35   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0303                      | CUSIP: 3138W9KR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1026271 | PA      | $947871.87    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 12/25                   | CUSIP: 01F0306C7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  42425000 | PA      | $37682016.52  | 0.23%             | 2025-12-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0305                      | CUSIP: 3618N5KT5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4376587 | PA      | $4152836.01   | 0.03%             | 2055-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6610                      | CUSIP: 3140XNKY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1904565 | PA      | $1973548.25   | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO8392                      | CUSIP: 3138M0KE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    208552 | PA      | $204863.20    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3772                      | CUSIP: 3140QPFN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5897936 | PA      | $5659623.66   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0864                      | CUSIP: 3132DM5Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1890638 | PA      | $1759133.63   | 0.01%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2605                      | CUSIP: 3132DP3N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2110789 | PA      | $2151429.03   | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5529                      | CUSIP: 36179UEA6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    648089 | PA      | $646786.89    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2600                      | CUSIP: 3140XH3J4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3253215 | PA      | $2921616.67   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QO1275                      | CUSIP: 3133WKMY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2469991 | PA      | $2444652.85   | 0.02%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3869                      | CUSIP: 3140X7JP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1265995 | PA      | $1232193.98   | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5249                      | CUSIP: 31418EZP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6953168 | PA      | $7279854.26   | 0.04%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3385                      | CUSIP: 31418CXP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3634333 | PA      | $3619464.92   | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01391                      | CUSIP: 31283HRL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       740 | PA      | $776.83       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3037                      | CUSIP: 31418CLT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    691254 | PA      | $686869.51    | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2773                      | CUSIP: 31418CCK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1968116 | PA      | $1881288.64   | 0.01%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7590                      | CUSIP: 36179WNF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12749390 | PA      | $11516202.86  | 0.07%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0527                      | CUSIP: 3138EGSR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38928 | PA      | $39747.67     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07277                      | CUSIP: 3128M9M25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    132502 | PA      | $135906.38    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4646                      | CUSIP: 3132A5ET8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    960935 | PA      | $877402.01    | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8215                      | CUSIP: 3132DWDU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    984934 | PA      | $945444.07    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04772                      | CUSIP: 3128M6T57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9021 | PA      | $9831.43      | 0.00%             | 2038-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67716                      | CUSIP: 3132XCSD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2077578 | PA      | $2081213.87   | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5651                      | CUSIP: 36179UH47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4051586 | PA      | $3915037.35   | 0.02%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ2953                      | CUSIP: 3138YUH79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    288709 | PA      | $283708.18    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4969                      | CUSIP: 3132DSQW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7632998 | PA      | $6625104.97   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9105                      | CUSIP: 36179YDJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20919035 | PA      | $21019511.29  | 0.13%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6997                      | CUSIP: 3140XAX31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5202208 | PA      | $4332270.14   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7507                      | CUSIP: 3138A9KV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9298 | PA      | $9267.32      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3107                        | CUSIP: 36202DNY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14183 | PA      | $14755.53     | 0.00%             | 2031-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4323                      | CUSIP: 36179SYU5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    342664 | PA      | $343367.23    | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190399                      | CUSIP: 31368HNQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    945823 | PA      | $986315.52    | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3437                      | CUSIP: 3132DQZA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2135392 | PA      | $2244766.53   | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7150                      | CUSIP: 3132DU5K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12944825 | PA      | $10626409.14  | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9862                      | CUSIP: 3133KR5X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1866630 | PA      | $1961655.28   | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06766                      | CUSIP: 3128M8Z72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    578665 | PA      | $593656.51    | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2841                      | CUSIP: 3140QNEP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23754881 | PA      | $19641430.83  | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4338                      | CUSIP: 3138ELZC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200968 | PA      | $196828.61    | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7474                      | CUSIP: 36179WJT6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2517240 | PA      | $2337518.10   | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2384                      | CUSIP: 3132DPUH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2545515 | PA      | $2658395.97   | 0.02%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3522                      | CUSIP: 36179R4F3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1609896 | PA      | $1563944.98   | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18716                      | CUSIP: 3128MMYN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    716204 | PA      | $706724.62    | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6613                      | CUSIP: 3138EPK37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2249649 | PA      | $2215907.37   | 0.01%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06493                      | CUSIP: 3128M8RN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21606 | PA      | $21783.03     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15027                      | CUSIP: 3128MDYY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2660 | PA      | $2650.27      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7580                      | CUSIP: 3140XBM64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4601373 | PA      | $4327335.71   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18518                      | CUSIP: 3128MMSG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    116468 | PA      | $114841.78    | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5203                        | CUSIP: 36202FX84<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4236263 | PA      | $4144704.72   | 0.03%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3017                      | CUSIP: 3132DQK62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2118452 | PA      | $1917084.20   | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783418                      | CUSIP: 36241LYP5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    293894 | PA      | $299675.63    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0943                      | CUSIP: 3138A2BM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    421341 | PA      | $415604.07    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6014                      | CUSIP: 3138WFVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199342 | PA      | $194624.71    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8492                      | CUSIP: 36179XNH5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11477317 | PA      | $11792027.58  | 0.07%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8817                      | CUSIP: 3140QGYP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16593716 | PA      | $13621784.40  | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701857                      | CUSIP: 36296UWS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    116004 | PA      | $116344.27    | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4853                        | CUSIP: 36202FMA1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    642317 | PA      | $629065.41    | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5258                        | CUSIP: 36202FZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1594168 | PA      | $1521817.67   | 0.01%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J21208                      | CUSIP: 31306YKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29064 | PA      | $28699.91     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0073                      | CUSIP: 36179MCJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     23224 | PA      | $23027.43     | 0.00%             | 2027-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6763                      | CUSIP: 3138WGQR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    350955 | PA      | $331040.40    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS2789                      | CUSIP: 3132A3C24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    364433 | PA      | $372902.93    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60344                      | CUSIP: 31335ALZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1910879 | PA      | $1874126.61   | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3860                      | CUSIP: 3138WDJE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175668 | PA      | $166071.42    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8074                      | CUSIP: 3140XB6L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    863982 | PA      | $781587.00    | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5763                      | CUSIP: 36179UML3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    469745 | PA      | $453326.56    | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8001                      | CUSIP: 3132DV3J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2134524 | PA      | $1999396.52   | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0305                      | CUSIP: 3132D9KS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2567982 | PA      | $2477726.73   | 0.02%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0304                      | CUSIP: 3140EUKS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202279 | PA      | $190800.94    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6926                      | CUSIP: 3133KNVT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4094627 | PA      | $3670866.88   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8460                      | CUSIP: 3140QGMJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3528585 | PA      | $3045013.09   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0485                      | CUSIP: 3618N5RF8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  31846284 | PA      | $32202834.90  | 0.20%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3903                      | CUSIP: 3140QPKR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1111740 | PA      | $1028853.11   | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4004                      | CUSIP: 36179SNV5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1415448 | PA      | $1330313.46   | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2993                      | CUSIP: 3132DQKE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2376422 | PA      | $2065599.81   | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2816                      | CUSIP: 3138EKDW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18682 | PA      | $19440.63     | 0.00%             | 2042-10-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4883                        | CUSIP: 36202FM86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    364285 | PA      | $365416.22    | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5161                      | CUSIP: 3140QQWX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3133676 | PA      | $3275577.38   | 0.02%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR3915                      | CUSIP: 3138W1K55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100624 | PA      | $93186.39     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2910                      | CUSIP: 3140X6GU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    526188 | PA      | $538748.19    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1442                      | CUSIP: 3140EVS81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    816789 | PA      | $769420.98    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6423                      | CUSIP: 3140QED58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1087558 | PA      | $977383.54    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92241                      | CUSIP: 312940P29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58315 | PA      | $59775.94     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01725                      | CUSIP: 31292H4J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106385 | PA      | $110314.22    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04360                      | CUSIP: 31294NZZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9117 | PA      | $8993.93      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8267                      | CUSIP: 36179XFG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  34179209 | PA      | $32730882.14  | 0.20%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7668                      | CUSIP: 3133KPQV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3856751 | PA      | $3700915.26   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 893511                      | CUSIP: 31410PVC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6631 | PA      | $6995.78      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8362                      | CUSIP: 3132DWJF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3277070 | PA      | $3328900.57   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5055                      | CUSIP: 3138XUTM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284235 | PA      | $269640.62    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7534                      | CUSIP: 36179WLP1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24484326 | PA      | $21262570.71  | 0.13%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2656                      | CUSIP: 3140XH5S2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5055673 | PA      | $4995492.64   | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1083                      | CUSIP: 31418AFZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    263954 | PA      | $257576.95    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1675                      | CUSIP: 3140X42H8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    797813 | PA      | $718487.15    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4922                      | CUSIP: 3140XLPG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3801612 | PA      | $3436688.19   | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR3290                      | CUSIP: 3140L1UQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    650912 | PA      | $530265.87    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08666                      | CUSIP: 3128MJW48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2668234 | PA      | $2445505.03   | 0.02%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2608                      | CUSIP: 3138EJ3S5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10915 | PA      | $10784.88     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5205                        | CUSIP: 36202FYA8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     27782 | PA      | $28383.71     | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5329                      | CUSIP: 36179T4N2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    105786 | PA      | $99092.57     | 0.00%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7521                      | CUSIP: 3132DVLA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4538071 | PA      | $3955862.45   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5461                      | CUSIP: 3140QRB77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1388427 | PA      | $1441191.72   | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1171                      | CUSIP: 3140EVJR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128136 | PA      | $120704.79    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03551                      | CUSIP: 3128M5H45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    304243 | PA      | $322833.39    | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93784                      | CUSIP: 312942FZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138119 | PA      | $139273.05    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2901                      | CUSIP: 3140X6GK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4047712 | PA      | $3942345.83   | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1680                      | CUSIP: 3132AD2M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584386 | PA      | $580899.87    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 695208                      | CUSIP: 31400RKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16424 | PA      | $16983.19     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1159                      | CUSIP: 3140X4JD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3383301 | PA      | $3376861.28   | 0.02%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9605                      | CUSIP: 36179YU69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29941398 | PA      | $30332762.04  | 0.19%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8429                      | CUSIP: 36179XLJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11557311 | PA      | $11761647.81  | 0.07%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1659                      | CUSIP: 3138X0ZZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315741 | PA      | $310599.35    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3413                      | CUSIP: 3140X6YK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1954413 | PA      | $1917955.64   | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1614                      | CUSIP: 31416WYL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    649165 | PA      | $640384.91    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7051                      | CUSIP: 36179VZQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  28713086 | PA      | $23943641.61  | 0.15%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9171                      | CUSIP: 31417GFM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68132 | PA      | $67109.83     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08728                      | CUSIP: 3128MJY20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    470333 | PA      | $458323.35    | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 724275                      | CUSIP: 3620AAT81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    156163 | PA      | $159512.65    | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9209                      | CUSIP: 3140XDGT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1556497 | PA      | $1406599.53   | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP0732                      | CUSIP: 3138M3Y65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88258 | PA      | $85349.77     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6038                      | CUSIP: 36179UV74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3185252 | PA      | $2892088.38   | 0.02%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8020                      | CUSIP: 3132D54D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1009346 | PA      | $962993.60    | 0.01%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4688                      | CUSIP: 3140QQF67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3740843 | PA      | $3815900.51   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97294                      | CUSIP: 312946C79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    308460 | PA      | $304206.38    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8308                      | CUSIP: 3132D6GR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2231882 | PA      | $2259261.95   | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08726                      | CUSIP: 3128MJYY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    675003 | PA      | $613453.12    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8324                      | CUSIP: 3132DWG98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7546070 | PA      | $7677209.28   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2548                      | CUSIP: 3140QMZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2062668 | PA      | $1780636.21   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4049                      | CUSIP: 31418DQB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1515765 | PA      | $1416966.79   | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9424                      | CUSIP: 3138ERPJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1698243 | PA      | $1603471.59   | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0366                      | CUSIP: 3140W0MQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6931674 | PA      | $7097624.94   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7406                      | CUSIP: 3132DVGP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6848256 | PA      | $6867957.34   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2054                      | CUSIP: 3140QMH80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205939 | PA      | $171050.75    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7472                      | CUSIP: 36179WJR0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25022403 | PA      | $21729844.76  | 0.13%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q61378                      | CUSIP: 3132VMQ81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13264 | PA      | $12455.56     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2136                      | CUSIP: 31418BLS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    571541 | PA      | $539979.71    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3909                      | CUSIP: 3132E0KW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3977887 | PA      | $4100470.04   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9708                      | CUSIP: 3138ABYE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69620 | PA      | $70103.18     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2303                      | CUSIP: 36179QRY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1848014 | PA      | $1749856.27   | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7514                      | CUSIP: 3140XBK41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2529767 | PA      | $2189401.41   | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4468                      | CUSIP: 31418D6E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1740034 | PA      | $1621724.11   | 0.01%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5163                      | CUSIP: 3133KYWY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6558573 | PA      | $6076571.38   | 0.04%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7532                      | CUSIP: 36179WLM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    715260 | PA      | $571251.25    | 0.00%             | 2051-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 779239                      | CUSIP: 36176XPY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     87730 | PA      | $83408.05     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82907                       | CUSIP: 36225FGR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4396 | PA      | $4504.32      | 0.00%             | 2041-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4826                      | CUSIP: 3140QQLG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2522838 | PA      | $2420111.82   | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3764                      | CUSIP: 31418DFE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2356039 | PA      | $2249314.06   | 0.01%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60194                      | CUSIP: 31335AGB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1230157 | PA      | $1157784.94   | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8767                      | CUSIP: 3133KQW44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4971005 | PA      | $5021035.12   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2976                      | CUSIP: 3138LTJW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    727921 | PA      | $695448.01    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03490                      | CUSIP: 31292K2X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238992 | PA      | $240980.83    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3538                      | CUSIP: 3132DQ4X1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2801279 | PA      | $2424383.52   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3074                      | CUSIP: 31418CMY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    395887 | PA      | $391612.99    | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786931                      | CUSIP: 3622ACSU5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2331990 | PA      | $2413788.31   | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9774                      | CUSIP: 3140XD2G0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22960652 | PA      | $19842728.68  | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91714                      | CUSIP: 3128P73X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    649190 | PA      | $631669.11    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3563                      | CUSIP: 3133KJ5Y4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1146090 | PA      | $945481.29    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9667                      | CUSIP: 3138ERW55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24590 | PA      | $24220.99     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7312                      | CUSIP: 36179WDR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26340662 | PA      | $22874642.04  | 0.14%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4499                      | CUSIP: 3140X77M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1287370 | PA      | $1250758.80   | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5330                      | CUSIP: 36179T4P7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6920413 | PA      | $6687176.73   | 0.04%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2482                      | CUSIP: 3138EJXL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35727 | PA      | $35982.19     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6388                      | CUSIP: 3140QEC26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1374084 | PA      | $1137862.19   | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0259                      | CUSIP: 3618N5JD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11821099 | PA      | $11940518.33  | 0.07%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9980                      | CUSIP: 3138WLCS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42007 | PA      | $41227.81     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08117                      | CUSIP: 3128MJDX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139109 | PA      | $146843.30    | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0040                      | CUSIP: 3138EGBJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15947 | PA      | $16578.82     | 0.00%             | 2041-03-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4721                      | CUSIP: 36179TG66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    678249 | PA      | $678793.56    | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3596                      | CUSIP: 36179R7H6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8023880 | PA      | $7350574.61   | 0.05%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1539                      | CUSIP: 3140X4V94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    299172 | PA      | $294638.28    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3998                      | CUSIP: 31418DNQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101733 | PA      | $100871.29    | 0.00%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7059                      | CUSIP: 31417DZZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    230583 | PA      | $206854.17    | 0.00%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8099                      | CUSIP: 36179W7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9154183 | PA      | $8502037.79   | 0.05%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11220                      | CUSIP: 3132HMK91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    402600 | PA      | $384344.66    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08079                      | CUSIP: 3128MJCR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80623 | PA      | $82420.71     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DB5236                      | CUSIP: 3140AEZA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450371 | PA      | $464395.49    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783467                      | CUSIP: 36241LZ82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    126726 | PA      | $123590.19    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08255                      | CUSIP: 3128MJH94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163821 | PA      | $167746.30    | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17233                      | CUSIP: 3128PXBA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100232 | PA      | $99637.32     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06883                      | CUSIP: 3128M86U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179562 | PA      | $184192.56    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04106                      | CUSIP: 31294NR35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20502 | PA      | $20253.65     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1138                      | CUSIP: 31418AHQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    472752 | PA      | $467103.03    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783535                      | CUSIP: 36241L4U7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     99894 | PA      | $97365.76     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1586                      | CUSIP: 3138WAXQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    413717 | PA      | $415904.29    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82840                       | CUSIP: 36225FEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       616 | PA      | $631.75       | 0.00%             | 2041-05-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE9001                      | CUSIP: 3133BKAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246040 | PA      | $234791.85    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8303                      | CUSIP: 3132D6GL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3250070 | PA      | $3289940.94   | 0.02%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2972                      | CUSIP: 3132DQJR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2434471 | PA      | $2187088.24   | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6849                      | CUSIP: 31417DTF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129936 | PA      | $120459.86    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2084                      | CUSIP: 3133USJ51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5104139 | PA      | $5068902.81   | 0.03%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784353                      | CUSIP: 3622A2ZS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    486688 | PA      | $469528.68    | 0.00%             | 2046-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2747                      | CUSIP: 3142GTBR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4462890 | PA      | $4555789.60   | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4637                        | CUSIP: 36202FEJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    560356 | PA      | $572385.06    | 0.00%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8245                      | CUSIP: 3132DWES8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19913631 | PA      | $19608135.66  | 0.12%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4404                      | CUSIP: 3138EL3N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26438 | PA      | $26729.83     | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0665                      | CUSIP: 31417YW37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107080 | PA      | $105513.96    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4378                      | CUSIP: 31418D2L5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  40072453 | PA      | $32870439.37  | 0.20%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3238                      | CUSIP: 3140QNS45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5763411 | PA      | $5337318.55   | 0.03%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8139                      | CUSIP: 3132DWBG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14791682 | PA      | $11488777.99  | 0.07%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3266                      | CUSIP: 3133KJTX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3217230 | PA      | $2658116.16   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4935                      | CUSIP: 36179TPU3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    231498 | PA      | $225962.27    | 0.00%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6304                      | CUSIP: 3140QEAE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7950374 | PA      | $6850883.05   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2373                      | CUSIP: 3140X5T78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    208642 | PA      | $212371.58    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8847                      | CUSIP: 3140QGZM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3611077 | PA      | $3002701.75   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP9736                      | CUSIP: 3138MDZA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    481941 | PA      | $458900.96    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0704                      | CUSIP: 3132DMX91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12956022 | PA      | $11338375.44  | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4446                        | CUSIP: 36202E5F2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    580146 | PA      | $582122.18    | 0.00%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5175                      | CUSIP: 3140XLXD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3880599 | PA      | $3897826.67   | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8136                      | CUSIP: 3140XQBE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17240326 | PA      | $17679388.40  | 0.11%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 757030                      | CUSIP: 36230RY34<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    146771 | PA      | $143250.47    | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5816                      | CUSIP: 36179UN99<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    331273 | PA      | $308966.88    | 0.00%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555743                      | CUSIP: 31385XLY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124742 | PA      | $126981.05    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08835                      | CUSIP: 3128MJ4V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138702 | PA      | $130290.58    | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4397                        | CUSIP: 36202E3E7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    146565 | PA      | $147066.55    | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9394                      | CUSIP: 3138WKNL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    544294 | PA      | $543258.27    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0232                      | CUSIP: 3132DMHH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1963719 | PA      | $1777672.40   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2276                      | CUSIP: 3140QMQ64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8058310 | PA      | $6931300.97   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA2429                      | CUSIP: 3140W2VX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12753556 | PA      | $12962439.91  | 0.08%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1285                      | CUSIP: 3140QLNB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6803961 | PA      | $6112564.47   | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4133                      | CUSIP: 3140QPSX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2946980 | PA      | $2902691.41   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4515                      | CUSIP: 31418EAR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9098671 | PA      | $8207655.90   | 0.05%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6323                      | CUSIP: 3138WGAZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51358 | PA      | $49975.26     | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91858                      | CUSIP: 3128P8B34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    233163 | PA      | $224645.49    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8161                      | CUSIP: 3140QUB70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9898686 | PA      | $10244815.63  | 0.06%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4876                      | CUSIP: 31418EM23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2877419 | PA      | $2960814.61   | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1091                      | CUSIP: 3132DNF81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7032923 | PA      | $5841458.97   | 0.04%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2037                      | CUSIP: 3132DPHN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3895832 | PA      | $3906431.17   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4599                        | CUSIP: 36202FDC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    212389 | PA      | $216930.81    | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ5688                      | CUSIP: 3138YXKA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    217107 | PA      | $213393.09    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8147                      | CUSIP: 3132DWBQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19571202 | PA      | $16827922.36  | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5011                      | CUSIP: 31418ER93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2316347 | PA      | $2381852.34   | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08669                      | CUSIP: 3128MJW71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2282802 | PA      | $2231764.45   | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4536                      | CUSIP: 31418EBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1916404 | PA      | $1772608.81   | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0148                      | CUSIP: 3618N5EW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26503845 | PA      | $27002819.68  | 0.17%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4542                      | CUSIP: 3140QQBL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1612911 | PA      | $1554222.80   | 0.01%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1133                      | CUSIP: 31427NHK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7835036 | PA      | $7981358.49   | 0.05%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18707                      | CUSIP: 3128MMYD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    615787 | PA      | $608407.20    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2320                      | CUSIP: 31418BSJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    503556 | PA      | $486126.98    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0716                      | CUSIP: 3140Y6YN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3583269 | PA      | $3750109.40   | 0.02%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DA4283                      | CUSIP: 3140A4XM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1276898 | PA      | $1295895.89   | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735484                      | CUSIP: 31402RCV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    225132 | PA      | $229711.49    | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5435                      | CUSIP: 3140X9BD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    739148 | PA      | $744387.64    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14221                      | CUSIP: 3128MC4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10281 | PA      | $10263.13     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6864                      | CUSIP: 36179VTV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12810184 | PA      | $10703338.85  | 0.07%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07961                      | CUSIP: 3128MAFA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1225636 | PA      | $1161752.13   | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3984                      | CUSIP: 31418DNA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    439625 | PA      | $418611.39    | 0.00%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9019                      | CUSIP: 3140QVAV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6413391 | PA      | $6584738.57   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3215                      | CUSIP: 31418CSD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1431744 | PA      | $1399718.81   | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5374                      | CUSIP: 3140XL6L7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5962636 | PA      | $4976715.25   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9277                      | CUSIP: 3140GYJX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1214375 | PA      | $1140154.98   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8254                      | CUSIP: 3132D6E30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1808130 | PA      | $1878703.87   | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890230                      | CUSIP: 31410LA77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82540 | PA      | $84526.36     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2222                      | CUSIP: 36179QPF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    241104 | PA      | $222850.39    | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9322                      | CUSIP: 3140QVLC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5335363 | PA      | $5476434.83   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4419                      | CUSIP: 31418D4D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    945127 | PA      | $895816.01    | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9663                      | CUSIP: 31417GWZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    706952 | PA      | $652958.00    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7880                      | CUSIP: 36179WXH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15936252 | PA      | $13290373.35  | 0.08%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781908                      | CUSIP: 36241KDM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     35731 | PA      | $36390.44     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0649                      | CUSIP: 31418MWK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45218 | PA      | $46946.14     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD8529                      | CUSIP: 31418WPP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1148144 | PA      | $1156250.44   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8404                      | CUSIP: 3132DWKR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3558736 | PA      | $3726439.49   | 0.02%             | 2054-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V81296                      | CUSIP: 3132L6NM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68431 | PA      | $67031.29     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8293                      | CUSIP: 3140QUGB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10661791 | PA      | $10960358.90  | 0.07%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2743                      | CUSIP: 3140X6BM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1866361 | PA      | $1823231.25   | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4123                      | CUSIP: 31418DSM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1528456 | PA      | $1424278.76   | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4954                      | CUSIP: 3140XLQG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4315428 | PA      | $4373694.78   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07921                      | CUSIP: 3128MAD22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1723507 | PA      | $1645665.85   | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4823                      | CUSIP: 31418ELD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1492023 | PA      | $1497841.82   | 0.01%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60564                      | CUSIP: 31335ATV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185944 | PA      | $190649.76    | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3778                      | CUSIP: 36179SFT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     33188 | PA      | $32516.61     | 0.00%             | 2031-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA1509                      | CUSIP: 3140W1VB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4650616 | PA      | $4773582.88   | 0.03%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 711076                      | CUSIP: 36297F6M9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     17578 | PA      | $17626.82     | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18622                      | CUSIP: 3128MMVQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3990054 | PA      | $3865300.37   | 0.02%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0530                      | CUSIP: 3142GQSU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2362597 | PA      | $2453892.44   | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08062                      | CUSIP: 3128MJB82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42581 | PA      | $43521.85     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08776                      | CUSIP: 3128MJ2J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    337528 | PA      | $337274.41    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1028                      | CUSIP: 31418AEA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192595 | PA      | $189142.09    | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6902                      | CUSIP: 3140QEU42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3243495 | PA      | $2685898.66   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08800                      | CUSIP: 3128MJ3J7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1631010 | PA      | $1533113.33   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61006                      | CUSIP: 31335BDK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173741 | PA      | $170776.15    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6300                      | CUSIP: 3140XNAA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1578529 | PA      | $1417631.01   | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7419                      | CUSIP: 36179WG44<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3238557 | PA      | $2924295.28   | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4898                      | CUSIP: 3140QQNQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4195118 | PA      | $4237338.87   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8270                      | CUSIP: 3138WJFL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    561119 | PA      | $491235.19    | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8218                      | CUSIP: 3132D6DX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1916523 | PA      | $1969771.47   | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0160                      | CUSIP: 3138EGFA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2223418 | PA      | $2239114.42   | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3456                      | CUSIP: 36179RZV4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    166761 | PA      | $167259.60    | 0.00%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08477                      | CUSIP: 3128MJQ78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    646728 | PA      | $618852.09    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9363                      | CUSIP: 36179YML5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9162849 | PA      | $9404075.04   | 0.06%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95960                      | CUSIP: 312944TR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115374 | PA      | $113786.39    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97052                      | CUSIP: 312945ZR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108326 | PA      | $111157.53    | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI4815                      | CUSIP: 3138AJK50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156044 | PA      | $157133.20    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8779                      | CUSIP: 3140XCXH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8242050 | PA      | $7158886.41   | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 785098                      | CUSIP: 3622AART3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4861929 | PA      | $4619137.27   | 0.03%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6065                      | CUSIP: 3138WFW36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156788 | PA      | $147670.70    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3154                      | CUSIP: 31418CQG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325476 | PA      | $313889.79    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745355                      | CUSIP: 31403DBY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    376865 | PA      | $384888.23    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0634                      | CUSIP: 3138XBV43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128648 | PA      | $127016.62    | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A15852                      | CUSIP: 31296QQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7355 | PA      | $7492.69      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2677                      | CUSIP: 36179Q6N6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    801979 | PA      | $739433.75    | 0.00%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2842                      | CUSIP: 3132DQEP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8425268 | PA      | $7587549.71   | 0.05%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09004                      | CUSIP: 31292SAD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1362292 | PA      | $1300812.69   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6181                      | CUSIP: 3138WF2P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    343300 | PA      | $313597.19    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03478                      | CUSIP: 31292K2K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    228641 | PA      | $230544.53    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH8953                      | CUSIP: 3138AA5P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9978 | PA      | $10424.00     | 0.00%             | 2041-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5918                      | CUSIP: 3140XMSG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2023877 | PA      | $2081818.02   | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 942980                      | CUSIP: 31413ECR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1102 | PA      | $1167.66      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0754                      | CUSIP: 3140XFZU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1918239 | PA      | $1779102.39   | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4732                      | CUSIP: 31418EHJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7781969 | PA      | $7455371.05   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9736                      | CUSIP: 3138WKZA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    561534 | PA      | $564501.65    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0481                      | CUSIP: 3133BMRA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2792770 | PA      | $2810404.34   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2 12/25                   | CUSIP: 01F0206C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28840000 | PA      | $23477562.50  | 0.14%             | 2025-12-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5389                      | CUSIP: 31418E7B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8661627 | PA      | $8882214.61   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5651                      | CUSIP: 3140XMH58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    539708 | PA      | $570429.80    | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783449                      | CUSIP: 36241LZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     10447 | PA      | $10674.83     | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8572                      | CUSIP: 36179XQZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2437780 | PA      | $2521353.85   | 0.02%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1275                      | CUSIP: 31418AMZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1335766 | PA      | $1300790.56   | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6153                      | CUSIP: 3140X9ZT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2330116 | PA      | $2098434.23   | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3245                      | CUSIP: 36179RTA7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    590150 | PA      | $573247.13    | 0.00%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4708                      | CUSIP: 3138LVGS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114780 | PA      | $109887.63    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2523                      | CUSIP: 31418BYV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2406327 | PA      | $2315959.29   | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5061                      | CUSIP: 31418ETT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    966729 | PA      | $992380.15    | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3448                      | CUSIP: 3140X6ZN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    314268 | PA      | $315757.93    | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5204                      | CUSIP: 31418EYA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    316312 | PA      | $323587.85    | 0.00%             | 2043-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5257                      | CUSIP: 3133KLZW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6578314 | PA      | $5396027.97   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J39295                      | CUSIP: 31307WKG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44835 | PA      | $44297.27     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX1644                      | CUSIP: 3138Y2ZJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138411 | PA      | $130880.27    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD9175                      | CUSIP: 3133B7FQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2114610 | PA      | $1843317.87   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV7157                      | CUSIP: 3138XJ5T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117941 | PA      | $115384.30    | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2696                      | CUSIP: 3138EJ7J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15169 | PA      | $15772.13     | 0.00%             | 2042-02-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2750                      | CUSIP: 3140QNBU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4147947 | PA      | $3571717.55   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9903                      | CUSIP: 36180AAC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9687918 | PA      | $9220632.17   | 0.06%             | 2054-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0392                      | CUSIP: 31419ANJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294675 | PA      | $306949.70    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8524                      | CUSIP: 3132DWPH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    882982 | PA      | $894464.20    | 0.01%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08793                      | CUSIP: 3128MJ3B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2711080 | PA      | $2629146.91   | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4617                        | CUSIP: 36202FDW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2206070 | PA      | $2213318.27   | 0.01%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH2671                      | CUSIP: 3140GQ6H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    655483 | PA      | $615831.14    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257043                      | CUSIP: 31371NP41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    323809 | PA      | $343327.33    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8268                      | CUSIP: 3140XQFJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1950257 | PA      | $2009219.04   | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4285                      | CUSIP: 3132E0XN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1785908 | PA      | $1827548.41   | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08323                      | CUSIP: 3128MJLD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169605 | PA      | $173755.36    | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7936                      | CUSIP: 36179WY93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16088840 | PA      | $13975571.14  | 0.09%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18514                      | CUSIP: 3128MMSC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    405848 | PA      | $400280.35    | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2894                      | CUSIP: 3140XJGC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    655330 | PA      | $648144.10    | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5377                      | CUSIP: 3132DS6N7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4440521 | PA      | $4596626.01   | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00680                      | CUSIP: 31292GXH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2146 | PA      | $2197.36      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1171                      | CUSIP: 3140XGJR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6826245 | PA      | $6104852.12   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7162                      | CUSIP: 3138WG5Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1021522 | PA      | $967707.85    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7158                      | CUSIP: 3140XN5U4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7710388 | PA      | $5988699.10   | 0.04%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4521                      | CUSIP: 31418EAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    716529 | PA      | $646423.58    | 0.00%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD9110                      | CUSIP: 36180NDP7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    362370 | PA      | $334656.62    | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RR0002                      | CUSIP: 3142JCAC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4248680 | PA      | $4298146.21   | 0.03%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6283                      | CUSIP: 36179U6U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19343318 | PA      | $17520690.33  | 0.11%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5931                      | CUSIP: 36179USU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3547757 | PA      | $3417102.01   | 0.02%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08659                      | CUSIP: 3128MJWV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    520125 | PA      | $491031.64    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4918                      | CUSIP: 31418EPC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5564247 | PA      | $5585470.77   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2908                      | CUSIP: 3140X6GS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    603080 | PA      | $614237.89    | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V83156                      | CUSIP: 3132L8QH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    376848 | PA      | $376564.96    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784703                      | CUSIP: 3622AADG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    917708 | PA      | $871263.23    | 0.01%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5605                      | CUSIP: 3140X9GP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6647686 | PA      | $6086426.63   | 0.04%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08827                      | CUSIP: 3128MJ4M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1322447 | PA      | $1318562.12   | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2629                      | CUSIP: 3140QM4P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6944551 | PA      | $5995011.00   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR8561                      | CUSIP: 3138W6QP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81963 | PA      | $81386.60     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4992                      | CUSIP: 31418ERN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2565426 | PA      | $2607320.13   | 0.02%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737269                      | CUSIP: 3620ARCE9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     65774 | PA      | $65957.17     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2326                      | CUSIP: 3138XDSQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212687 | PA      | $211241.49    | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5983                      | CUSIP: 3140XMUH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12496070 | PA      | $10783555.76  | 0.07%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9608                      | CUSIP: 36179YU93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1180514 | PA      | $1221191.63   | 0.01%             | 2054-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4978                        | CUSIP: 36202FQ74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1602655 | PA      | $1607602.28   | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3389                      | CUSIP: 31418CXT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1203065 | PA      | $1191298.06   | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8432                      | CUSIP: 36179XLM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    414542 | PA      | $429052.40    | 0.00%             | 2052-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2857                      | CUSIP: 3142GTE77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8215791 | PA      | $8265101.30   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4173                      | CUSIP: 3138WDT76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64475 | PA      | $63060.74     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6957                      | CUSIP: 3132DUWS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5961201 | PA      | $6152352.61   | 0.04%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC9083                      | CUSIP: 3140F5CV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3441123 | PA      | $3123707.41   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3907                      | CUSIP: 3138WDKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1464043 | PA      | $1431490.64   | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1799                      | CUSIP: 3132AD7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251599 | PA      | $248017.45    | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745275                      | CUSIP: 31403C6L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    745326 | PA      | $761352.97    | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18660                      | CUSIP: 3128MMWW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311090 | PA      | $307750.78    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4900                      | CUSIP: 36179TNR2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9645043 | PA      | $9040815.65   | 0.06%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0857                      | CUSIP: 3132DM5S0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3954218 | PA      | $3417258.31   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4216                      | CUSIP: 3132E0VH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4861327 | PA      | $5105766.78   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW2025                      | CUSIP: 3140MTHB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    576271 | PA      | $542311.22    | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8137                      | CUSIP: 3132D6BE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4293007 | PA      | $3973570.15   | 0.02%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08010                      | CUSIP: 3128MJAL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     71078 | PA      | $73826.19     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06021                      | CUSIP: 3128M8AW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174204 | PA      | $181735.91    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA7720                      | CUSIP: 31416RSJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194800 | PA      | $192191.24    | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2125                      | CUSIP: 31418BLF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162133 | PA      | $153218.06    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4364                      | CUSIP: 31418DZ62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6920160 | PA      | $6090321.09   | 0.04%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0405                      | CUSIP: 3140Y6NX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10694152 | PA      | $11121066.39  | 0.07%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725423                      | CUSIP: 31402C4G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    466675 | PA      | $483219.53    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08036                      | CUSIP: 3128MJBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238901 | PA      | $247931.90    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9966                      | CUSIP: 36180ACB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5710782 | PA      | $5820526.17   | 0.04%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD1699                      | CUSIP: 36180C3G2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    170448 | PA      | $157689.76    | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5679                      | CUSIP: 3140XMJZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5320358 | PA      | $5404504.57   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9221                      | CUSIP: 3140QHG74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    632836 | PA      | $521274.92    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4910                      | CUSIP: 3140XLN46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4973210 | PA      | $5107814.39   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08587                      | CUSIP: 3128MJUM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77716 | PA      | $78220.38     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08761                      | CUSIP: 3128MJZ37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1075932 | PA      | $1012697.32   | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5787                      | CUSIP: 3140XMND4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2172197 | PA      | $2265529.95   | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7879                      | CUSIP: 3140XPXH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16371277 | PA      | $13943511.44  | 0.09%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4143                      | CUSIP: 3140XKS92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6683390 | PA      | $6812068.23   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD8536                      | CUSIP: 31418WPW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162452 | PA      | $166360.69    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5552                      | CUSIP: 31418FE29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21839714 | PA      | $21806995.44  | 0.13%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8011                      | CUSIP: 3132DV3U7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2429808 | PA      | $2275987.34   | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5270                      | CUSIP: 3133KL2B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1476952 | PA      | $1333330.49   | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97620                      | CUSIP: 312946PD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450269 | PA      | $453993.52    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2.5 12/25                 | CUSIP: 21H0226C0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13860000 | PA      | $12030047.57  | 0.07%             | 2025-12-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14198                      | CUSIP: 3128PTUX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4493 | PA      | $4484.15      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08341                      | CUSIP: 3128MJLX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77689 | PA      | $79603.31     | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4866                      | CUSIP: 3140XLMQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3147170 | PA      | $3191629.94   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6649                      | CUSIP: 31417DL76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39949 | PA      | $39425.16     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5119                      | CUSIP: 3132DSVL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3798104 | PA      | $3892594.63   | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698392                      | CUSIP: 36296Q2Z1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    172995 | PA      | $169292.70    | 0.00%             | 2039-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782818                      | CUSIP: 36241LDX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    164910 | PA      | $165391.02    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0731                      | CUSIP: 3140XFY54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5356909 | PA      | $4446034.96   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1876                      | CUSIP: 3132DPCM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1552655 | PA      | $1584974.68   | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3147                      | CUSIP: 31418CP99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1322342 | PA      | $1199953.17   | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5037                      | CUSIP: 3133KYS26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    835694 | PA      | $762782.53    | 0.00%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0548                      | CUSIP: 31419ATE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36626 | PA      | $36883.58     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4046                      | CUSIP: 3142GUP80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9166860 | PA      | $9554745.36   | 0.06%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4256                      | CUSIP: 31418DWS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13715352 | PA      | $11792881.69  | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5423                      | CUSIP: 3140QRAZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1889646 | PA      | $1884277.10   | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5263                      | CUSIP: 31418EZ52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172649 | PA      | $164701.48    | 0.00%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91912                      | CUSIP: 3128P8DR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2501256 | PA      | $2390339.15   | 0.01%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9419                      | CUSIP: 3138EEPD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88885 | PA      | $87291.64     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2870                      | CUSIP: 3140X6FL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11015941 | PA      | $9986040.95   | 0.06%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0176                      | CUSIP: 3140QKFS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3025379 | PA      | $2576732.79   | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5199                        | CUSIP: 36202FX43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11985 | PA      | $11929.95     | 0.00%             | 2026-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2259                      | CUSIP: 3140X5QM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414898 | PA      | $414107.90    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5421                      | CUSIP: 31418FAX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14334203 | PA      | $14676857.82  | 0.09%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06193                      | CUSIP: 3128M8GA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14410 | PA      | $15032.89     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698386                      | CUSIP: 36296Q2T5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     57331 | PA      | $57498.94     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2925                      | CUSIP: 3132DQHA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2376019 | PA      | $2214465.94   | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7854                      | CUSIP: 3132A8WP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81916 | PA      | $81031.20     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07661                      | CUSIP: 3128M9Z21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199375 | PA      | $184580.45    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1513                      | CUSIP: 3140XGVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1148046 | PA      | $1005689.97   | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0939                      | CUSIP: 3138EHBH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120429 | PA      | $121292.82    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7648                      | CUSIP: 36179WP93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20253144 | PA      | $16884207.97  | 0.10%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14785                      | CUSIP: 3128PUJ60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11489 | PA      | $11469.17     | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0616                      | CUSIP: 3140XFVJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1085064 | PA      | $953861.52    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6202                      | CUSIP: 3138WF3L8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431231 | PA      | $406124.95    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9381                      | CUSIP: 3132AAM68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    280443 | PA      | $281845.40    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4979                      | CUSIP: 31418EQ94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24125381 | PA      | $24544643.45  | 0.15%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2281                      | CUSIP: 3140QMRB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4902349 | PA      | $4056510.82   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5170                      | CUSIP: 3140XLW87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5053277 | PA      | $5132489.31   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8487                      | CUSIP: 3140XQND5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5559530 | PA      | $5500301.82   | 0.03%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4675                      | CUSIP: 3132A5FQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    870269 | PA      | $762426.27    | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU6739                      | CUSIP: 3138X6PZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210461 | PA      | $200016.30    | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DA0912                      | CUSIP: 3140A1AN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1531531 | PA      | $1594086.99   | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3581                      | CUSIP: 3140XJ6T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3504248 | PA      | $3667409.21   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08583                      | CUSIP: 3128MJUH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194941 | PA      | $196123.01    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05149                      | CUSIP: 3128M7BS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1234 | PA      | $1338.94      | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5687                      | CUSIP: 3140QRJ95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2716738 | PA      | $2808097.79   | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8093                      | CUSIP: 3132D57E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4046760 | PA      | $3753233.79   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5436                      | CUSIP: 3140QRBE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3652448 | PA      | $3686924.82   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1871                      | CUSIP: 3133L8CG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53824 | PA      | $48839.39     | 0.00%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2509                      | CUSIP: 3140XHYF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6102795 | PA      | $5875276.62   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4531                      | CUSIP: 3140X8A98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    634413 | PA      | $571333.89    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4133                      | CUSIP: 3138LUSX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    307520 | PA      | $294244.26    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5468                      | CUSIP: 36179UCD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    524823 | PA      | $533904.20    | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5287                      | CUSIP: 3133KL2U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2659714 | PA      | $2189178.16   | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4356                      | CUSIP: 31418DZW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14999433 | PA      | $12896974.52  | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA5897                      | CUSIP: 36178DRS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    467032 | PA      | $431162.93    | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5202                        | CUSIP: 36202FX76<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    787576 | PA      | $751723.64    | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4197                      | CUSIP: 3140J8UX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    282584 | PA      | $258773.24    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5378                      | CUSIP: 3140XL6Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6261030 | PA      | $5182725.35   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3599                      | CUSIP: 36179R7L7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    225340 | PA      | $225655.32    | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL3207                      | CUSIP: 31427QR53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4760000 | PA      | $4992414.62   | 0.03%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16933                      | CUSIP: 3128PWV21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82975 | PA      | $82514.39     | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737271                      | CUSIP: 3620ARCG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     31935 | PA      | $32024.40     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1580                      | CUSIP: 3140XGXJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2789202 | PA      | $2786507.75   | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4540                        | CUSIP: 36202FBH8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     70760 | PA      | $70995.51     | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8253                      | CUSIP: 3133KQE28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3608123 | PA      | $3696759.65   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5676                      | CUSIP: 31418FJW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2676103 | PA      | $2803676.44   | 0.02%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08002                      | CUSIP: 3128MJAC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    274849 | PA      | $285477.79    | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3812                      | CUSIP: 3140X7GW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1044158 | PA      | $995060.15    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5423                      | CUSIP: 3140QDAZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1089902 | PA      | $981533.92    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4282                      | CUSIP: 3132E0XK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2528039 | PA      | $2590142.42   | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5749                      | CUSIP: 3140XML79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21450824 | PA      | $22249560.91  | 0.14%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5528                      | CUSIP: 36179UD90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2027170 | PA      | $1958848.91   | 0.01%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4439                      | CUSIP: 3140X74Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8677552 | PA      | $7877118.57   | 0.05%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5611                      | CUSIP: 31418FGV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12852699 | PA      | $12249026.63  | 0.08%             | 2055-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6031                      | CUSIP: 3138ENVZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1220509 | PA      | $1198803.93   | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7501                      | CUSIP: 3132DVKN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4480172 | PA      | $4350947.88   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1224                      | CUSIP: 36179NLD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1398303 | PA      | $1329068.01   | 0.01%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67705                      | CUSIP: 3132XCR23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7980065 | PA      | $7788769.66   | 0.05%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3664                      | CUSIP: 3140X7CA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12981702 | PA      | $12554526.06  | 0.08%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR5609                      | CUSIP: 3140L4GT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    795237 | PA      | $658525.85    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3392                      | CUSIP: 3138WCXW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205968 | PA      | $201425.24    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9828                      | CUSIP: 3132AA4M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2025149 | PA      | $1853534.24   | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8172                      | CUSIP: 3140QUCJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3713292 | PA      | $3914221.00   | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0355                      | CUSIP: 3132CWMC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411874 | PA      | $404982.05    | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18605                      | CUSIP: 3128MMU76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584620 | PA      | $573338.70    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3743                      | CUSIP: 3140J8ER0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    608869 | PA      | $595683.29    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9405                      | CUSIP: 3138ERNX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    751431 | PA      | $718073.53    | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 357705                      | CUSIP: 31376KKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101405 | PA      | $105136.64    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9604                      | CUSIP: 36179YU51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     17058 | PA      | $17080.90     | 0.00%             | 2054-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08752                      | CUSIP: 3128MJZS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1392337 | PA      | $1351128.29   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7227                      | CUSIP: 3140XBA59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    918590 | PA      | $889797.73    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8502                      | CUSIP: 3132D6NT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2427736 | PA      | $2266816.79   | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7505                      | CUSIP: 3138EQKT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    423528 | PA      | $414876.14    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7620                      | CUSIP: 3138EQPE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    564752 | PA      | $516891.26    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1290                      | CUSIP: 3132DNNF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2490964 | PA      | $2446157.49   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91395                      | CUSIP: 312939RQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13612 | PA      | $13955.45     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7137                      | CUSIP: 36179V4W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2603692 | PA      | $2355103.91   | 0.01%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5189                      | CUSIP: 3132DSXS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4205312 | PA      | $4307305.63   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7542                      | CUSIP: 3140XBLY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4182036 | PA      | $3797328.27   | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 724273                      | CUSIP: 3620AAT65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     79228 | PA      | $80927.24     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5137                      | CUSIP: 3133KYV63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3236297 | PA      | $2744318.38   | 0.02%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1237                      | CUSIP: 31418ALT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    235180 | PA      | $229081.17    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4045                      | CUSIP: 31418DP71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20391395 | PA      | $18075244.91  | 0.11%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM8782                      | CUSIP: 3131Y3XK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202391 | PA      | $202322.12    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0873                      | CUSIP: 3132A06J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24015 | PA      | $24509.11     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2007                      | CUSIP: 3140J6GR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    754334 | PA      | $730218.61    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9305                      | CUSIP: 36179YKS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7921774 | PA      | $8038316.30   | 0.05%             | 2053-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ1502                      | CUSIP: 3138YSU46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2015 | PA      | $1978.00      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4413                      | CUSIP: 3140J83X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1976253 | PA      | $1970638.23   | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4566                      | CUSIP: 31418ECC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1657301 | PA      | $1495004.93   | 0.01%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737424                      | CUSIP: 3620ARG96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    114263 | PA      | $111573.78    | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8106                      | CUSIP: 3132D6AF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8412756 | PA      | $7617830.66   | 0.05%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5166                      | CUSIP: 3140X8W45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4314706 | PA      | $3887045.73   | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785016                      | CUSIP: 3622AAN91<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    723780 | PA      | $717097.25    | 0.00%             | 2034-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5300                        | CUSIP: 36202F3H7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     40280 | PA      | $39978.31     | 0.00%             | 2027-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4129                      | CUSIP: 3140QPST5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2223462 | PA      | $2190046.28   | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3849                      | CUSIP: 36179SH26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    126217 | PA      | $122475.10    | 0.00%             | 2031-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT1896                      | CUSIP: 3138WPDA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8897 | PA      | $9094.91      | 0.00%             | 2041-12-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725773                      | CUSIP: 31402DJS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15359 | PA      | $15929.76     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783406                      | CUSIP: 36241LYB6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     42357 | PA      | $43260.20     | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782979                      | CUSIP: 36241LJY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     68325 | PA      | $69814.80     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3049                      | CUSIP: 31419DL74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38028 | PA      | $38297.16     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745230                      | CUSIP: 3620C04P0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    129529 | PA      | $126481.30    | 0.00%             | 2040-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 955770                      | CUSIP: 31413UJP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41039 | PA      | $43484.01     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8142                      | CUSIP: 3140XQBL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10630550 | PA      | $10778750.47  | 0.07%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1368                      | CUSIP: 3140Q8QW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    947270 | PA      | $920835.64    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3181                      | CUSIP: 31418CRB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    475069 | PA      | $464442.35    | 0.00%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3293                      | CUSIP: 3142GTUT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8186191 | PA      | $8359152.56   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4778                      | CUSIP: 36179TJX4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2750350 | PA      | $2579769.82   | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8424                      | CUSIP: 3140XCLE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1305719 | PA      | $1337088.17   | 0.01%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4236                      | CUSIP: 3140XKV64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9063326 | PA      | $8187656.63   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0062                      | CUSIP: 3140Q7B89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138266 | PA      | $134019.16    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4151                      | CUSIP: 3140XKTH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6115044 | PA      | $5079080.00   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82980                       | CUSIP: 36225FJ26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4323 | PA      | $4419.99      | 0.00%             | 2041-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8851                      | CUSIP: 3140XCZR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    282198 | PA      | $256238.67    | 0.00%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5890                      | CUSIP: 3140X9RL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2953535 | PA      | $2782250.45   | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5841                      | CUSIP: 3140QRP31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1595510 | PA      | $1625528.99   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3040                      | CUSIP: 3140XJLW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10228742 | PA      | $9192526.66   | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5574                      | CUSIP: 3138A7FQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    528419 | PA      | $520423.64    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6528                      | CUSIP: 3138WGHE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    397121 | PA      | $387031.45    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7689                      | CUSIP: 3138E0RK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1158271 | PA      | $1139477.13   | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1416                      | CUSIP: 3138ASSE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    601596 | PA      | $605672.52    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6328                      | CUSIP: 3138WGA61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4407174 | PA      | $4157097.00   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8779                      | CUSIP: 3140QGXH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4180019 | PA      | $3432684.33   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06566                      | CUSIP: 3128M8TX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70455 | PA      | $74537.55     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8141                      | CUSIP: 3132DWBJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5620884 | PA      | $4833009.26   | 0.03%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7040                      | CUSIP: 3140XNZE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3262385 | PA      | $3448090.75   | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0777                      | CUSIP: 3140XF2K6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10250247 | PA      | $9304745.90   | 0.06%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7076                      | CUSIP: 3138LX2J7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79124 | PA      | $75957.11     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1578                      | CUSIP: 3140X4XG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1198053 | PA      | $1179128.86   | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5639                      | CUSIP: 3140QRHR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5208185 | PA      | $5232933.99   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97217                      | CUSIP: 312946AS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    483912 | PA      | $487912.83    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0093                      | CUSIP: 3140XFC74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2585626 | PA      | $2591207.88   | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18475                      | CUSIP: 3128MMQ55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    259149 | PA      | $255080.67    | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08767                      | CUSIP: 3128MJZ94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1308431 | PA      | $1269705.76   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9385                      | CUSIP: 3140XRNB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5026471 | PA      | $5061271.70   | 0.03%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK5282                      | CUSIP: 3140HJ2Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     85317 | PA      | $82509.35     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1448                      | CUSIP: 36179NTD0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    328793 | PA      | $312269.65    | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8341                      | CUSIP: 3140XCHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2824647 | PA      | $2716693.15   | 0.02%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8000                      | CUSIP: 3132D53H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    465924 | PA      | $454212.62    | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8477                      | CUSIP: 3140XCM39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3474699 | PA      | $3131383.74   | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5816                      | CUSIP: 3138WFPA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197794 | PA      | $186483.81    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8494                      | CUSIP: 3140QUNL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7917960 | PA      | $8139403.40   | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0392                      | CUSIP: 36179MNH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2094847 | PA      | $1995495.98   | 0.01%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723234                      | CUSIP: 3620A9PT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    165499 | PA      | $165969.36    | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5332                        | CUSIP: 36202F4R4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    532522 | PA      | $520677.82    | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4718                      | CUSIP: 36179TG33<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4129115 | PA      | $3772306.68   | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2382                      | CUSIP: 3132DPUF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4039742 | PA      | $3781479.29   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18691                      | CUSIP: 3128MMXV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    321648 | PA      | $313847.65    | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7211                      | CUSIP: 3133KPAL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2349524 | PA      | $2255323.73   | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18601                      | CUSIP: 3128MMU35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    408665 | PA      | $400879.28    | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8200                      | CUSIP: 3132DWDD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    857373 | PA      | $733712.26    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8386                      | CUSIP: 3132DWJ79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3021709 | PA      | $3169062.15   | 0.02%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1149                      | CUSIP: 31416WH39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167472 | PA      | $171511.46    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8057                      | CUSIP: 3132D55S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1049295 | PA      | $979743.95    | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8288                      | CUSIP: 3140XCF60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1550770 | PA      | $1461805.26   | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7842                      | CUSIP: 3140XBWC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    147188 | PA      | $143167.65    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4901                      | CUSIP: 36179TNS0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1517006 | PA      | $1469197.74   | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0789                      | CUSIP: 3132AC2W9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    879945 | PA      | $853189.62    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0410                      | CUSIP: 3132D9N34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5417832 | PA      | $4927286.14   | 0.03%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8030                      | CUSIP: 3140XB4Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2162288 | PA      | $2039149.81   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3439                      | CUSIP: 31418CZD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    318031 | PA      | $319638.83    | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4496                      | CUSIP: 31418D7J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3289968 | PA      | $2971900.84   | 0.02%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q26692                      | CUSIP: 3132M7C55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128383 | PA      | $125911.36    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05889                      | CUSIP: 3128M72W5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7897 | PA      | $8095.95      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1593                      | CUSIP: 31418NXX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    272057 | PA      | $273994.68    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4587                      | CUSIP: 36179TCY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1940219 | PA      | $1881497.95   | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 748486                      | CUSIP: 3620C4RF9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    343849 | PA      | $344749.50    | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7009                      | CUSIP: 3138A8YF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39860 | PA      | $40140.68     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6746                      | CUSIP: 3138WGP81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    304515 | PA      | $298740.30    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0859                      | CUSIP: 3140Q75V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    460725 | PA      | $432566.22    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7549                      | CUSIP: 3133KPL63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5229877 | PA      | $5018558.84   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6150                      | CUSIP: 3140XMZQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3345280 | PA      | $3425369.71   | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9468                      | CUSIP: 3140QVQW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6359075 | PA      | $6403202.90   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0969                      | CUSIP: 3138A2CF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2973 | PA      | $2964.26      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888268                      | CUSIP: 31410FZ99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212019 | PA      | $223982.23    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8463                      | CUSIP: 3132DWML4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31197223 | PA      | $31960044.96  | 0.20%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2145                      | CUSIP: 31418BL38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1207004 | PA      | $1179742.40   | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2753                      | CUSIP: 36179RBW8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1517755 | PA      | $1398985.47   | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6925                      | CUSIP: 3140QEVT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1010905 | PA      | $837117.69    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5498                      | CUSIP: 31418FDC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4816928 | PA      | $4934709.37   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0197                      | CUSIP: 3140XFGF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8289367 | PA      | $6438395.63   | 0.04%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4881                        | CUSIP: 36202FM60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    210459 | PA      | $201390.23    | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0155                      | CUSIP: 36179ME48<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    457110 | PA      | $446765.46    | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00876                      | CUSIP: 3132GD6M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437346 | PA      | $440942.35    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6285                      | CUSIP: 3140X96X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    738643 | PA      | $647111.27    | 0.00%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7743                      | CUSIP: 3140XBS92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    262077 | PA      | $257755.63    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1725                      | CUSIP: 3132DN4J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1454433 | PA      | $1387938.12   | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8799                      | CUSIP: 36179XX43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20834992 | PA      | $20506640.56  | 0.13%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD4857                      | CUSIP: 3133B2ME6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    237015 | PA      | $196935.80    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5847                      | CUSIP: 3140X9P90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    551500 | PA      | $455828.71    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8364                      | CUSIP: 3132DWJH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4102069 | PA      | $4254812.14   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8108                      | CUSIP: 3132D6AH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    365139 | PA      | $346659.14    | 0.00%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4771                        | CUSIP: 36202FJQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    838170 | PA      | $840843.08    | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91908                      | CUSIP: 3128P8DM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    560888 | PA      | $536015.31    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3209                      | CUSIP: 31418CR71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221615 | PA      | $201103.59    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5100                      | CUSIP: 3133KYUZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5220408 | PA      | $4606796.52   | 0.03%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8189                      | CUSIP: 3132DWC27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22308434 | PA      | $19118736.54  | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5137                      | CUSIP: 31418EV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2001388 | PA      | $2005269.11   | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737941                      | CUSIP: 3620ARZE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2552 | PA      | $2546.82      | 0.00%             | 2026-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3575                      | CUSIP: 3133KJ6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2377154 | PA      | $1963291.69   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723344                      | CUSIP: 3620A9S93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    229986 | PA      | $224870.32    | 0.00%             | 2039-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5453                      | CUSIP: 3140X9BX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    220131 | PA      | $194501.80    | 0.00%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7040                      | CUSIP: 31417DZE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48732 | PA      | $48093.72     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q04651                      | CUSIP: 3132GKZQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4822238 | PA      | $4758725.57   | 0.03%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96312                      | CUSIP: 312945AM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    372198 | PA      | $366812.38    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6217                      | CUSIP: 36179U4A7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4868991 | PA      | $4261781.95   | 0.03%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07025                      | CUSIP: 3128M9D66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169655 | PA      | $174030.60    | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6012                      | CUSIP: 31417CVE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197373 | PA      | $182917.51    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B7911                      | CUSIP: 3128UGFB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2453 | PA      | $2536.88      | 0.00%             | 2040-12-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8233                      | CUSIP: 3132DWEE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7850792 | PA      | $7897911.51   | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 605098                      | CUSIP: 36200NGF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      8272 | PA      | $8413.46      | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4267                      | CUSIP: 3132E0W40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6542017 | PA      | $6835886.79   | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5281                        | CUSIP: 36202F2N5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     70209 | PA      | $70419.59     | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08672                      | CUSIP: 3128MJXA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    641878 | PA      | $627401.75    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6701                      | CUSIP: 3132DUNS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7034336 | PA      | $7343726.98   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6599                      | CUSIP: 3132DUKL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6820776 | PA      | $6988335.26   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8402                      | CUSIP: 3133KQKP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3277511 | PA      | $3307424.87   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1706                      | CUSIP: 3132DN3P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1823151 | PA      | $1832953.86   | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5290                      | CUSIP: 3140X82Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2964862 | PA      | $2696010.75   | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG6306                      | CUSIP: 3133C7AF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18640689 | PA      | $18688491.68  | 0.12%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8772                      | CUSIP: 3138ETXA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165461 | PA      | $153195.38    | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6630                      | CUSIP: 3140QELL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2279119 | PA      | $1895144.97   | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8277                      | CUSIP: 3132DWFS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3086855 | PA      | $3149181.78   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2250                      | CUSIP: 3132DPQB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8818128 | PA      | $8718673.20   | 0.05%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q02113                      | CUSIP: 3132GFK22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8277 | PA      | $8163.37      | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1293                      | CUSIP: 3140QLNK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11211118 | PA      | $9301306.07   | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-27

**Name of Applicant:** VANGUARD SCOTTSDALE FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer