# EDGAR Filing Document

**Accession Number:** 0001021882
**File Stem:** 0001021882-25-000203
**Filing Date:** 2025-10
**Character Count:** 1934543
**Document Hash:** b5bc0b631b4833c1442c47ec100f6d1a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001021882-25-000203.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0001021882-25-000203

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20250831

**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:** 251423049

**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            |

## 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:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $16798890952.63

**Total Liabilities:** $385949650.28

**Net Assets:** $16412941302.35

**Delayed Delivery Securities:** $319569666.24

**Cash Not Reported:** $37194727.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -37629.23432407 | **1-Year:** -667792.99291406 | **5-Year:** -1919868.10892363 | **10-Year:** -3498798.21354844 | **30-Year:** -967278.37791310

**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 | 1.65%                | -0.33%               | 1.65%                |
| Class ID C000080859 | 1.67%                | -0.30%               | 1.61%                |
| Class ID C000080861 | 1.69%                | -0.32%               | 1.62%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1800064.53             | $214693465.55                              |
| Month 2  | $-11430.12               | $-110826296.45                             |
| Month 3  | $655788.08               | $205302969.04                              |

### 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        |    104549 | PA      | $106333.62    | 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        |   4827274 | PA      | $5104963.90   | 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        |    196228 | PA      | $191297.69    | 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        |   4722241 | PA      | $3976175.74   | 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        |   4226129 | PA      | $3997337.08   | 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        |   1394617 | PA      | $1231737.24   | 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        |   1054060 | PA      | $959536.62    | 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        |    226950 | PA      | $215371.95    | 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        |    226314 | PA      | $202357.88    | 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        |   1920500 | PA      | $1850495.28   | 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        |    328657 | PA      | $301711.17    | 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        |    832547 | PA      | $737653.89    | 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        |     26327 | PA      | $25357.97     | 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        |     75719 | PA      | $69106.40     | 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        |   1918568 | PA      | $1766346.42   | 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        |    700428 | PA      | $625953.87    | 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        |    238510 | PA      | $242296.50    | 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        |    582294 | PA      | $548402.03    | 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        |   1553357 | PA      | $1588581.01   | 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        |   5183061 | PA      | $4200632.94   | 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        |    181107 | PA      | $184118.33    | 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        |  23672455 | PA      | $23001392.54  | 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        |     72743 | PA      | $73963.01     | 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        |   1760362 | PA      | $1792248.07   | 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        |    558847 | PA      | $539350.02    | 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        |      9661 | PA      | $10464.70     | 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        |   2386772 | PA      | $2532285.41   | 0.02%             | 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        |   3507583 | PA      | $3245728.18   | 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        |   6562404 | PA      | $6714033.11   | 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        |   1785319 | PA      | $1612235.61   | 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        |   1891399 | PA      | $1701825.39   | 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        |    645691 | PA      | $639608.83    | 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        |     61609 | PA      | $65180.07     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE1806                      | CUSIP: 31419CAG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       371 | PA      | $369.89       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890833                      | CUSIP: 31410LV25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197150 | PA      | $182647.44    | 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        |   1453489 | PA      | $1433867.68   | 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        |   5257505 | PA      | $5058060.10   | 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        |   1824983 | PA      | $1786121.07   | 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        |   3194460 | PA      | $3028003.08   | 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        |      1214 | PA      | $1277.58      | 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        |    179207 | PA      | $163467.64    | 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        |   1515112 | PA      | $1457517.65   | 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        |     74377 | PA      | $72191.19     | 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        |  13302060 | PA      | $13596148.24  | 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        |   5016854 | PA      | $4667887.22   | 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        |    240759 | PA      | $228919.29    | 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        |    559174 | PA      | $556375.02    | 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        |   6547435 | PA      | $6601785.72   | 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        |   2657697 | PA      | $2460557.77   | 0.01%             | 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        |  10569217 | PA      | $9344725.77   | 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        |    343662 | PA      | $342550.29    | 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        |    603145 | PA      | $613128.79    | 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        |     16981 | PA      | $17995.28     | 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        |    235939 | PA      | $244789.71    | 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        |   6936259 | PA      | $7121473.34   | 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        |     90765 | PA      | $83747.75     | 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        |   1856081 | PA      | $1631764.98   | 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        |    199093 | PA      | $190671.61    | 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        |     27550 | PA      | $27033.66     | 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        |  36971238 | PA      | $35923184.54  | 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        |    266563 | PA      | $268365.30    | 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        |   6122330 | PA      | $6312775.58   | 0.04%             | 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        |   4930828 | PA      | $5085297.78   | 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        |    105978 | PA      | $104992.85    | 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        |    260379 | PA      | $264612.02    | 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        |     66962 | PA      | $65911.11     | 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        |    960657 | PA      | $940772.51    | 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        |    151543 | PA      | $149452.40    | 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        |    236662 | PA      | $244386.58    | 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        |    132986 | PA      | $128776.78    | 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        |   3955305 | PA      | $3930138.99   | 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        |   3310452 | PA      | $3189710.64   | 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        |    219282 | PA      | $192780.96    | 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        |    486461 | PA      | $426453.56    | 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        |      6982 | PA      | $7340.16      | 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        |   4292972 | PA      | $4399286.11   | 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        |  13377696 | PA      | $13306485.06  | 0.08%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 9/25                  | CUSIP: 01F022691<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -9980000 | PA      | $-8285349.09  | -0.05%            | 2025-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2044                      | CUSIP: 36179QHV6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     76053 | PA      | $74690.65     | 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        |  10029039 | PA      | $8096735.01   | 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        |    324103 | PA      | $320610.24    | 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        |   2057887 | PA      | $1899196.62   | 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        |    654951 | PA      | $625631.51    | 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        |    220610 | PA      | $211595.83    | 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        |    535815 | PA      | $502452.00    | 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        |    147793 | PA      | $150125.46    | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3867                      | CUSIP: 31417AJM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197186 | PA      | $186603.78    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02998                      | CUSIP: 3128M4UX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106248 | PA      | $112177.03    | 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        |    430262 | PA      | $392968.64    | 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        |    395175 | PA      | $369210.29    | 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        |    105590 | PA      | $99748.11     | 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        |     12432 | PA      | $12222.47     | 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        |    182887 | PA      | $176880.38    | 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        |    527290 | PA      | $517890.88    | 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        |    552075 | PA      | $490185.23    | 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        |   2419998 | PA      | $2535197.88   | 0.02%             | 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        |  18152323 | PA      | $16100280.52  | 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        |      3569 | PA      | $3774.30      | 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        |    181028 | PA      | $184076.26    | 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        |    370485 | PA      | $369334.88    | 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        |  17837046 | PA      | $16910413.71  | 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        |     38737 | PA      | $40266.52     | 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        |   1795970 | PA      | $1696495.80   | 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        |    321662 | PA      | $309922.86    | 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        |    150114 | PA      | $147513.43    | 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        |   2183351 | PA      | $1994834.93   | 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        |    846441 | PA      | $852251.48    | 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        |     58228 | PA      | $61516.51     | 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        |  17006954 | PA      | $14517819.53  | 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        |    158102 | PA      | $154726.50    | 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        |    226998 | PA      | $230540.15    | 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        |     25150 | PA      | $24740.20     | 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        |    166659 | PA      | $147975.35    | 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        |   5218665 | PA      | $4397431.73   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18611                      | CUSIP: 3128MMVD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8974 | PA      | $8682.48      | 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        |   1047677 | PA      | $1010634.45   | 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        |  13546050 | PA      | $12689887.95  | 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        |   1707170 | PA      | $1711779.13   | 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        |     30120 | PA      | $30999.75     | 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        |    176242 | PA      | $170234.89    | 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        |   1347935 | PA      | $1312807.35   | 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        |    783440 | PA      | $735637.74    | 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        |   1696236 | PA      | $1707706.91   | 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        |   3966674 | PA      | $4170856.60   | 0.03%             | 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        |   3094298 | PA      | $3193167.60   | 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        |    169438 | PA      | $166518.16    | 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        |    491482 | PA      | $481476.82    | 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        |   6995615 | PA      | $7182632.93   | 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        |    653007 | PA      | $635622.11    | 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        |     99672 | PA      | $96652.86     | 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        |   3738665 | PA      | $3635685.43   | 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        |     13237 | PA      | $13028.33     | 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        |   1207820 | PA      | $1148425.75   | 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        |   9145003 | PA      | $8811458.82   | 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        |    239134 | PA      | $235083.50    | 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        |   7764786 | PA      | $7971274.48   | 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        |  16049892 | PA      | $16176440.34  | 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        |    756301 | PA      | $742129.88    | 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        |  17732881 | PA      | $14814896.82  | 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        |   6963745 | PA      | $5608977.28   | 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        |    231024 | PA      | $216654.14    | 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        |  15667679 | PA      | $12546154.03  | 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        |   2329398 | PA      | $2258914.12   | 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        |    947750 | PA      | $885867.68    | 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        |    505473 | PA      | $475566.53    | 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        |   4208606 | PA      | $4078345.82   | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02390                      | CUSIP: 3128LXUP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106963 | PA      | $112857.89    | 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        |     69430 | PA      | $67218.54     | 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        |   8632076 | PA      | $8814329.97   | 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        |    216938 | PA      | $209621.20    | 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        |   5216748 | PA      | $4482019.11   | 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        |   3523814 | PA      | $3633103.93   | 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        |    914654 | PA      | $872394.69    | 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        |    110361 | PA      | $109301.95    | 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        |   4607758 | PA      | $4287037.35   | 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        |   5588284 | PA      | $4544764.98   | 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        |    146083 | PA      | $148319.12    | 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        |    301495 | PA      | $305296.42    | 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        |   3150818 | PA      | $2909816.97   | 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        |   7547811 | PA      | $6931269.84   | 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        |   5863004 | PA      | $5085645.42   | 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        |   4801463 | PA      | $4521259.43   | 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        |   2604337 | PA      | $2584511.04   | 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        |    537259 | PA      | $498074.58    | 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        |    553752 | PA      | $548535.65    | 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        |    928294 | PA      | $849024.58    | 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        |    446096 | PA      | $432692.96    | 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        |   2411234 | PA      | $2288221.40   | 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        |   9062795 | PA      | $9333113.57   | 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        |   2408421 | PA      | $2482365.43   | 0.02%             | 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        |    118480 | PA      | $118562.67    | 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        |    568413 | PA      | $550756.62    | 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        |   1218802 | PA      | $1179511.57   | 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        |     77031 | PA      | $79590.90     | 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        |   6655518 | PA      | $6154497.73   | 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        |   1316479 | PA      | $1214960.99   | 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        |     28095 | PA      | $27871.62     | 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        |     54609 | PA      | $55340.57     | 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        |   3412393 | PA      | $3433254.88   | 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        |    217109 | PA      | $215134.84    | 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        |  10402510 | PA      | $8713509.71   | 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        |   1015049 | PA      | $939367.75    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4919                      | CUSIP: 31418EPD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1779802 | PA      | $1800138.33   | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7016                      | CUSIP: 3138WGYN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    431280 | PA      | $399554.74    | 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        |   3247873 | PA      | $3012819.77   | 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        |    100460 | PA      | $100467.30    | 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        |     94725 | PA      | $96299.66     | 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        |   1234404 | PA      | $1183731.12   | 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        |   3427664 | PA      | $3105097.90   | 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        |     42887 | PA      | $42895.90     | 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        |  14849414 | PA      | $12466235.62  | 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        |     37163 | PA      | $36820.48     | 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        |   4415766 | PA      | $3905559.58   | 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        |   3754936 | PA      | $3283533.86   | 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        |    763274 | PA      | $716602.72    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8432                      | CUSIP: 3132DWLM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27356146 | PA      | $27973773.75  | 0.17%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3611                      | CUSIP: 3140J8AM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    281000 | PA      | $272021.79    | 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        |    996621 | PA      | $969074.01    | 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        |   1975046 | PA      | $1860090.44   | 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        |   8788992 | PA      | $9030576.67   | 0.06%             | 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        |    256789 | PA      | $258552.04    | 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        |   7850278 | PA      | $7603602.77   | 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        |    158887 | PA      | $154135.80    | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8453                      | CUSIP: 3132DWMA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6646869 | PA      | $6691659.86   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8176                      | CUSIP: 3132DWCM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    687988 | PA      | $521943.29    | 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        |    415270 | PA      | $400816.15    | 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        |   3064981 | PA      | $3103275.42   | 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        |    116433 | PA      | $118246.26    | 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        |    351893 | PA      | $318639.27    | 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        |    437770 | PA      | $408533.12    | 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        |     81034 | PA      | $74435.44     | 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        |   2232064 | PA      | $2165338.47   | 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        |    549960 | PA      | $504078.52    | 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        |    961592 | PA      | $971457.67    | 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        |     15645 | PA      | $15453.42     | 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        |     48748 | PA      | $49463.12     | 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        |     18426 | PA      | $18740.07     | 0.00%             | 2041-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05661                      | CUSIP: 3128M7TS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150139 | PA      | $152620.33    | 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        |  10891562 | PA      | $9704564.65   | 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        |   1093677 | PA      | $1083374.55   | 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        |   6571712 | PA      | $5793920.68   | 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        |     60287 | PA      | $63844.10     | 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        |    567451 | PA      | $548960.69    | 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        |   1892468 | PA      | $1693433.33   | 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        |    207529 | PA      | $194152.27    | 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        |   4650661 | PA      | $3738626.94   | 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        |       440 | PA      | $462.11       | 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        |   1767769 | PA      | $1754311.71   | 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        |      6192 | PA      | $6291.89      | 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        |  23408186 | PA      | $22751930.91  | 0.14%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08837                      | CUSIP: 3128MJ4X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2214677 | PA      | $2167518.23   | 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        |  28164602 | PA      | $27871655.88  | 0.17%             | 2055-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BU8825                      | CUSIP: 3140MAYX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    954663 | PA      | $796079.70    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1828                      | CUSIP: 3132DPA57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5141061 | PA      | $4991419.16   | 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        |   5682325 | PA      | $6043408.09   | 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        |   1125494 | PA      | $1035538.02   | 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        |    239971 | PA      | $235452.52    | 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        |   5968221 | PA      | $6116022.37   | 0.04%             | 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        |      1260 | PA      | $1304.14      | 0.00%             | 2038-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5383                      | CUSIP: 3140X86V4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1154539 | PA      | $1119166.11   | 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        |    164630 | PA      | $164468.11    | 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        |   5279451 | PA      | $5420409.66   | 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        |      1366 | PA      | $1417.77      | 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        |   4231754 | PA      | $4190282.34   | 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        |   6031637 | PA      | $6173470.15   | 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        |    686448 | PA      | $710259.08    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8726                      | CUSIP: 36179XVT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6469249 | PA      | $6550076.53   | 0.04%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91619                      | CUSIP: 3128P7YQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    458517 | PA      | $444243.92    | 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        |   1227915 | PA      | $1252305.57   | 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        |  10436725 | PA      | $9040568.78   | 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        |   1478243 | PA      | $1498366.84   | 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        |   2896088 | PA      | $3003105.53   | 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        |   2139820 | PA      | $1793737.96   | 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        |  18375463 | PA      | $18536140.21  | 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        |    806773 | PA      | $720615.72    | 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        |    179795 | PA      | $172636.40    | 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        |   6773758 | PA      | $5724742.38   | 0.03%             | 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        |   3509048 | PA      | $2960137.45   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1584                      | CUSIP: 31418AXN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    359944 | PA      | $353321.80    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784106                      | CUSIP: 3622A2R38<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4028882 | PA      | $3738182.67   | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY1265                      | CUSIP: 3140NHMP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    430651 | PA      | $426430.39    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2503                      | CUSIP: 3132DPX86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1987107 | PA      | $1984399.56   | 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        |     12879 | PA      | $12817.44     | 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        |    174949 | PA      | $169500.94    | 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        |     61451 | PA      | $60879.47     | 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        |    207560 | PA      | $207759.84    | 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        |    418634 | PA      | $406164.14    | 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        |    750190 | PA      | $732574.32    | 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        |    147247 | PA      | $147028.18    | 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        |   1343759 | PA      | $1315983.78   | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8510                      | CUSIP: 3140XQN45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7947756 | PA      | $6339460.50   | 0.04%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889505                      | CUSIP: 31410KGN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51570 | PA      | $54283.42     | 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        |    208756 | PA      | $202636.81    | 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        |    171451 | PA      | $169480.78    | 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        |    356035 | PA      | $329027.83    | 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        |      9454 | PA      | $9988.75      | 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        |   2045770 | PA      | $1931519.42   | 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        |    469474 | PA      | $413910.02    | 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        |   2973402 | PA      | $2488242.10   | 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        |  14426751 | PA      | $11615577.14  | 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        |   1643019 | PA      | $1696417.54   | 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        |    127968 | PA      | $125813.13    | 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        |    418076 | PA      | $407581.37    | 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        |    154759 | PA      | $156982.20    | 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        |    170182 | PA      | $158896.61    | 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        |   6432327 | PA      | $5660981.27   | 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        |   4160171 | PA      | $4388435.16   | 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        |   1287083 | PA      | $1186170.89   | 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        |    505288 | PA      | $477004.47    | 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        |   4091794 | PA      | $3650986.75   | 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        |   1188792 | PA      | $1135202.44   | 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        |    373522 | PA      | $385008.63    | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0499                      | CUSIP: 3132DMRU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    473921 | PA      | $418422.83    | 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        |   2167886 | PA      | $1748842.65   | 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        |  18552247 | PA      | $16304327.10  | 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        |   1098652 | PA      | $1065339.70   | 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        |    803063 | PA      | $791218.09    | 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        |  14480608 | PA      | $14659640.25  | 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        |   4013055 | PA      | $4138773.56   | 0.03%             | 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        |    199460 | PA      | $182790.60    | 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        |   1292508 | PA      | $1158387.83   | 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        |   1176702 | PA      | $1090438.84   | 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        |   2622541 | PA      | $2450230.22   | 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        |     12368 | PA      | $11937.29     | 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        |    178247 | PA      | $172362.75    | 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        |   2849888 | PA      | $2363017.13   | 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        |       249 | PA      | $248.38       | 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        |   5749057 | PA      | $5182649.20   | 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        |     35446 | PA      | $35992.55     | 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        |  29061100 | PA      | $23316566.26  | 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        |      6214 | PA      | $6156.43      | 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        |     55154 | PA      | $53371.00     | 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        |    460366 | PA      | $477983.07    | 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        |     77644 | PA      | $78630.79     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 4 9/25                    | CUSIP: 21H040699<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7670000 | PA      | $7152646.23   | 0.04%             | 2025-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G31003                      | CUSIP: 3132J4KR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    544925 | PA      | $503878.92    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 6.5 9/25                  | CUSIP: 21H062693<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8600000 | PA      | $8849258.10   | 0.05%             | 2025-09-22      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786858                      | CUSIP: 3622ACQK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2799190 | PA      | $2884205.68   | 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        |    305676 | PA      | $288728.57    | 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        |    298528 | PA      | $290947.72    | 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        |   1511185 | PA      | $1415193.45   | 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        |    162564 | PA      | $165111.29    | 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        |    161292 | PA      | $163934.82    | 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        |    544677 | PA      | $496925.04    | 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        |   4039191 | PA      | $3826815.47   | 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        |    566809 | PA      | $542833.38    | 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        |   1139241 | PA      | $1048674.69   | 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        |   2225788 | PA      | $2308453.61   | 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        |    186351 | PA      | $180873.38    | 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        |      7110 | PA      | $7068.93      | 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        |    109111 | PA      | $98044.66     | 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        |   4420184 | PA      | $4270805.95   | 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        |   5152087 | PA      | $4702258.02   | 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        |   2551216 | PA      | $2428237.28   | 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        |   3897652 | PA      | $3589783.50   | 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        |    836067 | PA      | $815506.50    | 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        |   1591155 | PA      | $1340763.22   | 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        |    173267 | PA      | $173360.60    | 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        |   5902509 | PA      | $5876020.33   | 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        |    250768 | PA      | $228270.25    | 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        |  10296117 | PA      | $9977699.94   | 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        |   1195843 | PA      | $1003922.58   | 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        |     26510 | PA      | $26037.51     | 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        |   1074860 | PA      | $994719.88    | 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        |    280649 | PA      | $273116.90    | 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        |  10644230 | PA      | $9564671.07   | 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        |    179845 | PA      | $182241.09    | 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        |    479285 | PA      | $478721.44    | 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        |   1163698 | PA      | $1133804.76   | 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        |   8771817 | PA      | $7328395.20   | 0.04%             | 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        |  13793481 | PA      | $11545285.48  | 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        |  18207031 | PA      | $18434511.00  | 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        |   1186073 | PA      | $1063279.65   | 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        |     28836 | PA      | $29283.86     | 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        |  12403662 | PA      | $11943513.10  | 0.07%             | 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        |  51391608 | PA      | $41184802.78  | 0.25%             | 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        |   1658241 | PA      | $1482708.97   | 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        |    128037 | PA      | $129836.26    | 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        |   3524110 | PA      | $3510497.81   | 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        |  23830077 | PA      | $19523663.07  | 0.12%             | 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        |      1275 | PA      | $1312.56      | 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        |    993582 | PA      | $990038.34    | 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        |   2995479 | PA      | $3067826.22   | 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        |   4524794 | PA      | $4785083.02   | 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        |     48014 | PA      | $50799.25     | 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        |   1515200 | PA      | $1444295.89   | 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        |   1812177 | PA      | $1753285.90   | 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        |     46186 | PA      | $47984.25     | 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        |   4819565 | PA      | $4406676.32   | 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        |   8809555 | PA      | $8863412.91   | 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        |  17892996 | PA      | $18038271.38  | 0.11%             | 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        |   3622251 | PA      | $3055632.16   | 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        |    789218 | PA      | $755613.71    | 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        |   1662381 | PA      | $1653304.27   | 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        |     36034 | PA      | $35885.36     | 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        |    921488 | PA      | $855374.53    | 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        |   1516403 | PA      | $1447337.99   | 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        |  27721725 | PA      | $22720700.86  | 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        |     79909 | PA      | $77756.50     | 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        |   5727502 | PA      | $5997017.92   | 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        |    148955 | PA      | $145006.51    | 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        |   3201190 | PA      | $2967711.92   | 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        |   5542494 | PA      | $5861326.22   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 3.5 9/25                  | CUSIP: 21H032696<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2275327.75   | 0.01%             | 2025-09-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9015                      | CUSIP: 36179YAQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9963198 | PA      | $9655076.87   | 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        |    632030 | PA      | $615991.19    | 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        |     43869 | PA      | $43108.84     | 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        |    102382 | PA      | $105557.95    | 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        |  26423796 | PA      | $23928882.10  | 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        |   2964754 | PA      | $3058576.28   | 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        |    824975 | PA      | $797326.28    | 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        |  32952623 | PA      | $33662530.96  | 0.21%             | 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        |   6983118 | PA      | $5844941.65   | 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        |   1314786 | PA      | $1218892.65   | 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        |     46867 | PA      | $47658.80     | 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        |   6681293 | PA      | $6632517.92   | 0.04%             | 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        |   8037505 | PA      | $7266051.43   | 0.04%             | 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        |    597886 | PA      | $579437.69    | 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        |   3956755 | PA      | $3611290.69   | 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        |   6198869 | PA      | $5231134.20   | 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        |    157515 | PA      | $153557.20    | 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        |    193044 | PA      | $189053.58    | 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        |    247892 | PA      | $240253.55    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G30703                      | CUSIP: 3132J4AD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150292 | PA      | $147702.41    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BM3956                      | CUSIP: 3617JUMD0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    268124 | PA      | $275998.63    | 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        |   3516561 | PA      | $3283860.57   | 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        |   2653146 | PA      | $2369810.80   | 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        |   1961875 | PA      | $1583879.04   | 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        |   3050462 | PA      | $2447474.75   | 0.01%             | 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        |    497823 | PA      | $458235.96    | 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        |    184281 | PA      | $184338.71    | 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        |    314582 | PA      | $314751.48    | 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        |   7241375 | PA      | $6188317.23   | 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        |    669356 | PA      | $644800.89    | 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        |    710537 | PA      | $635474.55    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03812                      | CUSIP: 3128M5R93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    103855 | PA      | $108068.01    | 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        |   5862980 | PA      | $5916078.72   | 0.04%             | 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        |   1862486 | PA      | $1817056.43   | 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        |   1282378 | PA      | $1242820.69   | 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        |   5641081 | PA      | $5214892.82   | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5487                      | CUSIP: 31419GCZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3111 | PA      | $3100.42      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3075                      | CUSIP: 3140X6MZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2514499 | PA      | $2390824.27   | 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        |    198396 | PA      | $198420.45    | 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        |   1802384 | PA      | $1883067.08   | 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        |   3303662 | PA      | $3261993.97   | 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        |  23936447 | PA      | $20395712.52  | 0.12%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1772                      | CUSIP: 31418A6J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211176 | PA      | $207123.39    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8515                      | CUSIP: 3132DWN82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8081242 | PA      | $8130647.65   | 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        |    591145 | PA      | $521180.43    | 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        |     29472 | PA      | $30625.18     | 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        |   2519779 | PA      | $2517920.32   | 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        |      7950 | PA      | $8237.08      | 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        |    160581 | PA      | $166522.22    | 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        |    311106 | PA      | $284429.54    | 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        |    661308 | PA      | $560548.10    | 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        |    100361 | PA      | $105702.27    | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5265                      | CUSIP: 3140X8Z75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1469258 | PA      | $1183420.10   | 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        |   9385018 | PA      | $9296200.74   | 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        |   3181920 | PA      | $2932747.10   | 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        |     62155 | PA      | $58984.30     | 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        |   4326149 | PA      | $4379635.42   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2 9/25                    | CUSIP: 01F020695<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -8270000 | PA      | $-6566250.99  | -0.04%            | 2025-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5217                      | CUSIP: 3140X8YP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3122474 | PA      | $2515985.11   | 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        |   1097372 | PA      | $1104793.00   | 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        |   4557068 | PA      | $4000629.43   | 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        |   1562054 | PA      | $1616846.83   | 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        |    502803 | PA      | $486110.71    | 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        |     10113 | PA      | $10282.78     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 3 9/25                    | CUSIP: 21H030690<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -3000000 | PA      | $-2657442.60  | -0.02%            | 2025-09-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745755                      | CUSIP: 31403DQG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204826 | PA      | $207636.43    | 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        |   1822149 | PA      | $1854357.37   | 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        |    984693 | PA      | $979277.52    | 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        |    315616 | PA      | $314170.59    | 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        |   4545895 | PA      | $3983718.08   | 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        |  13349210 | PA      | $10806406.92  | 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        |    756126 | PA      | $699749.91    | 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        |    345543 | PA      | $340256.08    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q13637                      | CUSIP: 3132HQBE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1203068 | PA      | $1102880.48   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX5440                      | CUSIP: 3140NABJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1129712 | PA      | $1143291.07   | 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        |    128569 | PA      | $133666.70    | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0727                      | CUSIP: 3140W0YZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2746145 | PA      | $2906477.44   | 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        |    300620 | PA      | $271899.20    | 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        |  11811808 | PA      | $11692358.28  | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7771                      | CUSIP: 3133KPT40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    860988 | PA      | $808453.25    | 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        |    395837 | PA      | $386913.47    | 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        |    237244 | PA      | $230993.41    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08783                      | CUSIP: 3128MJ2R0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    350552 | PA      | $312423.52    | 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        |   4115393 | PA      | $3789516.19   | 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        |   5445185 | PA      | $5189512.90   | 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        |   2078930 | PA      | $1882476.49   | 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        |    503025 | PA      | $502590.55    | 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        |    568196 | PA      | $523026.39    | 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        |    729626 | PA      | $658362.40    | 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        |     33718 | PA      | $31997.36     | 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        |  33015690 | PA      | $26417227.32  | 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        |    254801 | PA      | $241524.05    | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9518                      | CUSIP: 3140XDSG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7666845 | PA      | $6474729.57   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8366                      | CUSIP: 3132DWJK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6740606 | PA      | $6672440.02   | 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        |   1161760 | PA      | $1061796.14   | 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        |   1177217 | PA      | $1096920.13   | 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        |    642143 | PA      | $586994.95    | 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        |   3890829 | PA      | $3875799.91   | 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        |      3634 | PA      | $3754.97      | 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        |     39582 | PA      | $37323.32     | 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        |     42094 | PA      | $42024.85     | 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        |    676984 | PA      | $635605.33    | 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        |     16169 | PA      | $16400.63     | 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        |   3477552 | PA      | $3257757.19   | 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        |   1827963 | PA      | $1929975.18   | 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        |    463633 | PA      | $452263.16    | 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        |   5351020 | PA      | $4845362.89   | 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        |   3926247 | PA      | $4034522.16   | 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        |  24156870 | PA      | $24458688.28  | 0.15%             | 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        |   2566670 | PA      | $2393423.14   | 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        |    756888 | PA      | $741515.67    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2 9/25                    | CUSIP: 01F020497<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26965000 | PA      | $24739333.17  | 0.15%             | 2025-09-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61658                      | CUSIP: 31335BZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    870578 | PA      | $879468.42    | 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        |   1078484 | PA      | $1024137.54   | 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        |   1090911 | PA      | $1037876.56   | 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        |     45151 | PA      | $44716.68     | 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        |   3709442 | PA      | $3002854.67   | 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        |   2572941 | PA      | $2082838.54   | 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        |    193753 | PA      | $193165.80    | 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        |  10793762 | PA      | $10896854.35  | 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        |     74655 | PA      | $77367.01     | 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        |    476947 | PA      | $467088.99    | 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        |   2230408 | PA      | $2088157.89   | 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        |  19700879 | PA      | $17129086.55  | 0.10%             | 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        |   8141671 | PA      | $8435739.64   | 0.05%             | 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        |   4696275 | PA      | $4468428.75   | 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        |    318165 | PA      | $303126.11    | 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        |   2759893 | PA      | $2235903.98   | 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        |   6770435 | PA      | $6919061.84   | 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        |    304758 | PA      | $280863.99    | 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        |   4087656 | PA      | $3877703.05   | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1284                      | CUSIP: 36179NM96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11334502 | PA      | $10345773.91  | 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        |   5695471 | PA      | $4992908.71   | 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        |     33347 | PA      | $31572.39     | 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        |  17791350 | PA      | $18011315.49  | 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        |   4245958 | PA      | $4380299.20   | 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        |   1998375 | PA      | $1677656.63   | 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        |  19378398 | PA      | $19275244.70  | 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        |    638700 | PA      | $638391.54    | 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        |   3038402 | PA      | $2549820.63   | 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        |    668011 | PA      | $655873.37    | 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        |     35944 | PA      | $34109.98     | 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        |   2933963 | PA      | $2601374.06   | 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        |   2458707 | PA      | $2513692.78   | 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        |   1467932 | PA      | $1438049.52   | 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        |     80769 | PA      | $71714.13     | 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        |   3279243 | PA      | $3321085.29   | 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        |   1120244 | PA      | $1001519.81   | 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        |   1660640 | PA      | $1591139.50   | 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        |   2004122 | PA      | $1622370.12   | 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        |  11500473 | PA      | $9804686.91   | 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        |     29894 | PA      | $29592.40     | 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        |   4231440 | PA      | $3897205.68   | 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        |   1712103 | PA      | $1654772.48   | 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        |   1100493 | PA      | $1005757.61   | 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        |   4496791 | PA      | $4667642.08   | 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        |    240594 | PA      | $239658.16    | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8041                      | CUSIP: 36179W5A2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    548295 | PA      | $449210.69    | 0.00%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0926                      | CUSIP: 31418NA42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10334 | PA      | $10741.82     | 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        |  28047539 | PA      | $28275259.62  | 0.17%             | 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        |   4637910 | PA      | $4363635.72   | 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        |   2041477 | PA      | $1646867.59   | 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        |    123086 | PA      | $126057.73    | 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        |     39788 | PA      | $40404.29     | 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        |   1961605 | PA      | $1729440.42   | 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        |   2027782 | PA      | $1965914.36   | 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        |   2498902 | PA      | $2459104.45   | 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        |   2714479 | PA      | $2492432.74   | 0.02%             | 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        |   1811156 | PA      | $1753282.24   | 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        |    395652 | PA      | $395897.78    | 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        |  13900592 | PA      | $13099155.09  | 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        |    109320 | PA      | $108119.63    | 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        |       512 | PA      | $531.37       | 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        |   1761841 | PA      | $1647105.83   | 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        |   6053024 | PA      | $5527843.61   | 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        |   6450826 | PA      | $6405749.41   | 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        |    145934 | PA      | $143770.66    | 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        |    108272 | PA      | $104300.08    | 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        |  38764373 | PA      | $31126012.38  | 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        |   3542153 | PA      | $3633194.55   | 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        |    211097 | PA      | $210803.60    | 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        |  11112463 | PA      | $9440151.90   | 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        |    283082 | PA      | $252850.91    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91982                      | CUSIP: 3128P8FX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    433883 | PA      | $417640.95    | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14153                      | CUSIP: 3128PTTJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1588 | PA      | $1582.42      | 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        |   9297001 | PA      | $9439306.57   | 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        |    720785 | PA      | $695876.04    | 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        |   6617944 | PA      | $5545409.27   | 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        |    974382 | PA      | $897682.51    | 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        |    141411 | PA      | $143579.83    | 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        |     58561 | PA      | $58572.53     | 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        |  11128505 | PA      | $11257112.61  | 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        |    927008 | PA      | $914315.66    | 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        |    259207 | PA      | $263296.66    | 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        |     24822 | PA      | $23498.20     | 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        |    392370 | PA      | $347770.70    | 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        |   1359152 | PA      | $1227325.45   | 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        |    305773 | PA      | $289983.96    | 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        |    157086 | PA      | $159776.20    | 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        |   3187853 | PA      | $2934923.83   | 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        |  12165357 | PA      | $12270144.84  | 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        |   1821414 | PA      | $1669286.94   | 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        |   1616684 | PA      | $1546082.76   | 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        |    321318 | PA      | $294012.29    | 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        |    757283 | PA      | $702050.51    | 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        |    190708 | PA      | $184677.02    | 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        |    361082 | PA      | $324949.05    | 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        |    217480 | PA      | $213775.91    | 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        |   1846965 | PA      | $1738870.60   | 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        |    143740 | PA      | $141744.64    | 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        |  11548646 | PA      | $10026626.99  | 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        |   2339915 | PA      | $2213228.86   | 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        |  18349421 | PA      | $18584415.18  | 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        |     42211 | PA      | $42878.37     | 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        |   1712786 | PA      | $1616355.78   | 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        |    573906 | PA      | $549921.32    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11213                      | CUSIP: 3132HMK26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241867 | PA      | $221932.02    | 0.00%             | 2042-09-01      | 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        |   1918452 | PA      | $1750490.10   | 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        |   9798756 | PA      | $10029171.77  | 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        |      9520 | PA      | $9481.18      | 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        |  14778219 | PA      | $12235665.23  | 0.07%             | 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        |    371761 | PA      | $365924.12    | 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        |    101048 | PA      | $99187.29     | 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        |   5698054 | PA      | $5946151.48   | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM3535                      | CUSIP: 3131XW4U4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1161713 | PA      | $1112248.76   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BL3846                      | CUSIP: 3617JGHX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    257819 | PA      | $250895.89    | 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        |  25543571 | PA      | $25197450.56  | 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        |      8179 | PA      | $8133.23      | 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        |   2599964 | PA      | $2447911.36   | 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        |  12335248 | PA      | $12476192.27  | 0.08%             | 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        |   3590591 | PA      | $3475980.91   | 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        |    109012 | PA      | $108034.48    | 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        |   3586734 | PA      | $3477074.74   | 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        |     14508 | PA      | $14956.86     | 0.00%             | 2037-10-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3737                      | CUSIP: 31417AEK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    575211 | PA      | $543018.83    | 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        |   1383560 | PA      | $1294384.67   | 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        |     60524 | PA      | $61462.23     | 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        |   2870736 | PA      | $2704743.53   | 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        |  10659032 | PA      | $10963120.09  | 0.07%             | 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        |    155336 | PA      | $153044.64    | 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        |   1528672 | PA      | $1441389.67   | 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        |   6500614 | PA      | $6607394.17   | 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        |   2169658 | PA      | $1758408.34   | 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        |    285360 | PA      | $255866.45    | 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        |   3728774 | PA      | $3772544.44   | 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        |   8898972 | PA      | $9097106.32   | 0.06%             | 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        |    826028 | PA      | $671006.93    | 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        |   7984469 | PA      | $7338818.21   | 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        |    598380 | PA      | $522063.14    | 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        |    200460 | PA      | $188460.10    | 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        |    518297 | PA      | $503686.51    | 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        |   2922738 | PA      | $2633520.62   | 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        |   3460494 | PA      | $3207562.11   | 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        |   4739010 | PA      | $4370607.86   | 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        |  19995188 | PA      | $20728325.94  | 0.13%             | 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        |   1958682 | PA      | $1747674.46   | 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        |     80191 | PA      | $80367.46     | 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        |    290186 | PA      | $291967.02    | 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        |    440133 | PA      | $409866.65    | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DA7829                      | CUSIP: 3140A8VX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    732273 | PA      | $723494.51    | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4742                      | CUSIP: 31417BHU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    395995 | PA      | $362936.30    | 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        |    340847 | PA      | $346117.26    | 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        |   4237689 | PA      | $4205428.32   | 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        |   2264268 | PA      | $2245615.24   | 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        |   4958375 | PA      | $4694021.24   | 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        |    425799 | PA      | $447645.19    | 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        |   2699549 | PA      | $2523747.97   | 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        |     22266 | PA      | $21871.98     | 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        |    116643 | PA      | $114969.86    | 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        |   3966414 | PA      | $3620725.52   | 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        |     61440 | PA      | $62369.34     | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2014                      | CUSIP: 3140XHGY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1507333 | PA      | $1444852.40   | 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        |   7076049 | PA      | $7139210.63   | 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        |    354995 | PA      | $335764.54    | 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        |    352867 | PA      | $331989.47    | 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        |   2261068 | PA      | $1831785.25   | 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        |   4843396 | PA      | $4559978.34   | 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        |    351197 | PA      | $320929.13    | 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        |   2423262 | PA      | $2337582.10   | 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        |      3389 | PA      | $3375.03      | 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        |    354712 | PA      | $345758.44    | 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        |   4449652 | PA      | $4110938.44   | 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        |    975501 | PA      | $860046.33    | 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        |     52291 | PA      | $52213.61     | 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        |   9551401 | PA      | $9138744.00   | 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        |   5630235 | PA      | $5030165.90   | 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        |   1221800 | PA      | $1239349.16   | 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        |   5121890 | PA      | $5330495.24   | 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        |   2795002 | PA      | $2593331.70   | 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        |    796279 | PA      | $792862.12    | 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        |   6130833 | PA      | $6212379.37   | 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        |     97259 | PA      | $95769.17     | 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        |   3015212 | PA      | $2761661.72   | 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        |   1559374 | PA      | $1258928.36   | 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        |   7069296 | PA      | $7194253.61   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV5579                      | CUSIP: 3140MKFV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4470482 | PA      | $4067941.03   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6111                      | CUSIP: 3138WFYH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    586778 | PA      | $561976.91    | 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        |  38940197 | PA      | $29554227.43  | 0.18%             | 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        |      1318 | PA      | $1313.57      | 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        |   4246801 | PA      | $4311250.85   | 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        |    796889 | PA      | $644347.64    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1603                      | CUSIP: 31416WX98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        95 | PA      | $95.00        | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783417                      | CUSIP: 36241LYN0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    228196 | PA      | $226595.95    | 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        |    662966 | PA      | $607423.54    | 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        |     13927 | PA      | $13570.40     | 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        |    153032 | PA      | $153494.61    | 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        |    164634 | PA      | $160437.50    | 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        |     15460 | PA      | $16307.73     | 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        |    423859 | PA      | $392944.72    | 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        |   8218656 | PA      | $6830301.11   | 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        |    381697 | PA      | $371570.50    | 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        |   1523533 | PA      | $1437382.96   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 10/25                 | CUSIP: 01F0226A8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21160000 | PA      | $17569412.50  | 0.11%             | 2025-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7256                      | CUSIP: 36179WBZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9482848 | PA      | $8419743.02   | 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        |    373156 | PA      | $378868.23    | 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        |   9328844 | PA      | $7913288.33   | 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        |   4303996 | PA      | $3822827.97   | 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        |   3638048 | PA      | $3354095.31   | 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        |    222664 | PA      | $221943.86    | 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        |  26296593 | PA      | $22406740.12  | 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        |   1454671 | PA      | $1404379.54   | 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        |   1528605 | PA      | $1344821.63   | 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        |     24771 | PA      | $25544.88     | 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        |   1767665 | PA      | $1790276.76   | 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        |     58159 | PA      | $59018.47     | 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        |  30479619 | PA      | $24311812.40  | 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        |      1568 | PA      | $1659.38      | 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        |   1165110 | PA      | $1103126.16   | 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        |     83750 | PA      | $84959.55     | 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        |      2624 | PA      | $2608.49      | 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        |   3353037 | PA      | $3207763.03   | 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        |   3397339 | PA      | $3527350.20   | 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        |  13179744 | PA      | $10795927.99  | 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        |    335337 | PA      | $340372.24    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 7 9/25                    | CUSIP: 01F070690<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4390000 | PA      | $4618102.21   | 0.03%             | 2025-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2994                      | CUSIP: 31418CKG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    329150 | PA      | $303703.66    | 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        |   3837491 | PA      | $3567198.34   | 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        |   1323262 | PA      | $1310707.15   | 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        |   1693898 | PA      | $1760240.89   | 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        |   4594053 | PA      | $4071860.92   | 0.02%             | 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        |      7142 | PA      | $7542.05      | 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        |    533716 | PA      | $534132.77    | 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        |    776019 | PA      | $732003.48    | 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        |   7411383 | PA      | $6612958.38   | 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        |   1101903 | PA      | $1084435.34   | 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        |   5161050 | PA      | $5293700.71   | 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        |    193335 | PA      | $200057.86    | 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        |   4040381 | PA      | $4008359.69   | 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        |   1712842 | PA      | $1795583.29   | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY4181                      | CUSIP: 3140NLUF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    691483 | PA      | $684706.79    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1370                      | CUSIP: 3140X4QY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2314500 | PA      | $2097330.61   | 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        |   9555712 | PA      | $8806507.08   | 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        |    165762 | PA      | $165212.07    | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8017                      | CUSIP: 3132DV4A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4725306 | PA      | $4318647.26   | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1920                      | CUSIP: 36179QDZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    203240 | PA      | $195373.62    | 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        |    578089 | PA      | $534300.07    | 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        |  17419385 | PA      | $15437950.97  | 0.09%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW9886                      | CUSIP: 3140N26Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    721128 | PA      | $696757.64    | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1245                      | CUSIP: 3140X4L38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157103 | PA      | $157774.94    | 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        |    334722 | PA      | $325083.69    | 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        |   1374421 | PA      | $1294506.15   | 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        |  25089630 | PA      | $20130140.43  | 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        |    995224 | PA      | $921548.88    | 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        |    158493 | PA      | $164735.80    | 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        |   9874459 | PA      | $9131120.89   | 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        |   1447590 | PA      | $1136397.28   | 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        |   3060739 | PA      | $3148015.65   | 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        |    106137 | PA      | $110086.45    | 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        |  12820159 | PA      | $11451068.22  | 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        |      7037 | PA      | $7266.74      | 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        |   4621251 | PA      | $4834016.78   | 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        |     33325 | PA      | $33852.97     | 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        |   2601134 | PA      | $1974168.08   | 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        |   2465031 | PA      | $2565556.23   | 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        |     15213 | PA      | $14855.62     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD3975                      | CUSIP: 3140FBMZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    761950 | PA      | $706138.91    | 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        |   1715464 | PA      | $1522616.34   | 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        |   5578693 | PA      | $4894023.16   | 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        |    136105 | PA      | $138144.81    | 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        |   2096221 | PA      | $1819956.04   | 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        |   1532081 | PA      | $1508047.89   | 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        |    144569 | PA      | $144502.01    | 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        |    489458 | PA      | $487884.25    | 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        |   1276398 | PA      | $1296566.94   | 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        |    337467 | PA      | $334322.96    | 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        |   2008122 | PA      | $1864046.09   | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3066                      | CUSIP: 31419DMQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1561 | PA      | $1556.04      | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1546                      | CUSIP: 3132ADWF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2265412 | PA      | $2212215.71   | 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        |   6588946 | PA      | $6865881.84   | 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        |    287193 | PA      | $298896.20    | 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        |   7686164 | PA      | $6829285.80   | 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        |     45984 | PA      | $46180.76     | 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        |   2646857 | PA      | $2427814.15   | 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        |     86956 | PA      | $88403.67     | 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        |   8729318 | PA      | $8172136.11   | 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        |  16975389 | PA      | $14474960.05  | 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        |  30482896 | PA      | $24959938.17  | 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        |   5216148 | PA      | $4500292.95   | 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        |    908227 | PA      | $860473.23    | 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        |    700269 | PA      | $639389.04    | 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        |     16627 | PA      | $16552.45     | 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        |    158112 | PA      | $158234.10    | 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        |   1058076 | PA      | $966639.04    | 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        |       211 | PA      | $219.05       | 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        |   4993951 | PA      | $5040868.78   | 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        |   3590012 | PA      | $3659078.83   | 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        |    172882 | PA      | $160803.84    | 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        |    165516 | PA      | $167862.39    | 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        |  10676408 | PA      | $9073055.03   | 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        |   1335968 | PA      | $1262806.88   | 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        |     14709 | PA      | $14946.73     | 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        |    121511 | PA      | $119532.95    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5189                      | CUSIP: 31418EXT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349066 | PA      | $345536.20    | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2469                      | CUSIP: 3133KHW69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    959788 | PA      | $876289.11    | 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        |    350334 | PA      | $283272.92    | 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        |   1363405 | PA      | $1255017.66   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255892                      | CUSIP: 31371MF93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $2.85         | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735230                      | CUSIP: 31402QY39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157411 | PA      | $162686.62    | 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        |   4300276 | PA      | $3959085.81   | 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        |     52167 | PA      | $47514.36     | 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        |   2437161 | PA      | $2444502.52   | 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        |   5006750 | PA      | $4389144.51   | 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        |   1078458 | PA      | $1077477.66   | 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        |   1786621 | PA      | $1579632.75   | 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        |   1039511 | PA      | $933535.05    | 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        |   1067833 | PA      | $927101.53    | 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        |  12110726 | PA      | $10326848.38  | 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        |   9304743 | PA      | $8328483.12   | 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        |   2227189 | PA      | $1958022.93   | 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        |    135762 | PA      | $128412.61    | 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        |   4363230 | PA      | $4223957.26   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9426                      | CUSIP: 3140XRPL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    198947 | PA      | $196251.30    | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1387                      | CUSIP: 3140X4RH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2416454 | PA      | $2435815.46   | 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        |    685287 | PA      | $682871.16    | 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        |   4392711 | PA      | $4034968.66   | 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        |    202947 | PA      | $186446.43    | 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        |   5215086 | PA      | $5205026.23   | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8212                      | CUSIP: 3132DWDR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11610550 | PA      | $9681866.59   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9798                      | CUSIP: 3138WK3G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1812367 | PA      | $1735198.94   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO3283                      | CUSIP: 3140JXUH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11619 | PA      | $11235.43     | 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        |  11214065 | PA      | $10076712.24  | 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        |   1514019 | PA      | $1491688.31   | 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        |    169484 | PA      | $172036.99    | 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        |   8719861 | PA      | $7320413.29   | 0.04%             | 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        |    608853 | PA      | $567908.68    | 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        |    310047 | PA      | $296507.43    | 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        |  12574886 | PA      | $10560675.85  | 0.06%             | 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        |    843555 | PA      | $741607.29    | 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        |   5614672 | PA      | $4538152.15   | 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        |     84339 | PA      | $83089.55     | 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        |  20227094 | PA      | $20119423.56  | 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        |    404511 | PA      | $402318.01    | 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        |   2465685 | PA      | $1989077.84   | 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        |   7699566 | PA      | $7428967.39   | 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        |   2403824 | PA      | $2243818.13   | 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        |     96803 | PA      | $93215.27     | 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        |    418070 | PA      | $433406.41    | 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        |   8882739 | PA      | $8953699.64   | 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        |   1601994 | PA      | $1563374.78   | 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        |     45236 | PA      | $45896.65     | 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        |   2097660 | PA      | $2006377.38   | 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        |     23144 | PA      | $22626.35     | 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        |    317857 | PA      | $300597.85    | 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        |   1920765 | PA      | $1842347.64   | 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        |    315380 | PA      | $282112.02    | 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        |   2954484 | PA      | $2719610.40   | 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        |     65957 | PA      | $64324.65     | 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        |  22476572 | PA      | $22613985.27  | 0.14%             | 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        |   8263450 | PA      | $7590075.51   | 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        |    195569 | PA      | $157522.00    | 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        |    521658 | PA      | $525186.00    | 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        |   2423941 | PA      | $2499876.50   | 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        |   4231323 | PA      | $3976701.53   | 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        |   2393532 | PA      | $2469263.00   | 0.02%             | 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        |  43501004 | PA      | $34861339.37  | 0.21%             | 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        |   9680670 | PA      | $7721705.38   | 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        |    473889 | PA      | $466865.95    | 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        |    930882 | PA      | $875557.72    | 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        |    183846 | PA      | $180458.60    | 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        |   2462601 | PA      | $2139073.87   | 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        |    184508 | PA      | $170762.88    | 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        |    187715 | PA      | $176830.62    | 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        |    564068 | PA      | $547413.90    | 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        |  17675028 | PA      | $17077707.96  | 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        |    137641 | PA      | $130017.17    | 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        |   4886430 | PA      | $5078498.37   | 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        |   5146207 | PA      | $5109163.68   | 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        |   3278444 | PA      | $2929545.08   | 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        |   6720038 | PA      | $6867558.15   | 0.04%             | 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        |      3968 | PA      | $3861.44      | 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        |      8400 | PA      | $8373.42      | 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        |   3188480 | PA      | $2800149.01   | 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        |    834118 | PA      | $818180.20    | 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        |    463580 | PA      | $447551.11    | 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        |    170914 | PA      | $173665.96    | 0.00%             | 2035-12-01      | 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        |      5613 | PA      | $5781.54      | 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        |     27718 | PA      | $27589.24     | 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        |     99586 | PA      | $96846.45     | 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        |   1206864 | PA      | $1151358.38   | 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        |   5088138 | PA      | $5209374.22   | 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        |   3258453 | PA      | $3409492.81   | 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        |   7491255 | PA      | $7626011.94   | 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        |    282514 | PA      | $279740.64    | 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        |    641213 | PA      | $608500.58    | 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        |   1096576 | PA      | $1018060.45   | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0208                      | CUSIP: 3140XFGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    945828 | PA      | $800534.53    | 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        |     43436 | PA      | $44078.79     | 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        |    431596 | PA      | $390404.28    | 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        |   3549806 | PA      | $3287161.97   | 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        |   2298291 | PA      | $2128151.27   | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0518                      | CUSIP: 31419ASG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2439 | PA      | $2430.88      | 0.00%             | 2025-11-01      | 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        |    159440 | PA      | $155172.97    | 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        |   4761122 | PA      | $3973205.03   | 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        |   3931669 | PA      | $3802485.28   | 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        |    692751 | PA      | $669935.75    | 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        |    518868 | PA      | $516450.92    | 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        |   3741265 | PA      | $3779649.39   | 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        |     50734 | PA      | $49012.25     | 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        |     15540 | PA      | $16141.49     | 0.00%             | 2041-12-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8182                      | CUSIP: 3132DWCT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  36322645 | PA      | $29029206.75  | 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        |   2534579 | PA      | $2408452.47   | 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        |   1429070 | PA      | $1323947.55   | 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        |   1596746 | PA      | $1332500.67   | 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        |    596960 | PA      | $596130.02    | 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        |    386732 | PA      | $373154.89    | 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        |    907018 | PA      | $789839.64    | 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        |   3197146 | PA      | $3172807.33   | 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        |    561186 | PA      | $499502.31    | 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        |  22545660 | PA      | $22721664.92  | 0.14%             | 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        |    406721 | PA      | $383047.88    | 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        |    929827 | PA      | $903045.76    | 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        |   4652033 | PA      | $4062192.76   | 0.02%             | 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        |   3510665 | PA      | $3226090.78   | 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        |     54346 | PA      | $57398.58     | 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        |    310400 | PA      | $314635.29    | 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        |     86850 | PA      | $90045.69     | 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        |   4292517 | PA      | $4432355.93   | 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        |   1304113 | PA      | $1186340.49   | 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        |      2741 | PA      | $2755.28      | 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        |   1024946 | PA      | $984942.39    | 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        |   9474441 | PA      | $9670409.35   | 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        |   1451237 | PA      | $1355885.00   | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0604                      | CUSIP: 3140XFU66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4773875 | PA      | $3830218.79   | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9106                      | CUSIP: 36178WDK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    993060 | PA      | $906376.32    | 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        |    754271 | PA      | $699140.50    | 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        |     23411 | PA      | $24318.97     | 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        |   6678875 | PA      | $5991054.77   | 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        |    510982 | PA      | $469338.76    | 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        |    209413 | PA      | $204167.95    | 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        |   4899345 | PA      | $5081918.44   | 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        |   1971444 | PA      | $2040597.36   | 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        |   1300703 | PA      | $1269346.44   | 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        |   5556540 | PA      | $4824232.32   | 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        |    129351 | PA      | $128132.94    | 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        |     70419 | PA      | $69585.83     | 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        |   4797908 | PA      | $4409933.14   | 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        |    423040 | PA      | $398546.94    | 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        |   1040034 | PA      | $1004819.29   | 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        |    496192 | PA      | $457831.82    | 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        |    342587 | PA      | $341182.13    | 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        |   2477434 | PA      | $2401574.48   | 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        |   2719738 | PA      | $2776311.88   | 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        |    157701 | PA      | $157452.41    | 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        |     37742 | PA      | $38260.49     | 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        |    132583 | PA      | $143283.35    | 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        |    298880 | PA      | $289791.39    | 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        |    177613 | PA      | $184115.83    | 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        |   4257110 | PA      | $4477806.68   | 0.03%             | 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        |    266291 | PA      | $253872.21    | 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        |    171081 | PA      | $156070.96    | 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        |    539369 | PA      | $493040.75    | 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        |    165518 | PA      | $160490.17    | 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        |   2680725 | PA      | $2708228.05   | 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        |  22117759 | PA      | $18457497.51  | 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        |   4479742 | PA      | $3580227.96   | 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        |   7073494 | PA      | $5679691.19   | 0.03%             | 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        |   7868540 | PA      | $6586049.17   | 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        |   2568085 | PA      | $2082920.43   | 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        |    584113 | PA      | $539411.58    | 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        |     86250 | PA      | $89441.32     | 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        |    722341 | PA      | $733589.92    | 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        |    451876 | PA      | $426798.66    | 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        |   3071255 | PA      | $2963579.08   | 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        |     86042 | PA      | $84854.92     | 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        |   9418872 | PA      | $9646241.40   | 0.06%             | 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        |    134299 | PA      | $131799.48    | 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        |     70720 | PA      | $64961.37     | 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        |   2526998 | PA      | $2274835.01   | 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        |    374470 | PA      | $388887.81    | 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        |    607721 | PA      | $587343.19    | 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        |  46297807 | PA      | $37146077.83  | 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        |   6448003 | PA      | $6360128.11   | 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        |    333435 | PA      | $318913.51    | 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        |    293937 | PA      | $282439.22    | 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        |   2465830 | PA      | $2264123.07   | 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        |   2813336 | PA      | $2652340.01   | 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        |   2242908 | PA      | $1966235.57   | 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        |   3784868 | PA      | $3489456.40   | 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        |    210608 | PA      | $207502.09    | 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        |   7206895 | PA      | $6353926.30   | 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        |    200782 | PA      | $193973.91    | 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        |     22732 | PA      | $21914.85     | 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        |    120060 | PA      | $119997.99    | 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        |   5280251 | PA      | $4736467.43   | 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        |   4627706 | PA      | $4592476.39   | 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        |   2259965 | PA      | $2176148.52   | 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        |     55115 | PA      | $57137.63     | 0.00%             | 2036-05-01      | 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        |     12802 | PA      | $13645.17     | 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        |    111170 | PA      | $117254.68    | 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        |     60488 | PA      | $57031.51     | 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        |   1264297 | PA      | $1192661.12   | 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        |   1941106 | PA      | $1785579.77   | 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        |    121699 | PA      | $119362.59    | 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        |   4721140 | PA      | $4860188.17   | 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        |   1065935 | PA      | $998472.61    | 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        |   4824119 | PA      | $4433076.87   | 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        |   3181750 | PA      | $2552810.28   | 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        |  14951139 | PA      | $11995733.90  | 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        |   1547929 | PA      | $1464128.13   | 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        |    481637 | PA      | $479152.50    | 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        |    146553 | PA      | $139025.80    | 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        |   3861170 | PA      | $3218990.14   | 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        |   1477338 | PA      | $1246242.49   | 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        |   2158995 | PA      | $2024562.20   | 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        |    149758 | PA      | $146762.77    | 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        |     43575 | PA      | $43521.84     | 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        |     14382 | PA      | $14306.92     | 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        |   1815419 | PA      | $1611902.56   | 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        |   2121902 | PA      | $2126428.75   | 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        |    349148 | PA      | $295840.82    | 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        |   3949061 | PA      | $3461926.50   | 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        |   2192048 | PA      | $2076792.92   | 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        |    922770 | PA      | $746997.72    | 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        |    290726 | PA      | $264362.37    | 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        |   2426537 | PA      | $2168300.37   | 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        |    226547 | PA      | $194436.55    | 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        |   3233697 | PA      | $3293078.88   | 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        |   4353869 | PA      | $4467134.20   | 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        |   5062156 | PA      | $5119996.24   | 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        |   1369392 | PA      | $1237526.27   | 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        |   1516580 | PA      | $1447506.78   | 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        |     51557 | PA      | $52432.21     | 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        |     55772 | PA      | $54274.49     | 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        |   1256694 | PA      | $1124845.18   | 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        |    190615 | PA      | $181351.18    | 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        |  21989930 | PA      | $18740563.40  | 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        |   3217671 | PA      | $3385687.34   | 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        |     34273 | PA      | $28494.23     | 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        |    171434 | PA      | $164717.27    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8420                      | CUSIP: 3132DWK93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8500118 | PA      | $8568022.38   | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05923                      | CUSIP: 3128M74G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104368 | PA      | $108608.93    | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 9/25                    | CUSIP: 01F040693<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -3850000 | PA      | $-3593283.16  | -0.02%            | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932279                      | CUSIP: 31412QXG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65863 | PA      | $66874.51     | 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        |    554113 | PA      | $486972.88    | 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        |   2181773 | PA      | $2113835.25   | 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        |   1008840 | PA      | $1024513.80   | 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        |     61382 | PA      | $61193.18     | 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        |   5364164 | PA      | $5541922.23   | 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        |   3143628 | PA      | $3272153.47   | 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        |    151527 | PA      | $151656.69    | 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        |   2943768 | PA      | $2923197.45   | 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        |    295912 | PA      | $281648.31    | 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        |    386461 | PA      | $386423.39    | 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        |     87378 | PA      | $84184.40     | 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        |   1262575 | PA      | $1199152.09   | 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        |    366146 | PA      | $287434.47    | 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        |  14102855 | PA      | $12507486.38  | 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        |    691230 | PA      | $630936.83    | 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        |   3182792 | PA      | $2737844.07   | 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        |    143227 | PA      | $140661.19    | 0.00%             | 2029-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5038                      | CUSIP: 31418ES43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    687989 | PA      | $681461.34    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6702                      | CUSIP: 3132DUNT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7335919 | PA      | $7631488.11   | 0.05%             | 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        |    366578 | PA      | $369094.62    | 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        |   1163837 | PA      | $1026091.67   | 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        |   5177123 | PA      | $4650113.73   | 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        |    248446 | PA      | $241097.52    | 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        |   1396321 | PA      | $1285317.00   | 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        |   1511272 | PA      | $1507323.52   | 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        |    154531 | PA      | $152305.26    | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4100                      | CUSIP: 31418DRW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5062847 | PA      | $4065233.92   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0030                      | CUSIP: 31419AA80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24200 | PA      | $25132.04     | 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        |   7209932 | PA      | $6381388.68   | 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        |    697372 | PA      | $529280.79    | 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        |   1770218 | PA      | $1620784.72   | 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        |    312838 | PA      | $295267.34    | 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        |  25463382 | PA      | $20445926.84  | 0.12%             | 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        |  10595179 | PA      | $10696374.47  | 0.07%             | 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        |    485972 | PA      | $460573.97    | 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        |    214007 | PA      | $196236.46    | 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        |   1678712 | PA      | $1541323.60   | 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        |  11675120 | PA      | $11335947.61  | 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        |     13184 | PA      | $13709.45     | 0.00%             | 2042-03-01      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8880                      | CUSIP: 3140QU2N5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5585204 | PA      | $5920456.56   | 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        |     40963 | PA      | $40808.72     | 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        |    165446 | PA      | $155222.05    | 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        |    702827 | PA      | $685690.35    | 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        |   4124299 | PA      | $3879093.96   | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX3269                      | CUSIP: 3140N7T34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1813240 | PA      | $1751395.31   | 0.01%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3567                      | CUSIP: 3140J76D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    394395 | PA      | $377108.91    | 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        |   3921241 | PA      | $3701587.71   | 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        |     13700 | PA      | $12582.46     | 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        |   8047860 | PA      | $7214025.19   | 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        |   4891282 | PA      | $4876973.75   | 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        |   2144691 | PA      | $2004006.16   | 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        |   2564927 | PA      | $2077152.82   | 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        |   2668217 | PA      | $2771816.85   | 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        |  18664484 | PA      | $17036348.89  | 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        |   2734797 | PA      | $2855495.39   | 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        |   2984933 | PA      | $2847577.74   | 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        |   3861748 | PA      | $3226288.46   | 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        |    689445 | PA      | $667204.47    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4604                      | CUSIP: 3140XLDJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5373415 | PA      | $4913762.38   | 0.03%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3902                      | CUSIP: 31417AKQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52543 | PA      | $52079.78     | 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        |   5114230 | PA      | $5311203.54   | 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        |   5887530 | PA      | $6192106.18   | 0.04%             | 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        |   1078332 | PA      | $1041060.89   | 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        |    354953 | PA      | $346571.31    | 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        |     20765 | PA      | $20743.09     | 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        |      1303 | PA      | $1325.22      | 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        |   2238086 | PA      | $2193924.26   | 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        |   1262915 | PA      | $1210325.45   | 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        |    716747 | PA      | $667858.11    | 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        |    290937 | PA      | $284650.92    | 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        |   8365798 | PA      | $8302111.28   | 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        |    638176 | PA      | $581833.84    | 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        |   1790228 | PA      | $1700865.56   | 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        |     13087 | PA      | $13557.29     | 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        |    224887 | PA      | $219227.29    | 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        |   1898159 | PA      | $1610725.92   | 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        |   1161547 | PA      | $1171552.21   | 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        |   4438692 | PA      | $4500505.74   | 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        |   1901673 | PA      | $1604199.61   | 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        |     91378 | PA      | $91288.45     | 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        |    543548 | PA      | $547223.20    | 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        |     31851 | PA      | $32316.73     | 0.00%             | 2040-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8727                      | CUSIP: 36179XVU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4880510 | PA      | $5014630.53   | 0.03%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18578                      | CUSIP: 3128MMUC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294462 | PA      | $288574.75    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3797                      | CUSIP: 31418DGF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197250 | PA      | $188235.29    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5.5 9/25                  | CUSIP: 21H052694<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21250000 | PA      | $21406767.63  | 0.13%             | 2025-09-22      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1141                      | CUSIP: 31418AHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437030 | PA      | $423787.35    | 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        |   3058564 | PA      | $2832383.04   | 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        |   3761415 | PA      | $3047278.55   | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5696                      | CUSIP: 3138WFKJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3041797 | PA      | $2831014.13   | 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        |    187227 | PA      | $168238.07    | 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        |    169810 | PA      | $169274.60    | 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        |    274745 | PA      | $282763.59    | 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        |   1265221 | PA      | $1128322.07   | 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        |   6142708 | PA      | $6270483.50   | 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        |    158827 | PA      | $161519.00    | 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        |    893808 | PA      | $819330.73    | 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        |   7195649 | PA      | $7354320.63   | 0.04%             | 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        |   4960988 | PA      | $4416060.03   | 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        |    620726 | PA      | $604709.94    | 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        |   1377771 | PA      | $1336053.03   | 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        |    250970 | PA      | $241527.48    | 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        |    186791 | PA      | $171428.16    | 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        |    243626 | PA      | $237371.85    | 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        |    464424 | PA      | $452934.26    | 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        |  21639418 | PA      | $18234137.49  | 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        |    163735 | PA      | $143793.19    | 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        |    218616 | PA      | $199665.31    | 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        |    328901 | PA      | $324076.10    | 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        |   2618747 | PA      | $2284700.47   | 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        |     85229 | PA      | $83793.38     | 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        |    221357 | PA      | $224762.67    | 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        |       379 | PA      | $377.31       | 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        |   1570697 | PA      | $1446630.41   | 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        |     37629 | PA      | $36502.44     | 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        |  21786436 | PA      | $18563736.24  | 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        |   1139724 | PA      | $1069474.69   | 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        |   5058296 | PA      | $4518110.17   | 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        |     99343 | PA      | $95876.92     | 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        |   9034715 | PA      | $7581912.72   | 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        |     10887 | PA      | $10794.57     | 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        |    108835 | PA      | $110551.92    | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8243                      | CUSIP: 3132DWEQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18926551 | PA      | $17133606.21  | 0.10%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00836                      | CUSIP: 31292G4V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3728 | PA      | $3919.23      | 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        |   3369689 | PA      | $2740455.13   | 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        |     36243 | PA      | $34237.97     | 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        |    110411 | PA      | $108445.66    | 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        |    919769 | PA      | $829128.60    | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4686                      | CUSIP: 31417BF44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    394579 | PA      | $372944.14    | 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        |  23953320 | PA      | $19218445.43  | 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        |      1122 | PA      | $1195.74      | 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        |      1601 | PA      | $1595.46      | 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        |  18487368 | PA      | $14031256.37  | 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        |   5857292 | PA      | $4924578.42   | 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        |    366103 | PA      | $345553.67    | 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        |    452337 | PA      | $399931.43    | 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        |     33211 | PA      | $32360.12     | 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        |   4025166 | PA      | $3643855.05   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN0628                      | CUSIP: 3140JGVW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139418 | PA      | $140491.28    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5988                      | CUSIP: 36179UUM2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    206521 | PA      | $207809.96    | 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        |     98442 | PA      | $95425.69     | 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        |   2041336 | PA      | $1989548.50   | 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        |    200395 | PA      | $195044.99    | 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        |    126698 | PA      | $113167.34    | 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        |   3812879 | PA      | $3801725.09   | 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        |    630066 | PA      | $563959.42    | 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        |   1063833 | PA      | $1043506.78   | 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        |   1508525 | PA      | $1445236.70   | 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        |   1132491 | PA      | $1123197.09   | 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        |   5820003 | PA      | $4711389.32   | 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        |   1038892 | PA      | $962471.65    | 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        |    443979 | PA      | $359824.31    | 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        |   1617920 | PA      | $1530579.36   | 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        |     94063 | PA      | $91841.02     | 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        |    681168 | PA      | $635354.68    | 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        |    453579 | PA      | $420214.07    | 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        |     52031 | PA      | $49992.22     | 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        |  11315419 | PA      | $11430565.47  | 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        |   2637888 | PA      | $2319087.01   | 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        |   1469134 | PA      | $1474564.21   | 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        |   2882810 | PA      | $2414743.04   | 0.01%             | 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        |   8069162 | PA      | $7718021.80   | 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        |   2559337 | PA      | $2551850.50   | 0.02%             | 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        |  15277051 | PA      | $15617191.82  | 0.10%             | 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        |   8535525 | PA      | $8654391.76   | 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        |  12890331 | PA      | $13596655.40  | 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        |   2031856 | PA      | $1857449.35   | 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        |     13173 | PA      | $12817.61     | 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        |    173836 | PA      | $167782.29    | 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        |   6638501 | PA      | $6856839.85   | 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        |   5445555 | PA      | $5565097.29   | 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        |  26488166 | PA      | $21693122.10  | 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        |    799211 | PA      | $758937.32    | 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        |    334339 | PA      | $339566.61    | 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        |     45222 | PA      | $43828.58     | 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        |   3595101 | PA      | $3327636.51   | 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        |   7529058 | PA      | $7600968.52   | 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        |    890721 | PA      | $907578.90    | 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        |    235533 | PA      | $233744.21    | 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        |   4680078 | PA      | $4920435.09   | 0.03%             | 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        |    371982 | PA      | $332605.68    | 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        |    432678 | PA      | $421436.22    | 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        |  15210173 | PA      | $15619842.63  | 0.10%             | 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        |   2770073 | PA      | $2827693.44   | 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        |     86366 | PA      | $86324.34     | 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        |  23991745 | PA      | $23143466.80  | 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        |    458192 | PA      | $465707.92    | 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        |   7873622 | PA      | $7057839.90   | 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        |   4170190 | PA      | $3924176.26   | 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        |   7686038 | PA      | $6469321.28   | 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        |   1956360 | PA      | $1854417.81   | 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        |    447457 | PA      | $436136.01    | 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        |   1000472 | PA      | $919998.82    | 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        |  12685353 | PA      | $12613862.97  | 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        |     40042 | PA      | $42363.33     | 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        |   5646122 | PA      | $5722986.18   | 0.03%             | 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        |    433209 | PA      | $419835.27    | 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        |    509774 | PA      | $492488.64    | 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        |   1683299 | PA      | $1561842.48   | 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        |    156197 | PA      | $126248.71    | 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        |     34922 | PA      | $35372.39     | 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        |   5098676 | PA      | $4958235.30   | 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        |   1059772 | PA      | $1004050.20   | 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        |     64120 | PA      | $65991.17     | 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        |    746688 | PA      | $772413.07    | 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        |   7922954 | PA      | $7037201.80   | 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        |  19055226 | PA      | $18797023.59  | 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        |    106993 | PA      | $100125.66    | 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        |   2582898 | PA      | $2634203.80   | 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        |    204399 | PA      | $198326.22    | 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        |    704054 | PA      | $641318.39    | 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        |    509052 | PA      | $487854.80    | 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        |     10884 | PA      | $10852.93     | 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        |     87007 | PA      | $79580.23     | 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        |    565813 | PA      | $528814.03    | 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        |      3143 | PA      | $3056.85      | 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        |   1127984 | PA      | $1128130.02   | 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        |   1835404 | PA      | $1930948.22   | 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        |     41638 | PA      | $41663.40     | 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        |     90182 | PA      | $89826.40     | 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        |    300352 | PA      | $309211.89    | 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        |   2543552 | PA      | $2058252.94   | 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        |    314349 | PA      | $304364.87    | 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        |    715068 | PA      | $667583.45    | 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        |    197915 | PA      | $198761.23    | 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        |     48225 | PA      | $46801.35     | 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        |   2578461 | PA      | $2680186.91   | 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        |   1140177 | PA      | $1056305.84   | 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        |  21178146 | PA      | $17607199.34  | 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        |    141812 | PA      | $139768.68    | 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        |   3419607 | PA      | $3191986.72   | 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        |   4973858 | PA      | $4403831.77   | 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        |   9757791 | PA      | $10023655.78  | 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        |    208390 | PA      | $207553.61    | 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        |    804406 | PA      | $796344.83    | 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        |      1638 | PA      | $1684.63      | 0.00%             | 2037-10-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA6555                      | CUSIP: 31329QH87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154795 | PA      | $155841.92    | 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        |    131041 | PA      | $128896.29    | 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        |   3365286 | PA      | $3465453.52   | 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        |    248906 | PA      | $230363.19    | 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        |   1925576 | PA      | $1842148.26   | 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        |    910806 | PA      | $886928.19    | 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        |  32322990 | PA      | $31885007.05  | 0.19%             | 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        |      2912 | PA      | $2957.49      | 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        |   2698901 | PA      | $2459926.02   | 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        |   1528541 | PA      | $1442862.33   | 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        |     41172 | PA      | $38820.16     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4688                      | CUSIP: 3138WEF61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9025 | PA      | $8781.12      | 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        |     24401 | PA      | $22490.29     | 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        |  26695332 | PA      | $22260844.72  | 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        |   5411498 | PA      | $4834741.70   | 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        |    315825 | PA      | $310881.97    | 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        |   1234851 | PA      | $1262691.61   | 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        |    264504 | PA      | $221156.45    | 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        |     13834 | PA      | $13772.70     | 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        |  10645014 | PA      | $10826523.05  | 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        |  10018931 | PA      | $8504923.50   | 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        |   1123341 | PA      | $1089765.84   | 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        |     67424 | PA      | $67447.53     | 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        |     45583 | PA      | $44367.04     | 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        |    199726 | PA      | $197241.56    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ4794                      | CUSIP: 3138YWKG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450218 | PA      | $441081.18    | 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        |   7774748 | PA      | $8070141.32   | 0.05%             | 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        |    433142 | PA      | $397921.63    | 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        |     26615 | PA      | $26461.48     | 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        |   1361585 | PA      | $1334717.94   | 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        |   3877630 | PA      | $4026470.92   | 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        |   2433800 | PA      | $2055532.95   | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18363                      | CUSIP: 3128MMMM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       351 | PA      | $350.05       | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698396                      | CUSIP: 36296Q3D9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     30695 | PA      | $30601.03     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8384                      | CUSIP: 3132DWJ53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27458772 | PA      | $28121621.74  | 0.17%             | 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        |   2050022 | PA      | $2158660.61   | 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        |   1760000 | PA      | $1817473.50   | 0.01%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0368                      | CUSIP: 3618N5MS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11304341 | PA      | $11643619.32  | 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        |    774018 | PA      | $754002.43    | 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        |    410922 | PA      | $400052.10    | 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        |    646539 | PA      | $626975.06    | 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        |      2196 | PA      | $2284.56      | 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        |   7133070 | PA      | $7021297.35   | 0.04%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3165                      | CUSIP: 3132DQQS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5433619 | PA      | $5392254.34   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3755                      | CUSIP: 3140X7E54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2444638 | PA      | $2253832.04   | 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        |   1647914 | PA      | $1564873.31   | 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        |   4256177 | PA      | $4487731.34   | 0.03%             | 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        |     12536 | PA      | $12227.41     | 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        |    214458 | PA      | $207316.66    | 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        |    100564 | PA      | $97255.32     | 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        |   7991486 | PA      | $8075305.53   | 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        |     62655 | PA      | $62574.86     | 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        |       780 | PA      | $810.89       | 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        |     12364 | PA      | $12635.63     | 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        |   5931112 | PA      | $5899540.30   | 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        |   1011198 | PA      | $936814.85    | 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        |   8612528 | PA      | $8939751.21   | 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        |    147745 | PA      | $147819.68    | 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        |    799854 | PA      | $738967.57    | 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        |    351296 | PA      | $349422.41    | 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        |   6323630 | PA      | $5726064.23   | 0.03%             | 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        |    142821 | PA      | $135202.64    | 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        |    168250 | PA      | $168077.99    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8098                      | CUSIP: 36179W7K8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17967163 | PA      | $15923419.45  | 0.10%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07801                      | CUSIP: 3128MAAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284721 | PA      | $274798.87    | 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        |     22429 | PA      | $21749.83     | 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        |    125457 | PA      | $125463.65    | 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        |     21670 | PA      | $18852.14     | 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        |   1171740 | PA      | $1084376.23   | 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        |   1157218 | PA      | $1102341.74   | 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        |   5158128 | PA      | $3913223.93   | 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        |    649671 | PA      | $639167.54    | 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        |    254561 | PA      | $243165.65    | 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        |   5462381 | PA      | $5666503.81   | 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        |    771088 | PA      | $752185.82    | 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        |   1631258 | PA      | $1509733.24   | 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        |    481906 | PA      | $509216.19    | 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        |    295003 | PA      | $298776.28    | 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        |   5291507 | PA      | $4850174.44   | 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        |  43632206 | PA      | $34966483.60  | 0.21%             | 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        |    648750 | PA      | $582952.44    | 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        |     61623 | PA      | $56488.33     | 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        |    125908 | PA      | $123746.21    | 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        |   2610727 | PA      | $2602274.48   | 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        |    139873 | PA      | $129452.82    | 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        |  12518516 | PA      | $11852483.37  | 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        |  10778110 | PA      | $9098857.00   | 0.06%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6.5 9/25                  | CUSIP: 01F062697<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -6320000 | PA      | $-6548852.89  | -0.04%            | 2025-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03646                      | CUSIP: 3128M5L32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164627 | PA      | $174245.90    | 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        |    712893 | PA      | $697712.74    | 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        |     43607 | PA      | $43198.70     | 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        |    365170 | PA      | $347111.20    | 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        |    586481 | PA      | $599729.37    | 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        |   1514779 | PA      | $1404298.51   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5482                      | CUSIP: 3140X9CU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2969604 | PA      | $2253823.71   | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2195                      | CUSIP: 3140X5NM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    631491 | PA      | $612946.88    | 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        |   3154483 | PA      | $3145255.44   | 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        |   4452727 | PA      | $4606639.21   | 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        |   3546057 | PA      | $3661305.12   | 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        |     16896 | PA      | $17584.27     | 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        |  10350809 | PA      | $10744076.57  | 0.07%             | 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        |   2195725 | PA      | $2104191.04   | 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        |   6276731 | PA      | $5104655.71   | 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        |   2068755 | PA      | $2110494.02   | 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        |    275968 | PA      | $275017.79    | 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        |   3402554 | PA      | $3238422.91   | 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        |      2614 | PA      | $2712.62      | 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        |      8688 | PA      | $8653.64      | 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        |    155593 | PA      | $155500.19    | 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        |    131080 | PA      | $128206.92    | 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        |     91682 | PA      | $89800.53     | 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        |   5206321 | PA      | $5256047.14   | 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        |   5738283 | PA      | $5053751.45   | 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        |   2391701 | PA      | $2260725.49   | 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        |   6589990 | PA      | $5530304.90   | 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        |     57723 | PA      | $58703.96     | 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        |    185689 | PA      | $182755.39    | 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        |   2194571 | PA      | $1847165.28   | 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        |    121498 | PA      | $102804.56    | 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        |      5121 | PA      | $5200.52      | 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        |   6651697 | PA      | $5351400.74   | 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        |    182615 | PA      | $172920.37    | 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        |   1933356 | PA      | $1566896.30   | 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        |  21375127 | PA      | $20142746.27  | 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        |   4959814 | PA      | $5199404.85   | 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        |   3870178 | PA      | $3840715.56   | 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        |   3739583 | PA      | $3822044.42   | 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        |   1266441 | PA      | $1137918.20   | 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        |    442000 | PA      | $433831.65    | 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        |    166957 | PA      | $158026.83    | 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        |     28143 | PA      | $28155.16     | 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        |    458649 | PA      | $437696.18    | 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        |   3984079 | PA      | $3680427.24   | 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        |    867631 | PA      | $866983.29    | 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        |  17335736 | PA      | $15832986.07  | 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        |      7904 | PA      | $7780.28      | 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        |   1447494 | PA      | $1419465.12   | 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        |     43062 | PA      | $41507.59     | 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        |      1775 | PA      | $1792.99      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4354                      | CUSIP: 31418DZU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73324 | PA      | $55650.57     | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B8002                      | CUSIP: 3128UGH67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       404 | PA      | $419.40       | 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        |    666669 | PA      | $631616.13    | 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        |    722412 | PA      | $712659.85    | 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        |   1040725 | PA      | $928608.01    | 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        |    199877 | PA      | $187431.21    | 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        |   2871229 | PA      | $2649819.13   | 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        |    347615 | PA      | $335295.86    | 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        |   4484917 | PA      | $4023040.00   | 0.02%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1598                      | CUSIP: 3140XGX46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6565125 | PA      | $5236617.05   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3862                      | CUSIP: 3132E0JF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3601648 | PA      | $3664185.71   | 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        |   1538341 | PA      | $1350982.97   | 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        |      1907 | PA      | $1987.81      | 0.00%             | 2037-04-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03815                      | CUSIP: 31292LGY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169917 | PA      | $160835.00    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08052                      | CUSIP: 3128MJBW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     66612 | PA      | $69036.73     | 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        |   6927845 | PA      | $6042522.24   | 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        |   3170696 | PA      | $3238632.09   | 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        |   2023769 | PA      | $1826061.76   | 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        |    642718 | PA      | $632011.24    | 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        |      2453 | PA      | $2443.97      | 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        |  19690580 | PA      | $16450451.82  | 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        |   9477669 | PA      | $8878644.56   | 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        |   3064883 | PA      | $3155912.03   | 0.02%             | 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        |   9706756 | PA      | $9806799.73   | 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        |    149974 | PA      | $146717.51    | 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        |   1673354 | PA      | $1576488.25   | 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        |   4911989 | PA      | $4725267.95   | 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        |   4783126 | PA      | $4744546.36   | 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        |   9701007 | PA      | $9988374.13   | 0.06%             | 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        |    182687 | PA      | $185182.50    | 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        |   1083509 | PA      | $1032634.50   | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6619                      | CUSIP: 3138EPK94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1774221 | PA      | $1759726.64   | 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        |   4834118 | PA      | $4663197.53   | 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        |     95972 | PA      | $97550.28     | 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        |    104323 | PA      | $107433.93    | 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        |   1179364 | PA      | $1122513.70   | 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        |   2913064 | PA      | $3070636.52   | 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        |   3337783 | PA      | $2926052.09   | 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        |      2384 | PA      | $2419.40      | 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        |    232510 | PA      | $223432.50    | 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        |    584863 | PA      | $488073.88    | 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        |  15069161 | PA      | $14510127.94  | 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        |   5343994 | PA      | $5451814.63   | 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        |    445281 | PA      | $431350.66    | 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        |  26240319 | PA      | $26449941.97  | 0.16%             | 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        |    195430 | PA      | $183539.01    | 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        |    531182 | PA      | $506161.18    | 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        |     12058 | PA      | $12258.98     | 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        |   2135114 | PA      | $1730411.51   | 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        |    522515 | PA      | $472786.12    | 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        |    123442 | PA      | $118925.49    | 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        |   1626652 | PA      | $1488682.07   | 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        |   1885345 | PA      | $1660438.73   | 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        |    169739 | PA      | $169545.22    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2.5 9/25                  | CUSIP: 21H022697<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -2000000 | PA      | $-1703597.60  | -0.01%            | 2025-09-22      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4802                        | CUSIP: 36202FKP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    144786 | PA      | $147213.62    | 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        |   2576682 | PA      | $2072983.56   | 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        |   6070352 | PA      | $4889389.51   | 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        |    208445 | PA      | $216343.08    | 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        |   7835150 | PA      | $7386460.13   | 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        |    342201 | PA      | $347049.18    | 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        |   6776332 | PA      | $7068026.13   | 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        |     28583 | PA      | $28611.71     | 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        |  12462488 | PA      | $11518488.29  | 0.07%             | 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        |       265 | PA      | $264.32       | 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        |      4090 | PA      | $4266.37      | 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        |   2466107 | PA      | $2471368.08   | 0.02%             | 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        |    480277 | PA      | $439090.69    | 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        |   1226679 | PA      | $1138169.32   | 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        |   1181989 | PA      | $1151467.22   | 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        |    135061 | PA      | $135118.36    | 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        |    481582 | PA      | $472205.13    | 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        |   5614816 | PA      | $4950277.56   | 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        |   2714439 | PA      | $2507664.00   | 0.02%             | 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        |   2090462 | PA      | $2083040.14   | 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        |    551192 | PA      | $550649.66    | 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        |    143789 | PA      | $145881.37    | 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        |    465384 | PA      | $453276.99    | 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        |  37846302 | PA      | $30329708.87  | 0.18%             | 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        |   6517579 | PA      | $6269824.70   | 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        |    504343 | PA      | $482492.21    | 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        |   2816476 | PA      | $2679397.15   | 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        |   5908479 | PA      | $5835803.77   | 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        |   4810906 | PA      | $4172356.78   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2 9/25                    | CUSIP: 21H020691<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2010000 | PA      | $1645427.81   | 0.01%             | 2025-09-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785192                      | CUSIP: 3622AAUR3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     96544 | PA      | $90487.84     | 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        |    551034 | PA      | $540161.28    | 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        |    143726 | PA      | $141445.29    | 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        |   1668073 | PA      | $1551522.79   | 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        |    142838 | PA      | $131482.68    | 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        |     32186 | PA      | $32644.24     | 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        |   1206202 | PA      | $1114835.24   | 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        |   1012750 | PA      | $974079.48    | 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        |    600096 | PA      | $570210.83    | 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        |    311693 | PA      | $305485.13    | 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        |    183464 | PA      | $178452.60    | 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        |   1698673 | PA      | $1694235.27   | 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        |   3501462 | PA      | $3463008.15   | 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        |  10037959 | PA      | $10533835.46  | 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        |    444055 | PA      | $451468.82    | 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        |  12130724 | PA      | $10543946.84  | 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        |   3841517 | PA      | $3536725.54   | 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        |   1901680 | PA      | $1810606.23   | 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        |     18862 | PA      | $19135.17     | 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        |   3027453 | PA      | $2764544.49   | 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        |   1379343 | PA      | $1312852.96   | 0.01%             | 2047-04-01      | 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        |  31791657 | PA      | $32042324.77  | 0.20%             | 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        |   8352389 | PA      | $7408186.98   | 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        |   2442791 | PA      | $2449386.25   | 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        |    569590 | PA      | $556213.45    | 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        |   6221017 | PA      | $5670570.48   | 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        |    189877 | PA      | $175838.89    | 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        |    773544 | PA      | $770497.77    | 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        |   4926863 | PA      | $4605853.61   | 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        |  24558973 | PA      | $20109324.43  | 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        |  15438948 | PA      | $14048755.26  | 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        |     15258 | PA      | $14911.50     | 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        |    128011 | PA      | $131787.69    | 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        |     32477 | PA      | $32139.64     | 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        |  19010462 | PA      | $17826750.55  | 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        |  18514607 | PA      | $17361771.18  | 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        |     10443 | PA      | $10773.76     | 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        |   1503737 | PA      | $1447162.58   | 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        |   1891952 | PA      | $1911362.61   | 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        |    313116 | PA      | $295847.81    | 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        |  21637837 | PA      | $22103986.96  | 0.13%             | 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        |  11429055 | PA      | $11679948.58  | 0.07%             | 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        |    149121 | PA      | $146519.31    | 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        |    860710 | PA      | $794169.06    | 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        |   7303731 | PA      | $6523751.15   | 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        |    966137 | PA      | $908682.17    | 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        |   2261752 | PA      | $2365885.15   | 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        |     53864 | PA      | $54617.07     | 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        |   1175280 | PA      | $1170453.34   | 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        |   1876931 | PA      | $1860883.12   | 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        |   2337677 | PA      | $2384841.71   | 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        |   3628556 | PA      | $3688620.87   | 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        |    852782 | PA      | $852313.67    | 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        |   1242892 | PA      | $1205541.04   | 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        |  20816388 | PA      | $15798899.87  | 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        |    753198 | PA      | $697040.07    | 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        |     10818 | PA      | $10983.20     | 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        |    180999 | PA      | $180857.23    | 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        |   1710489 | PA      | $1790823.91   | 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        |   2859105 | PA      | $2553775.58   | 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        |    172676 | PA      | $173614.09    | 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        |   5458721 | PA      | $5622804.63   | 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        |    364337 | PA      | $344157.39    | 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        |    274069 | PA      | $265494.67    | 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        |   1741136 | PA      | $1465510.57   | 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        |    358750 | PA      | $343587.16    | 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        |   6309563 | PA      | $5494097.69   | 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        |     77357 | PA      | $76638.16     | 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        |   4544981 | PA      | $4771633.74   | 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        |   3504542 | PA      | $3565393.48   | 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        |    353081 | PA      | $322099.23    | 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        |    125895 | PA      | $133153.97    | 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        |    249552 | PA      | $227967.14    | 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        |     88835 | PA      | $89020.58     | 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        |   2877076 | PA      | $2826760.05   | 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        |    732839 | PA      | $717788.80    | 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        |   1034016 | PA      | $991687.25    | 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        |   1318760 | PA      | $1340903.31   | 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        |   6598407 | PA      | $6381602.70   | 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        |   2485916 | PA      | $2351335.15   | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0424                      | CUSIP: 3140W0PJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22162526 | PA      | $18515633.87  | 0.11%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE7758                      | CUSIP: 31419JTQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33596 | PA      | $33471.19     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5978                      | CUSIP: 3140X9UC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2415468 | PA      | $1964419.15   | 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        |  14091241 | PA      | $14427975.22  | 0.09%             | 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        |   3771179 | PA      | $3924771.87   | 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        |   7658308 | PA      | $7776924.53   | 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        |    157448 | PA      | $157324.71    | 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        |  16485732 | PA      | $13839941.99  | 0.08%             | 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        |   1234348 | PA      | $1184490.78   | 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        |  48795204 | PA      | $48302924.31  | 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        |      5141 | PA      | $5202.07      | 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        |   9170305 | PA      | $8420166.76   | 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        |     24307 | PA      | $23984.30     | 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        |    175449 | PA      | $170408.29    | 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        |   4281031 | PA      | $4258242.87   | 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        |   4454259 | PA      | $4656552.69   | 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        |    254542 | PA      | $254803.35    | 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        |   3875728 | PA      | $3576096.39   | 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        |   1378873 | PA      | $1333433.92   | 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        |     66346 | PA      | $67448.06     | 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        |    604499 | PA      | $626066.57    | 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        |     46885 | PA      | $47477.12     | 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        |   1659835 | PA      | $1630103.93   | 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        |    608432 | PA      | $627102.72    | 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        |   1299139 | PA      | $1137666.37   | 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        |    613004 | PA      | $577077.52    | 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        |   4998685 | PA      | $4208944.18   | 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        |   4537389 | PA      | $4743458.06   | 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        |    139685 | PA      | $134658.45    | 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        |   9723598 | PA      | $10009980.42  | 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        |   1129995 | PA      | $1056143.06   | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555956                      | CUSIP: 31385XTM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    147664 | PA      | $152245.54    | 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        |   2190141 | PA      | $1719320.33   | 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        |   8254182 | PA      | $7586721.29   | 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        |    179885 | PA      | $179926.50    | 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        |   9659264 | PA      | $8157348.10   | 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        |   1036888 | PA      | $1053271.59   | 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        |    563390 | PA      | $594921.62    | 0.00%             | 2053-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0734                      | CUSIP: 3140XFY88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1767278 | PA      | $1425118.04   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4580                      | CUSIP: 31418ECS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3196207 | PA      | $2894423.50   | 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        |    175788 | PA      | $182635.75    | 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        |   4339807 | PA      | $4313550.02   | 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        |   6324745 | PA      | $6602105.12   | 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        |    380649 | PA      | $359445.74    | 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        |   5030282 | PA      | $5290981.93   | 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        |    381224 | PA      | $372358.48    | 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        |   6291247 | PA      | $6476067.11   | 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        |   4690416 | PA      | $3918597.82   | 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        |  15915496 | PA      | $12863963.68  | 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        |   1242197 | PA      | $1210997.64   | 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        |   4470378 | PA      | $4332127.80   | 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        |   2298011 | PA      | $2147741.08   | 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        |    129782 | PA      | $131980.82    | 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        |   4031307 | PA      | $3425896.98   | 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        |   5200510 | PA      | $4414636.37   | 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        |      2246 | PA      | $2367.29      | 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        |   9911754 | PA      | $7955586.44   | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA1164                      | CUSIP: 3140W1JJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8809258 | PA      | $8689890.65   | 0.05%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40269                      | CUSIP: 3132FCJN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19676158 | PA      | $18008692.01  | 0.11%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 4.5 9/25                  | CUSIP: 01F042491<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4870000 | PA      | $4859537.29   | 0.03%             | 2025-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67706                      | CUSIP: 3132XCR31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    198754 | PA      | $184245.99    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2148                      | CUSIP: 3140QML69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15135093 | PA      | $12133866.39  | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4279                      | CUSIP: 31418DXH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3688631 | PA      | $3397272.06   | 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        |   2149213 | PA      | $1739823.84   | 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        |       583 | PA      | $581.17       | 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        |   3522001 | PA      | $2923319.44   | 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        |   1341423 | PA      | $1239184.17   | 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        |    722428 | PA      | $674624.28    | 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        |   3783177 | PA      | $3510206.12   | 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        |     76797 | PA      | $76452.56     | 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        |   5893448 | PA      | $5411358.95   | 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        |    119337 | PA      | $100789.39    | 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        |    687957 | PA      | $651785.23    | 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        |   1223160 | PA      | $1145087.41   | 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        |      1378 | PA      | $1429.14      | 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        |   2352590 | PA      | $2385352.75   | 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        |    332872 | PA      | $309102.68    | 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        |   1271495 | PA      | $1230282.75   | 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        |   9425971 | PA      | $9483597.84   | 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        |    104576 | PA      | $106345.73    | 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        |   4265086 | PA      | $4191589.63   | 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        |   2111969 | PA      | $2199635.42   | 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        |  13325550 | PA      | $13633447.88  | 0.08%             | 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        |   5977864 | PA      | $6317562.88   | 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        |    214048 | PA      | $195304.04    | 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        |   8254080 | PA      | $7625318.64   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8156                      | CUSIP: 3132DWBZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12752133 | PA      | $10665696.97  | 0.06%             | 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        |    136561 | PA      | $134065.41    | 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        |  17420443 | PA      | $17575939.28  | 0.11%             | 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        |   1345014 | PA      | $1258149.08   | 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        |    543464 | PA      | $514977.42    | 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        |  30602156 | PA      | $26080194.81  | 0.16%             | 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        |   4723780 | PA      | $4774802.24   | 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        |    583298 | PA      | $562809.61    | 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        |   7828495 | PA      | $7881247.93   | 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        |   9034549 | PA      | $7547893.99   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5270                      | CUSIP: 31418E2C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1153500 | PA      | $1139672.50   | 0.01%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8210                      | CUSIP: 3140XCDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15746349 | PA      | $13907301.47  | 0.08%             | 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        |   6021446 | PA      | $6236896.03   | 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        |   6275557 | PA      | $6604200.78   | 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        |   4950519 | PA      | $4180764.51   | 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        |   2125978 | PA      | $1794081.64   | 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        |     98507 | PA      | $99820.53     | 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        |    160115 | PA      | $150395.95    | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08502                      | CUSIP: 3128MJRY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    236317 | PA      | $216965.66    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5066                      | CUSIP: 31417BTY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92823 | PA      | $91822.98     | 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        |   2479922 | PA      | $2363480.50   | 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        |    278213 | PA      | $256095.65    | 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        |     39090 | PA      | $38066.36     | 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        |    204700 | PA      | $192842.45    | 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        |     11671 | PA      | $12145.16     | 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        |   2132546 | PA      | $1912927.14   | 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        |  10853218 | PA      | $8643411.48   | 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        |    147600 | PA      | $150054.70    | 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        |   7193505 | PA      | $7462318.68   | 0.05%             | 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        |   8554613 | PA      | $7088120.29   | 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        |   1146054 | PA      | $1146325.90   | 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        |   1994164 | PA      | $1951075.89   | 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        |   7538391 | PA      | $7866617.88   | 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        |    154609 | PA      | $150683.37    | 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        |    877819 | PA      | $827549.12    | 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        |     19620 | PA      | $19552.51     | 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        |   3792413 | PA      | $3296751.06   | 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        |     64569 | PA      | $66744.59     | 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        |    521856 | PA      | $483468.78    | 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        |    280246 | PA      | $274891.35    | 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        |    528843 | PA      | $513438.67    | 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        |    188976 | PA      | $183231.08    | 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        |   3136311 | PA      | $2751393.08   | 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        |  10477197 | PA      | $8884116.27   | 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        |   8436405 | PA      | $7193745.66   | 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        |       273 | PA      | $272.40       | 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        |   3120256 | PA      | $3064365.84   | 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        |   1320182 | PA      | $1220040.59   | 0.01%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM3821                      | CUSIP: 3131XXG62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301157 | PA      | $288334.42    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0193                      | CUSIP: 3140XFGB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    713636 | PA      | $602227.21    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1381                      | CUSIP: 31427NRB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8256540 | PA      | $8564302.98   | 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        |    412515 | PA      | $401959.89    | 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        |   7087097 | PA      | $6654695.96   | 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        |   3529140 | PA      | $3152256.27   | 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        |    248592 | PA      | $207871.29    | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4153                      | CUSIP: 31418DTK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1385724 | PA      | $1245387.18   | 0.01%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4842                      | CUSIP: 31418ELY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7509646 | PA      | $7602492.16   | 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        |      6502 | PA      | $6471.21      | 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        |    903682 | PA      | $881049.85    | 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        |   1073601 | PA      | $1024197.97   | 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        |     12527 | PA      | $12719.58     | 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        |     64763 | PA      | $65640.70     | 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        |    265771 | PA      | $251910.09    | 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        |  10243397 | PA      | $10522492.89  | 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        |   2654844 | PA      | $2440472.70   | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7507                      | CUSIP: 3140XBKV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2312826 | PA      | $1960433.38   | 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        |  11470176 | PA      | $9955777.86   | 0.06%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3089                      | CUSIP: 31418CNF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1886417 | PA      | $1815445.55   | 0.01%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8494                      | CUSIP: 3132DWNK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8911722 | PA      | $8966204.72   | 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        |   3227452 | PA      | $2987649.86   | 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        |    256119 | PA      | $249666.17    | 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        |      8350 | PA      | $8339.40      | 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        |  12498391 | PA      | $12396709.57  | 0.08%             | 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        |     27386 | PA      | $27223.29     | 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        |   6049485 | PA      | $5312705.97   | 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        |    180328 | PA      | $174319.26    | 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        |     24382 | PA      | $23643.75     | 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        |    483857 | PA      | $466427.46    | 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        |    335894 | PA      | $308246.68    | 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        |    502837 | PA      | $517853.08    | 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        |    986060 | PA      | $914141.77    | 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        |    599523 | PA      | $622973.86    | 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        |  15075718 | PA      | $12656220.32  | 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        |    966619 | PA      | $889775.16    | 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        |     85484 | PA      | $86776.64     | 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        |    379856 | PA      | $306669.15    | 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        |   4041154 | PA      | $3552762.19   | 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        |   3227336 | PA      | $2683159.76   | 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        |   1804627 | PA      | $1811754.66   | 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        |    260972 | PA      | $251624.27    | 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        |   7694367 | PA      | $7866251.83   | 0.05%             | 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        |    294093 | PA      | $269010.94    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1908                      | CUSIP: 3140J6DN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    461989 | PA      | $447518.11    | 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        |  14186147 | PA      | $14051552.99  | 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        |   2330842 | PA      | $2401675.50   | 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        |   2383534 | PA      | $2466397.23   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8251                      | CUSIP: 3140QGEZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5597100 | PA      | $4651597.61   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782696                      | CUSIP: 36241K7H5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    129862 | PA      | $131889.41    | 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        |    924652 | PA      | $874114.16    | 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        |    537996 | PA      | $520745.62    | 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        |   6195086 | PA      | $6448369.25   | 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        |   8712789 | PA      | $8831401.91   | 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        |     46733 | PA      | $46673.80     | 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        |    126490 | PA      | $125295.33    | 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        |   6596197 | PA      | $5819630.01   | 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        |   5479561 | PA      | $4930662.44   | 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        |    167309 | PA      | $164321.81    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3501                      | CUSIP: 31418C3K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    626553 | PA      | $631377.34    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18465                      | CUSIP: 3128MMQT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    504563 | PA      | $495171.87    | 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        |  14577937 | PA      | $12670348.74  | 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        |    413223 | PA      | $419684.19    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3472                      | CUSIP: 31418C2E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1483196 | PA      | $1494615.84   | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8123                      | CUSIP: 3132D6AY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3886370 | PA      | $3568462.22   | 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        |   8182677 | PA      | $8364862.50   | 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        |      5510 | PA      | $5729.95      | 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        |    202863 | PA      | $202148.21    | 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        |   4865935 | PA      | $5135984.54   | 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        |   1741056 | PA      | $1696830.53   | 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        |    594669 | PA      | $581819.70    | 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        |  12926029 | PA      | $12575762.33  | 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        |    558823 | PA      | $490413.38    | 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        |   4653645 | PA      | $4156672.55   | 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        |     22910 | PA      | $23236.35     | 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        |    490800 | PA      | $488247.75    | 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        |    260313 | PA      | $231781.45    | 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        |   8841197 | PA      | $9123125.78   | 0.06%             | 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        |    171940 | PA      | $171190.98    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4891                      | CUSIP: 3140QQNH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2676900 | PA      | $2586434.77   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7244                      | CUSIP: 3138WHBN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180724 | PA      | $167430.13    | 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        |   6137405 | PA      | $6384762.34   | 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        |     48153 | PA      | $47994.97     | 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        |    850525 | PA      | $808463.33    | 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        |   3781214 | PA      | $3397483.88   | 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        |    155141 | PA      | $160405.87    | 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        |   7020447 | PA      | $7067754.97   | 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        |   1273309 | PA      | $1254682.19   | 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        |     13625 | PA      | $12719.23     | 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        |    176265 | PA      | $175081.95    | 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        |   2052302 | PA      | $2107615.86   | 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        |    271977 | PA      | $247692.08    | 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        |   2944446 | PA      | $2905468.45   | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4123                      | CUSIP: 3140QPSM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15701229 | PA      | $14679411.82  | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4703                      | CUSIP: 3140J9GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    842703 | PA      | $775710.61    | 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        |   8070476 | PA      | $7448134.87   | 0.05%             | 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        |    354135 | PA      | $328306.48    | 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        |    833684 | PA      | $772358.39    | 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        |   8691403 | PA      | $7345411.57   | 0.04%             | 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        |   2108183 | PA      | $1938611.51   | 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        |    587899 | PA      | $558825.18    | 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        |    648898 | PA      | $546176.06    | 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        |   4313774 | PA      | $4055290.79   | 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        |    208324 | PA      | $210988.95    | 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        |     82398 | PA      | $80607.25     | 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        |   3578753 | PA      | $3320532.28   | 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        |   1046344 | PA      | $991005.18    | 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        |   4804371 | PA      | $4445705.82   | 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        |    185851 | PA      | $185719.13    | 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        |  56983316 | PA      | $45630336.44  | 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        |    155416 | PA      | $151405.99    | 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        |     47124 | PA      | $47044.92     | 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        |   1141833 | PA      | $1057840.17   | 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        |    161702 | PA      | $157439.58    | 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        |   3316718 | PA      | $3112284.23   | 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        |  40996069 | PA      | $33581121.97  | 0.20%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4035                      | CUSIP: 3140XKPV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2031609 | PA      | $2019316.90   | 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        |     25610 | PA      | $25322.44     | 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        |   1082114 | PA      | $875989.36    | 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        |  10141906 | PA      | $10393860.65  | 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        |    155433 | PA      | $148912.05    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 5 9/25                    | CUSIP: 01F050494<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7250000 | PA      | $7325049.10   | 0.04%             | 2025-09-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5584                      | CUSIP: 31418FF28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3309088 | PA      | $3183298.73   | 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        |   2065135 | PA      | $1974949.95   | 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        |     10324 | PA      | $10016.18     | 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        |    167636 | PA      | $174466.71    | 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        |  39431563 | PA      | $31513866.77  | 0.19%             | 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        |  11903942 | PA      | $10045561.54  | 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        |   3512702 | PA      | $3655951.17   | 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        |     78002 | PA      | $76487.62     | 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        |   1172229 | PA      | $1098988.38   | 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        |    168625 | PA      | $162075.63    | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3938                      | CUSIP: 36179SLT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    312664 | PA      | $298814.32    | 0.00%             | 2046-09-20      | 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        |    151401 | PA      | $156360.51    | 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        |    319380 | PA      | $291794.63    | 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        |    588904 | PA      | $576800.11    | 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        |  11997100 | PA      | $11775368.89  | 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        |   1875700 | PA      | $1730690.05   | 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        |    391418 | PA      | $365314.64    | 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        |   2991389 | PA      | $3083231.75   | 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        |   1130243 | PA      | $955208.44    | 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        |   1081230 | PA      | $952923.62    | 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        |    216848 | PA      | $214466.08    | 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        |   6249687 | PA      | $6487136.50   | 0.04%             | 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        |    177584 | PA      | $180168.10    | 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        |    971882 | PA      | $926248.64    | 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        |    451322 | PA      | $413807.78    | 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        |   4015667 | PA      | $4168865.09   | 0.03%             | 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        |   1273756 | PA      | $1068535.45   | 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        |   4802534 | PA      | $5002885.63   | 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        |   4576386 | PA      | $4500642.55   | 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        |   1599228 | PA      | $1477492.78   | 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        |   1622319 | PA      | $1312787.50   | 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        |     12119 | PA      | $12073.12     | 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        |     16907 | PA      | $16429.73     | 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        |    239285 | PA      | $235504.74    | 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        |   1311288 | PA      | $1285394.74   | 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        |   2484576 | PA      | $2545484.92   | 0.02%             | 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        |    123604 | PA      | $121580.66    | 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        |   4072744 | PA      | $3938925.24   | 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        |   5825314 | PA      | $5411367.90   | 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        |   4564449 | PA      | $4533020.28   | 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        |      8832 | PA      | $8691.52      | 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        |      1417 | PA      | $1418.16      | 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        |   1998186 | PA      | $1926027.72   | 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        |   6097142 | PA      | $6035483.62   | 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        |  21384923 | PA      | $16230397.53  | 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        |   5979655 | PA      | $6225064.34   | 0.04%             | 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        |     52417 | PA      | $53245.75     | 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        |   6947722 | PA      | $6347251.21   | 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        |   7602687 | PA      | $7556689.59   | 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        |   4961667 | PA      | $5118652.70   | 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        |   2700228 | PA      | $2407658.21   | 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        |   4047042 | PA      | $3908569.27   | 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        |    297026 | PA      | $313215.94    | 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        |    387855 | PA      | $372238.63    | 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        |  19082368 | PA      | $18823797.85  | 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        |   2246494 | PA      | $2316200.18   | 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        |    499800 | PA      | $468331.77    | 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        |   5308494 | PA      | $5292965.95   | 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        |   9003011 | PA      | $8336893.49   | 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        |    292897 | PA      | $294054.33    | 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        |   2064312 | PA      | $2130271.89   | 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        |   5793568 | PA      | $5107873.14   | 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        |   1935666 | PA      | $1865109.25   | 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        |   1234651 | PA      | $1195198.83   | 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        |  17853969 | PA      | $15178289.71  | 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        |   3972709 | PA      | $4071091.98   | 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        |   1904951 | PA      | $1978148.19   | 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        |   3182232 | PA      | $2933855.97   | 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        |   7244763 | PA      | $6789130.66   | 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        |    615894 | PA      | $574747.82    | 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        |   5860055 | PA      | $4870132.09   | 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        |    489813 | PA      | $453782.43    | 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        |   1368008 | PA      | $1157006.89   | 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        |    672115 | PA      | $671913.35    | 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        |     21258 | PA      | $22010.80     | 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        |  11363352 | PA      | $10484853.63  | 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        |    177617 | PA      | $187061.56    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD8213                      | CUSIP: 3133B6DS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4671164 | PA      | $4105173.42   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5049                      | CUSIP: 3133KYTE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1132688 | PA      | $1046768.82   | 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        |  30195923 | PA      | $24245939.79  | 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        |    158501 | PA      | $153923.35    | 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        |    134761 | PA      | $131747.16    | 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        |    155601 | PA      | $152167.29    | 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        |     71011 | PA      | $69133.76     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1074                      | CUSIP: 3132DNFP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4620831 | PA      | $4224967.84   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9093                      | CUSIP: 3140XDC79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10747077 | PA      | $9599375.26   | 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        |   6454998 | PA      | $5668830.64   | 0.03%             | 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        |    123122 | PA      | $120329.53    | 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        |    722966 | PA      | $699543.61    | 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        |    298083 | PA      | $294431.85    | 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        |    720167 | PA      | $679936.19    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6296                      | CUSIP: 3140X97J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    666159 | PA      | $641096.27    | 0.00%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9543                      | CUSIP: 3133AUS82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5004988 | PA      | $4251788.78   | 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        |     74350 | PA      | $74241.17     | 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        |   3858159 | PA      | $3837710.25   | 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        |    647744 | PA      | $576748.25    | 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        |   3337655 | PA      | $3089664.64   | 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        |      1013 | PA      | $1011.48      | 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        |   1606191 | PA      | $1480412.21   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02790                      | CUSIP: 31294MC33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       232 | PA      | $231.19       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3985                      | CUSIP: 31418DNB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158306 | PA      | $152782.82    | 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        |  19485730 | PA      | $18768941.74  | 0.11%             | 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        |   3383479 | PA      | $3459911.28   | 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        |    105026 | PA      | $94709.76     | 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        |   1938182 | PA      | $1665201.10   | 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        |     90218 | PA      | $90461.08     | 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        |   2332143 | PA      | $2243730.75   | 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        |  24381417 | PA      | $20643692.29  | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QB8823                      | CUSIP: 3133AFYU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1885135 | PA      | $1603208.96   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1678                      | CUSIP: 36179N2K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4931 | PA      | $4742.20      | 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        |   7725654 | PA      | $7912149.25   | 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        |     15535 | PA      | $15477.92     | 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        |   1651382 | PA      | $1736966.32   | 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        |    160829 | PA      | $166638.46    | 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        |   5742981 | PA      | $5962076.24   | 0.04%             | 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        |    152534 | PA      | $154251.27    | 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        |    303260 | PA      | $294439.08    | 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        |   5307371 | PA      | $4715688.36   | 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        |  26898082 | PA      | $22940268.63  | 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        |   1609783 | PA      | $1464830.98   | 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        |    564248 | PA      | $529978.23    | 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        |   1486276 | PA      | $1204094.19   | 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        |   3822685 | PA      | $3859195.61   | 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        |   3169184 | PA      | $2638733.56   | 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        |   3190642 | PA      | $2973886.47   | 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        |   8144270 | PA      | $7121822.12   | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890517                      | CUSIP: 31410LK68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43600 | PA      | $46098.35     | 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        |   2175833 | PA      | $2136979.01   | 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        |    952199 | PA      | $895678.18    | 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        |   7489334 | PA      | $6310777.56   | 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        |    190582 | PA      | $188959.56    | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8010                      | CUSIP: 3132DV3T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211838 | PA      | $186236.82    | 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        |  26874561 | PA      | $26129522.81  | 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        |     61389 | PA      | $59750.68     | 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        |   2866237 | PA      | $2925857.44   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1294                      | CUSIP: 3140X4NL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78090 | PA      | $78618.10     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2856                      | CUSIP: 3140QNE65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1038758 | PA      | $879189.35    | 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        |   1231181 | PA      | $1163758.43   | 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        |   2273073 | PA      | $2242272.83   | 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        |   2816380 | PA      | $2527054.78   | 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        |    513255 | PA      | $491561.61    | 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        |   5783027 | PA      | $4936624.63   | 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        |     22717 | PA      | $22640.97     | 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        |    484775 | PA      | $481527.67    | 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        |  12112379 | PA      | $11236535.27  | 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        |  13250000 | PA      | $11673521.63  | 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        |    426114 | PA      | $395275.82    | 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        |     10987 | PA      | $9402.74      | 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        |     64190 | PA      | $65107.06     | 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        |    181921 | PA      | $182055.40    | 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        |   1794398 | PA      | $1792914.94   | 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        |   7540742 | PA      | $6930972.98   | 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        |    585777 | PA      | $549328.45    | 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        |     61954 | PA      | $61779.31     | 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        |    660950 | PA      | $639840.24    | 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        |    490591 | PA      | $447562.75    | 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        |    311521 | PA      | $300122.81    | 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        |    273523 | PA      | $263194.02    | 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        |    124603 | PA      | $117914.42    | 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        |   1910670 | PA      | $1847325.87   | 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        |     65966 | PA      | $67059.42     | 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        |    327039 | PA      | $304319.63    | 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        |   3462039 | PA      | $3442528.00   | 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        |   4446277 | PA      | $4449944.14   | 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        |    253442 | PA      | $249295.17    | 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        |    524105 | PA      | $509170.93    | 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        |    608130 | PA      | $576287.21    | 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        |   5130466 | PA      | $4598900.71   | 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        |   2148758 | PA      | $1957121.43   | 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        |   5184793 | PA      | $4788217.21   | 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        |   6378271 | PA      | $5595469.41   | 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        |  10502783 | PA      | $8413559.81   | 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        |    750867 | PA      | $728816.48    | 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        |   1784632 | PA      | $1641642.84   | 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        |     37697 | PA      | $38259.39     | 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        |      5297 | PA      | $5220.97      | 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        |    133975 | PA      | $131847.75    | 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        |    923639 | PA      | $852232.87    | 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        |    154713 | PA      | $160058.29    | 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        |   4021494 | PA      | $3982082.66   | 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        |   5803381 | PA      | $4852598.09   | 0.03%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18582                      | CUSIP: 3128MMUG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1137523 | PA      | $1114492.06   | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8475                      | CUSIP: 3132DWMY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26414221 | PA      | $26575707.31  | 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        |   4376699 | PA      | $4047911.01   | 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        |   5629876 | PA      | $5776335.80   | 0.04%             | 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        |   2443564 | PA      | $1968941.86   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3448                      | CUSIP: 31418CZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    482688 | PA      | $486405.00    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8949                      | CUSIP: 36179X5J1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1711210 | PA      | $1757299.76   | 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        |    477992 | PA      | $439843.87    | 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        |     47709 | PA      | $47639.27     | 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        |    237191 | PA      | $234957.03    | 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        |   1956625 | PA      | $1859185.24   | 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        |   1618186 | PA      | $1643531.56   | 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        |   1117909 | PA      | $1113317.72   | 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        |   2323253 | PA      | $1938200.45   | 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        |   1420638 | PA      | $1442154.47   | 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        |     93531 | PA      | $92290.50     | 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        |     16321 | PA      | $16963.10     | 0.00%             | 2041-02-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0894                      | CUSIP: 3132DM7F6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    888536 | PA      | $721783.73    | 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        |   9959639 | PA      | $9883818.82   | 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        |   3473308 | PA      | $3189591.58   | 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        |   2335141 | PA      | $1971320.95   | 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        |    722673 | PA      | $664951.84    | 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        |   1909774 | PA      | $1976020.36   | 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        |   2883205 | PA      | $2958211.30   | 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        |     32000 | PA      | $30252.10     | 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        |    215450 | PA      | $215600.10    | 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        |   3727777 | PA      | $3126244.98   | 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        |    910306 | PA      | $900359.60    | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7323                      | CUSIP: 3132DVD44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5095909 | PA      | $5026858.16   | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4473                      | CUSIP: 31418D6K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6976703 | PA      | $5786552.33   | 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        |   2101220 | PA      | $2136403.21   | 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        |   6582159 | PA      | $5540188.55   | 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        |   9592445 | PA      | $7858961.95   | 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        |    275634 | PA      | $230318.19    | 0.00%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7672                      | CUSIP: 3140XBQ29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4581210 | PA      | $3807319.07   | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08624                      | CUSIP: 3128MJVS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1454539 | PA      | $1401563.02   | 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        |     22963 | PA      | $23653.48     | 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        |   5434107 | PA      | $4681526.43   | 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        |   1239834 | PA      | $1215735.39   | 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        |    280824 | PA      | $271114.64    | 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        |     82001 | PA      | $78227.86     | 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        |   8032504 | PA      | $8214483.91   | 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        |  11464301 | PA      | $9674555.05   | 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        |    321101 | PA      | $259936.72    | 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        |     24846 | PA      | $24693.48     | 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        |     51591 | PA      | $50677.49     | 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        |    962219 | PA      | $931299.79    | 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        |     55185 | PA      | $56039.39     | 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        |    224164 | PA      | $218864.15    | 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        |      4405 | PA      | $4392.77      | 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        |   2798635 | PA      | $2867942.80   | 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        |   1371219 | PA      | $1352708.47   | 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        |   2260917 | PA      | $2250770.54   | 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        |   3783210 | PA      | $3473740.22   | 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        |     13032 | PA      | $13236.93     | 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        |   1415117 | PA      | $1332752.12   | 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        |   5219905 | PA      | $4352801.89   | 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        |   1600983 | PA      | $1556884.21   | 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        |    601885 | PA      | $574378.52    | 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        |    737722 | PA      | $701239.30    | 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        |  30505984 | PA      | $30188684.68  | 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        |   3428820 | PA      | $3120155.50   | 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        |      3531 | PA      | $3526.57      | 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        |   2235264 | PA      | $2181378.37   | 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        |   9487211 | PA      | $8316921.23   | 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        |   1086661 | PA      | $1007405.37   | 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        |    156947 | PA      | $142961.66    | 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        |    145978 | PA      | $146964.69    | 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        |      2250 | PA      | $2384.16      | 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        |   5835069 | PA      | $5352285.64   | 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        |   2117278 | PA      | $2003690.72   | 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        |    757774 | PA      | $730625.94    | 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        |    129117 | PA      | $131119.09    | 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        |   1115117 | PA      | $1081788.01   | 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        |    255926 | PA      | $259883.22    | 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        |   4142165 | PA      | $4179137.92   | 0.03%             | 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        |     10230 | PA      | $10192.80     | 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        |   4951755 | PA      | $4155502.22   | 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        |     19708 | PA      | $20514.74     | 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        |     39475 | PA      | $38757.29     | 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        |       760 | PA      | $802.31       | 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        |    174248 | PA      | $179648.96    | 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        |    211657 | PA      | $206291.86    | 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        |   1015596 | PA      | $989378.24    | 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        |    172969 | PA      | $170430.26    | 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        |    158303 | PA      | $161878.97    | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 9/25                    | CUSIP: 01F050692<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -4990000 | PA      | $-4921192.39  | -0.03%            | 2025-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0943                      | CUSIP: 31419BBM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189112 | PA      | $192050.06    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4623                      | CUSIP: 31418ED56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11642313 | PA      | $9708353.72   | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7728                      | CUSIP: 31417ESS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    719696 | PA      | $636694.89    | 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        |   3215190 | PA      | $3317922.94   | 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        |    530068 | PA      | $482835.00    | 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        |    400491 | PA      | $388100.56    | 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        |   3543218 | PA      | $3251165.17   | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698094                      | CUSIP: 36296QRP6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    145528 | PA      | $145099.41    | 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        |      2880 | PA      | $2874.91      | 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        |      7502 | PA      | $7500.39      | 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        |   8945713 | PA      | $9273713.84   | 0.06%             | 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        |   2300471 | PA      | $1924079.71   | 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        |   1620020 | PA      | $1617623.57   | 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        |    840342 | PA      | $824810.99    | 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        |    135537 | PA      | $133119.87    | 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        |   3219925 | PA      | $2795564.77   | 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        |   5239637 | PA      | $5413605.42   | 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        |   2310237 | PA      | $2406855.26   | 0.01%             | 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        |    612741 | PA      | $497319.45    | 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        |   3661384 | PA      | $3861150.48   | 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        |     42946 | PA      | $43590.58     | 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        |   1478535 | PA      | $1404030.00   | 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        |   1172369 | PA      | $1134740.73   | 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        |   1257590 | PA      | $1107050.62   | 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        |   1106789 | PA      | $1058454.98   | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18368                      | CUSIP: 3128MMMS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1618 | PA      | $1614.12      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5064                      | CUSIP: 3133KYTV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213954 | PA      | $186651.20    | 0.00%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7768                      | CUSIP: 36179WTZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16935001 | PA      | $15013957.10  | 0.09%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8636                      | CUSIP: 3140XQS24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8957134 | PA      | $9037298.24   | 0.06%             | 2050-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738538                      | CUSIP: 3620ASPX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    503330 | PA      | $488083.69    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2654                      | CUSIP: 3138EJ5Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5878 | PA      | $5808.55      | 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        |      3207 | PA      | $3259.86      | 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        |   6627460 | PA      | $5955289.40   | 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        |    144436 | PA      | $143986.29    | 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        |   1910588 | PA      | $1930190.14   | 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        |   2007002 | PA      | $1907748.27   | 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        |   6320339 | PA      | $5335616.05   | 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        |    150788 | PA      | $146785.64    | 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        |     79756 | PA      | $84341.33     | 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        |    307897 | PA      | $309113.02    | 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        |    446034 | PA      | $435699.37    | 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        |       291 | PA      | $294.76       | 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        |    325679 | PA      | $325447.86    | 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        |   4183049 | PA      | $3820442.18   | 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        |  12106707 | PA      | $11165552.56  | 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        |   4281969 | PA      | $3456957.84   | 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        |   5622623 | PA      | $4900934.18   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91725                      | CUSIP: 3128P74J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221566 | PA      | $217702.34    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0232                      | CUSIP: 3138W9HJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186629 | PA      | $180080.01    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4786                        | CUSIP: 36202FJ72<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       135 | PA      | $134.49       | 0.00%             | 2025-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1015                      | CUSIP: 31418ADV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    255655 | PA      | $234925.59    | 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        |   2259499 | PA      | $2009711.04   | 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        |   5876849 | PA      | $5863330.77   | 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        |   5202289 | PA      | $5164311.73   | 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        |   8479701 | PA      | $8415147.43   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 9/25                    | CUSIP: 01F030694<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -5650000 | PA      | $-4895195.03  | -0.03%            | 2025-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17231                      | CUSIP: 3128PXA89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64258 | PA      | $63738.89     | 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        |    721126 | PA      | $642053.09    | 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        |   4328957 | PA      | $3878400.01   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6055                      | CUSIP: 3140X9WR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11521864 | PA      | $9247927.34   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4738                      | CUSIP: 3140X8HQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1651832 | PA      | $1560850.76   | 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        |   3158164 | PA      | $2918941.46   | 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        |    194871 | PA      | $184228.95    | 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        |    231806 | PA      | $219691.54    | 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        |     69496 | PA      | $67120.40     | 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        |     76639 | PA      | $75915.25     | 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        |   7385369 | PA      | $6992468.29   | 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        |    250924 | PA      | $243343.91    | 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        |    552152 | PA      | $526353.24    | 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        |   4749116 | PA      | $4360442.11   | 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        |  23559052 | PA      | $23820877.69  | 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        |      7747 | PA      | $7745.77      | 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        |   1037540 | PA      | $961867.30    | 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        |   4828276 | PA      | $4702827.18   | 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        |   1062992 | PA      | $941168.33    | 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        |   4109297 | PA      | $3646057.85   | 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        |   9428062 | PA      | $9635029.86   | 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        |    202188 | PA      | $195402.55    | 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        |    377398 | PA      | $371623.11    | 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        |     83511 | PA      | $81961.66     | 0.00%             | 2029-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4154                      | CUSIP: 3140X7TL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12757093 | PA      | $10299172.15  | 0.06%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0095                      | CUSIP: 31418MC91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136091 | PA      | $143892.35    | 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        |   2820717 | PA      | $2729165.07   | 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        |   8171730 | PA      | $7583387.84   | 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        |     15298 | PA      | $15094.79     | 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        |   1463163 | PA      | $1394693.68   | 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        |    116687 | PA      | $116554.10    | 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        |      9569 | PA      | $10413.25     | 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        |    594763 | PA      | $551161.16    | 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        |   2520927 | PA      | $2378148.18   | 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        |  28220063 | PA      | $26548944.43  | 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        |   4551880 | PA      | $4598580.13   | 0.03%             | 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        |    396030 | PA      | $371487.02    | 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        |   2430982 | PA      | $2173407.93   | 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        |   8594155 | PA      | $8676238.37   | 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        |   5580255 | PA      | $5680636.01   | 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        |   1503701 | PA      | $1512929.59   | 0.01%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6395                      | CUSIP: 3140QSC90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1817364 | PA      | $1800689.07   | 0.01%             | 2053-02-01      | 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        |  10798708 | PA      | $10933628.12  | 0.07%             | 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        |   4471195 | PA      | $4312659.04   | 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        |     91704 | PA      | $91426.16     | 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        |    636674 | PA      | $599176.18    | 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        |    247518 | PA      | $245186.09    | 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        |    489429 | PA      | $438183.13    | 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        |  16171403 | PA      | $13541774.12  | 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        |    473306 | PA      | $449455.97    | 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        |     17229 | PA      | $16922.56     | 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        |    120530 | PA      | $119235.67    | 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        |     32296 | PA      | $31736.17     | 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        |   2329054 | PA      | $2207692.02   | 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        |     51808 | PA      | $50514.09     | 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        |   1309989 | PA      | $1298542.50   | 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        |     19546 | PA      | $18693.42     | 0.00%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7909                      | CUSIP: 3138EQYF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6069833 | PA      | $5667618.60   | 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        |    651809 | PA      | $626904.43    | 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        |   2311706 | PA      | $2129108.01   | 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        |  30353176 | PA      | $29941884.86  | 0.18%             | 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        |  21430227 | PA      | $17194095.12  | 0.10%             | 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        |     52620 | PA      | $53385.37     | 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        |  21729323 | PA      | $21900652.35  | 0.13%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5486                      | CUSIP: 31419GCY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       446 | PA      | $444.54       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2484                      | CUSIP: 31418BXN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    836191 | PA      | $800847.98    | 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        |     21314 | PA      | $21647.25     | 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        |     60268 | PA      | $53511.24     | 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        |    329604 | PA      | $326962.76    | 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        |   2444714 | PA      | $2269670.76   | 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        |     27480 | PA      | $27506.60     | 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        |   4950860 | PA      | $5022900.03   | 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        |   3479741 | PA      | $3622733.25   | 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        |   1453119 | PA      | $1366754.20   | 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        |   1115340 | PA      | $1037707.54   | 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        |     20443 | PA      | $21260.66     | 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        |    104626 | PA      | $106923.93    | 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        |   4917268 | PA      | $3971390.08   | 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        |    153264 | PA      | $149569.34    | 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        |   5048573 | PA      | $5184643.65   | 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        |     69270 | PA      | $67591.03     | 0.00%             | 2031-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2620                      | CUSIP: 3140XH4E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3506781 | PA      | $3497618.66   | 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        |    876542 | PA      | $849463.84    | 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        |    167271 | PA      | $156890.99    | 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        |     59862 | PA      | $63194.99     | 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        |   3446639 | PA      | $3036559.56   | 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        |    431772 | PA      | $403677.16    | 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        |   2905227 | PA      | $2692398.94   | 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        |     57369 | PA      | $56822.77     | 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        |   6653635 | PA      | $5756807.13   | 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        |   4390473 | PA      | $4130591.11   | 0.03%             | 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        |    469513 | PA      | $431220.34    | 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        |    563773 | PA      | $522302.23    | 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        |   2387855 | PA      | $2145528.04   | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8298                      | CUSIP: 3132DWGF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3179423 | PA      | $3070981.63   | 0.02%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09029                      | CUSIP: 31292SA67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1040990 | PA      | $952247.74    | 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        |   5190664 | PA      | $4917745.41   | 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        |    110145 | PA      | $107012.25    | 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        |      5416 | PA      | $5501.40      | 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        |   9860757 | PA      | $8288067.46   | 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        |   1188171 | PA      | $1101512.20   | 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        |   2676232 | PA      | $2308917.78   | 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        |     42029 | PA      | $40620.32     | 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        |     95343 | PA      | $99017.01     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91752                      | CUSIP: 3128P75M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214575 | PA      | $210622.85    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5327                      | CUSIP: 3133KY4L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4085123 | PA      | $4028770.00   | 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        |    422902 | PA      | $429284.94    | 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        |    207342 | PA      | $197801.24    | 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        |    119983 | PA      | $116141.78    | 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        |     63767 | PA      | $62886.85     | 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        |    331360 | PA      | $303667.68    | 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        |   1333334 | PA      | $1307418.67   | 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        |    192896 | PA      | $182412.81    | 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        |   2580183 | PA      | $2080637.84   | 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        |    213179 | PA      | $200670.74    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1782                      | CUSIP: 3140QL6U5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13283315 | PA      | $10640986.36  | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08739                      | CUSIP: 3128MJZD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163836 | PA      | $156291.62    | 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        |  17430135 | PA      | $17790658.07  | 0.11%             | 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        |   2132252 | PA      | $2185267.93   | 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        |   2232467 | PA      | $1855951.73   | 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        |    226877 | PA      | $229762.72    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8382                      | CUSIP: 3132DWJ38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8821165 | PA      | $8718176.38   | 0.05%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4520                      | CUSIP: 31418EAW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11237766 | PA      | $9672859.12   | 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        |    102941 | PA      | $94663.29     | 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        |   4061103 | PA      | $3838707.15   | 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        |     26864 | PA      | $25568.00     | 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        |    105604 | PA      | $93765.34     | 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        |  19936904 | PA      | $16656242.38  | 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        |   6925249 | PA      | $5755386.08   | 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        |     19539 | PA      | $19465.87     | 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        |     83747 | PA      | $83062.91     | 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        |    670242 | PA      | $631443.40    | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1346                      | CUSIP: 3132ADP77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    208076 | PA      | $208705.04    | 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        |     31455 | PA      | $32648.24     | 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        |    988231 | PA      | $891411.58    | 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        |      2768 | PA      | $2880.11      | 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        |    170237 | PA      | $172890.34    | 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        |  18791814 | PA      | $19202524.07  | 0.12%             | 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        |    925980 | PA      | $870347.83    | 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        |     79958 | PA      | $82888.62     | 0.00%             | 2042-09-01      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1704                      | CUSIP: 3140Q83N3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1091524 | PA      | $1073397.36   | 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        |   3084247 | PA      | $3118716.99   | 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        |    157517 | PA      | $154901.22    | 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        |     26398 | PA      | $27259.52     | 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        |   4895615 | PA      | $4649693.70   | 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        |     70846 | PA      | $71954.05     | 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        |    845208 | PA      | $760690.85    | 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        |    414502 | PA      | $400817.73    | 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        |    343107 | PA      | $343119.81    | 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        |     12786 | PA      | $12645.34     | 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        |      1570 | PA      | $1568.81      | 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        |   2324503 | PA      | $2136079.44   | 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        |   3777799 | PA      | $3444418.87   | 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        |     78381 | PA      | $79709.10     | 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        |    986831 | PA      | $908380.81    | 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        |    388247 | PA      | $376622.84    | 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        |   4317681 | PA      | $4021661.25   | 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        |   3419501 | PA      | $2975993.71   | 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        |     62723 | PA      | $61636.33     | 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        |   1349766 | PA      | $1158450.80   | 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        |   2377708 | PA      | $2384870.67   | 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        |   4624662 | PA      | $4270929.40   | 0.03%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0480                      | CUSIP: 3133BMQ99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2123424 | PA      | $2107922.16   | 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        |   3815779 | PA      | $3342701.02   | 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        |      6176 | PA      | $6154.39      | 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        |  17515808 | PA      | $17900661.92  | 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        |    165000 | PA      | $161171.09    | 0.00%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4094                      | CUSIP: 31418DRQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3360815 | PA      | $3022897.46   | 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        |   3536125 | PA      | $2977453.60   | 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        |  15029933 | PA      | $12068346.23  | 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        |    712027 | PA      | $711101.87    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7519                      | CUSIP: 3132DVK87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2707648 | PA      | $2497474.08   | 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        |    477823 | PA      | $476356.26    | 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        |   5484034 | PA      | $4874369.71   | 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        |    826011 | PA      | $747449.21    | 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        |    331422 | PA      | $296339.22    | 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        |   1209337 | PA      | $1082284.13   | 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        |    200839 | PA      | $197817.76    | 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        |    447634 | PA      | $433200.46    | 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        |  21626302 | PA      | $21504425.00  | 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        |   8328699 | PA      | $6747425.21   | 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        |   1991827 | PA      | $1768533.89   | 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        |    109918 | PA      | $111632.61    | 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        |    544104 | PA      | $560333.31    | 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        |    168699 | PA      | $154803.28    | 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        |   3653118 | PA      | $3847852.58   | 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        |    368780 | PA      | $359885.37    | 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        |   1814870 | PA      | $1607444.67   | 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        |   1590757 | PA      | $1575664.07   | 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        |   3977883 | PA      | $3485950.30   | 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        |   3274069 | PA      | $3017502.31   | 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        |  16528591 | PA      | $14685930.68  | 0.09%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4446                      | CUSIP: 31418D5G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2818292 | PA      | $2430103.98   | 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        |  12010532 | PA      | $10686572.73  | 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        |     37443 | PA      | $37692.48     | 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        |    122930 | PA      | $114972.31    | 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        |    614403 | PA      | $613920.64    | 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        |    802533 | PA      | $772702.70    | 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        |    776647 | PA      | $717308.90    | 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        |   2175117 | PA      | $2125233.67   | 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        |    697108 | PA      | $660455.08    | 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        |    149243 | PA      | $144610.67    | 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        |     12062 | PA      | $11964.23     | 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        |    141997 | PA      | $149811.78    | 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        |  30675925 | PA      | $31810265.90  | 0.19%             | 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        |   2919337 | PA      | $2860820.53   | 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        |  20930392 | PA      | $15911587.17  | 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        |  16922816 | PA      | $17459572.32  | 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        |  12933249 | PA      | $13338412.57  | 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        |   1122679 | PA      | $935749.82    | 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        |   1076245 | PA      | $1064015.85   | 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        |     11250 | PA      | $11038.87     | 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        |     15944 | PA      | $16843.60     | 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        |    319967 | PA      | $277559.96    | 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        |   2457821 | PA      | $2260894.46   | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3936                      | CUSIP: 3140X7LS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162659 | PA      | $156248.82    | 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        |   2554959 | PA      | $2359534.19   | 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        |    165834 | PA      | $162433.25    | 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        |     64158 | PA      | $63207.03     | 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        |    641833 | PA      | $632012.02    | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784443                      | CUSIP: 3622A25C2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    963604 | PA      | $960446.91    | 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        |    187195 | PA      | $175539.19    | 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        |      3151 | PA      | $3271.43      | 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        |    790747 | PA      | $802515.20    | 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        |   2064262 | PA      | $2022355.42   | 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        |   6928240 | PA      | $5563058.44   | 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        |    599019 | PA      | $589258.23    | 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        |   1659670 | PA      | $1459091.65   | 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        |   4461188 | PA      | $3926215.33   | 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        |   2642828 | PA      | $2634271.08   | 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        |    194473 | PA      | $157550.76    | 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        |   1907015 | PA      | $1892497.15   | 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        |    136171 | PA      | $140876.79    | 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        |    137949 | PA      | $132846.31    | 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        |  14788266 | PA      | $15136008.63  | 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        |     30624 | PA      | $30644.53     | 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        |    142132 | PA      | $129808.73    | 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        |   1617183 | PA      | $1562425.60   | 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        |   3857697 | PA      | $3918652.97   | 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        |     95426 | PA      | $94373.38     | 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        |   4714602 | PA      | $4559693.80   | 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        |   2943084 | PA      | $2685146.72   | 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        |      5736 | PA      | $6078.89      | 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        |   5176416 | PA      | $4382860.13   | 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        |      7775 | PA      | $7726.11      | 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        |    127933 | PA      | $120448.15    | 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        |   8204974 | PA      | $8150204.01   | 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        |    964583 | PA      | $894378.52    | 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        |   5402921 | PA      | $4852926.76   | 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        |   1789135 | PA      | $1440506.71   | 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        |   3648236 | PA      | $3466126.60   | 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        |    911762 | PA      | $918781.95    | 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        |   4185964 | PA      | $4312703.85   | 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        |    381413 | PA      | $330502.94    | 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        |   5155400 | PA      | $5215627.63   | 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        |  11533642 | PA      | $9304235.96   | 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        |    803197 | PA      | $740299.31    | 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        |   4465204 | PA      | $4567852.94   | 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        |   6517800 | PA      | $6785634.85   | 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        |      5270 | PA      | $5239.49      | 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        |  17568436 | PA      | $15570047.44  | 0.09%             | 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        |    353737 | PA      | $349736.19    | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK4740                      | CUSIP: 3140HJHS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403188 | PA      | $381988.47    | 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        |   1465384 | PA      | $1435096.01   | 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        |   3039291 | PA      | $2991500.05   | 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        |    207210 | PA      | $199225.99    | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q10378                      | CUSIP: 3132HLM34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    434222 | PA      | $398548.66    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4801                        | CUSIP: 36202FKN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    754441 | PA      | $750611.33    | 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        |      2239 | PA      | $2435.44      | 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        |    358376 | PA      | $352687.45    | 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        |   3043388 | PA      | $2881467.75   | 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        |   6504802 | PA      | $5647520.73   | 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        |   3557758 | PA      | $3221837.15   | 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        |   9434844 | PA      | $9760632.54   | 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        |    357267 | PA      | $362799.06    | 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        |   2607215 | PA      | $2265948.14   | 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        |    820183 | PA      | $748590.16    | 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        |    175630 | PA      | $170106.70    | 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        |   1012826 | PA      | $960049.81    | 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        |    555448 | PA      | $549926.29    | 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        |   2810196 | PA      | $2570952.16   | 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        |   1459741 | PA      | $1387551.09   | 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        |   1279325 | PA      | $1202793.17   | 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        |    375319 | PA      | $369346.72    | 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        |   2792622 | PA      | $2509388.87   | 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        |   2677173 | PA      | $2808766.43   | 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        |    411768 | PA      | $393978.17    | 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        |   4754970 | PA      | $4726201.93   | 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        |    185731 | PA      | $167244.86    | 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        |      1481 | PA      | $1495.55      | 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        |     13036 | PA      | $13548.94     | 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        |   1386485 | PA      | $1338112.17   | 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        |   6926959 | PA      | $6873901.75   | 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        |    193902 | PA      | $191783.67    | 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        |    202054 | PA      | $205225.38    | 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        |   7825711 | PA      | $7986049.14   | 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        |   1087372 | PA      | $981505.77    | 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        |    173772 | PA      | $173824.17    | 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        |     26769 | PA      | $25749.14     | 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        |   1185402 | PA      | $1131412.27   | 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        |  12194394 | PA      | $12481143.24  | 0.08%             | 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        |    474405 | PA      | $384335.06    | 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        |  23439808 | PA      | $19487511.72  | 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        |  16736720 | PA      | $13966965.64  | 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        |   2275272 | PA      | $1786150.18   | 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        |  10475611 | PA      | $10539654.71  | 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        |   1898092 | PA      | $1923931.84   | 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        |  45541355 | PA      | $36467995.66  | 0.22%             | 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        |     62870 | PA      | $60213.04     | 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        |    521355 | PA      | $475998.55    | 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        |     10843 | PA      | $11008.73     | 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        |  20644559 | PA      | $19966238.47  | 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        |  11270610 | PA      | $10872113.64  | 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        |   1883143 | PA      | $1874545.95   | 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        |   1590020 | PA      | $1453680.27   | 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        |   6704278 | PA      | $6172351.32   | 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        |   2999905 | PA      | $3036947.72   | 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        |     10900 | PA      | $11300.66     | 0.00%             | 2043-06-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1235                      | CUSIP: 31427NLR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6679480 | PA      | $6668291.00   | 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        |    976428 | PA      | $948312.06    | 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        |   2887279 | PA      | $2743492.40   | 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        |    611471 | PA      | $611179.72    | 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        |    375067 | PA      | $352621.19    | 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        |    122113 | PA      | $120963.19    | 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        |   8307731 | PA      | $7422294.73   | 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        |     45565 | PA      | $44893.13     | 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        |     10686 | PA      | $11301.22     | 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        |    801998 | PA      | $713591.35    | 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        |     27323 | PA      | $23057.76     | 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        |  10359577 | PA      | $10752908.57  | 0.07%             | 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        |   3345502 | PA      | $3382682.72   | 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        |      6504 | PA      | $6320.37      | 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        |    216023 | PA      | $206622.11    | 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        |    366488 | PA      | $354779.81    | 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        |      8609 | PA      | $8425.97      | 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        |   1833190 | PA      | $1769519.36   | 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        |    176076 | PA      | $181327.81    | 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        |   3011291 | PA      | $3125701.79   | 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        |  19620079 | PA      | $16409945.60  | 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        |     58254 | PA      | $55282.07     | 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        |   4136031 | PA      | $3829845.35   | 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        |    383579 | PA      | $310513.51    | 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        |   1911235 | PA      | $1758251.30   | 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        |    271006 | PA      | $241059.58    | 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        |    198184 | PA      | $196858.65    | 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        |    782174 | PA      | $719993.52    | 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        |  12944529 | PA      | $13023666.93  | 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        |   3439590 | PA      | $3621867.76   | 0.02%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK0916                      | CUSIP: 3140HEAS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    478817 | PA      | $483102.26    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783366                      | CUSIP: 36241LW36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    175954 | PA      | $178900.94    | 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        |     31909 | PA      | $31893.46     | 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        |    518509 | PA      | $508250.31    | 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        |   4206461 | PA      | $3963938.13   | 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        |   2377435 | PA      | $2126277.12   | 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        |   3282745 | PA      | $2742562.46   | 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        |   3118967 | PA      | $2851524.09   | 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        |    667665 | PA      | $658663.81    | 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        |     39824 | PA      | $38835.81     | 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        |     30667 | PA      | $31166.12     | 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        |    148109 | PA      | $119757.63    | 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        |   2077979 | PA      | $1684106.22   | 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        |   7006062 | PA      | $7112386.66   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4343                      | CUSIP: 31418DZH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6629832 | PA      | $5031807.16   | 0.03%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06409                      | CUSIP: 3128M8N26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339163 | PA      | $358418.77    | 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        |    460401 | PA      | $424347.65    | 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        |    214334 | PA      | $214345.18    | 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        |     21984 | PA      | $21439.57     | 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        |   2594368 | PA      | $2664292.30   | 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        |    282155 | PA      | $260650.09    | 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        |      7440 | PA      | $7924.32      | 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        |    528716 | PA      | $530411.75    | 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        |       442 | PA      | $439.86       | 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        |   7480621 | PA      | $6025297.25   | 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        |   3234453 | PA      | $2832436.17   | 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        |    749908 | PA      | $679957.07    | 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        |    539420 | PA      | $509589.66    | 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        |   1168855 | PA      | $1033072.51   | 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        |    341719 | PA      | $340189.52    | 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        |    115293 | PA      | $121814.50    | 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        |    409064 | PA      | $409352.50    | 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        |   5969156 | PA      | $5144654.79   | 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        |    558095 | PA      | $558547.07    | 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        |  10228433 | PA      | $10641822.47  | 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        |  30188143 | PA      | $29874150.15  | 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        |   7641124 | PA      | $7875723.69   | 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        |    331480 | PA      | $335783.49    | 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        |   4575724 | PA      | $4529451.18   | 0.03%             | 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        |    146603 | PA      | $133927.83    | 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        |    536829 | PA      | $526236.10    | 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        |  11453419 | PA      | $11837277.78  | 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        |    173820 | PA      | $174005.07    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07942                      | CUSIP: 3128MAEP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64081 | PA      | $63877.97     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1585                      | CUSIP: 3138EHXP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1341096 | PA      | $1268945.96   | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01589                      | CUSIP: 31283HXS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74248 | PA      | $75292.86     | 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        |   2705311 | PA      | $2279590.14   | 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        |    308335 | PA      | $320940.28    | 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        |     53257 | PA      | $54100.52     | 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        |    369183 | PA      | $361205.85    | 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        |    423990 | PA      | $440712.38    | 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        |   9591171 | PA      | $9736727.21   | 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        |    159772 | PA      | $161832.39    | 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        |   8273278 | PA      | $7171104.97   | 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        |   6720918 | PA      | $6383305.81   | 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        |   5285672 | PA      | $5390664.75   | 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        |     86036 | PA      | $87432.01     | 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        |    370300 | PA      | $348862.42    | 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        |   1356919 | PA      | $1214843.35   | 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        |    670362 | PA      | $611832.43    | 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        |    944545 | PA      | $875064.90    | 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        |  22269584 | PA      | $22137122.17  | 0.13%             | 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        |    851976 | PA      | $823982.62    | 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        |   4089246 | PA      | $3728973.20   | 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        |   3188966 | PA      | $2819509.55   | 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        |    769731 | PA      | $768727.77    | 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        |   4054481 | PA      | $3561944.71   | 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        |    160491 | PA      | $159918.80    | 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        |     98251 | PA      | $97941.31     | 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        |    464929 | PA      | $427459.30    | 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        |     47666 | PA      | $48408.56     | 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        |      4414 | PA      | $4302.26      | 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        |    981624 | PA      | $935226.01    | 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        |    165478 | PA      | $161091.45    | 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        |   8944321 | PA      | $8823123.42   | 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        |   2670983 | PA      | $2712700.97   | 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        |   1029886 | PA      | $975902.42    | 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        |    483821 | PA      | $447419.09    | 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        |   6278206 | PA      | $5446865.04   | 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        |    612447 | PA      | $588156.93    | 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        |   1355518 | PA      | $1179544.92   | 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        |   2111684 | PA      | $2187185.10   | 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        |   1925041 | PA      | $1765079.00   | 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        |   1301938 | PA      | $1264427.21   | 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        |    807502 | PA      | $758231.02    | 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        |  10848379 | PA      | $11086949.66  | 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        |    116623 | PA      | $98679.39     | 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        |     63374 | PA      | $63313.22     | 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        |   7387399 | PA      | $6889297.48   | 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        |   1102301 | PA      | $1075590.70   | 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        |  11496191 | PA      | $10450247.68  | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4095                      | CUSIP: 31418DRR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3419918 | PA      | $3166884.30   | 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        |   6050670 | PA      | $4873536.85   | 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        |    597555 | PA      | $582815.19    | 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        |   2916186 | PA      | $2705772.07   | 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        |   3623118 | PA      | $3300273.96   | 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        |    470201 | PA      | $466598.83    | 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        |    716087 | PA      | $712150.03    | 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        |    175794 | PA      | $165740.45    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ9190                      | CUSIP: 3140KVF88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4096469 | PA      | $3318720.01   | 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        |    197380 | PA      | $191334.79    | 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        |   2692995 | PA      | $2360801.87   | 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        |   6240657 | PA      | $6457612.65   | 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        |  18551866 | PA      | $14890499.80  | 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        |   5453832 | PA      | $4998111.24   | 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        |   1359276 | PA      | $1100356.56   | 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        |   3360937 | PA      | $3165254.84   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4225                      | CUSIP: 31417AVT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    453714 | PA      | $429867.53    | 0.00%             | 2042-01-01      | 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        |    781329 | PA      | $748278.28    | 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        |     71495 | PA      | $67847.17     | 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        |     85326 | PA      | $85354.92     | 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        |    741312 | PA      | $677746.05    | 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        |  15775401 | PA      | $12657063.01  | 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        |     60704 | PA      | $59467.76     | 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        |       727 | PA      | $743.27       | 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        |   3846642 | PA      | $3914635.41   | 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        |    159809 | PA      | $164964.74    | 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        |    372395 | PA      | $361922.85    | 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        |  18834037 | PA      | $15717197.68  | 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        |    149522 | PA      | $144585.28    | 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        |   5923078 | PA      | $4794829.67   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0627                      | CUSIP: 31419AVV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2050 | PA      | $2042.09      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q53751                      | CUSIP: 3132XWEZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1617104 | PA      | $1490470.08   | 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        |  22372817 | PA      | $18691320.53  | 0.11%             | 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        |  22306792 | PA      | $22443167.11  | 0.14%             | 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        |   6059206 | PA      | $5113274.71   | 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        |   4463947 | PA      | $4123720.88   | 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        |    133440 | PA      | $130882.82    | 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        |   1704955 | PA      | $1613859.03   | 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        |  12123200 | PA      | $9745738.90   | 0.06%             | 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        |    443862 | PA      | $411739.12    | 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        |     64150 | PA      | $62452.33     | 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        |   3003685 | PA      | $2850448.23   | 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        |     10016 | PA      | $10172.63     | 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        |   8341794 | PA      | $7433992.46   | 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        |     43254 | PA      | $43084.86     | 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        |  16782786 | PA      | $12758517.01  | 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        |    166138 | PA      | $154923.58    | 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        |    153559 | PA      | $148945.06    | 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        |     74817 | PA      | $71655.13     | 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        |    631633 | PA      | $606240.51    | 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        |   4428120 | PA      | $3881891.08   | 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        |   2846501 | PA      | $2918951.21   | 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        |    339306 | PA      | $319668.52    | 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        |   5284850 | PA      | $4722425.68   | 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        |    320344 | PA      | $331077.39    | 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        |   3042359 | PA      | $2887148.91   | 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        |    300948 | PA      | $299850.37    | 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        |   4708692 | PA      | $4644888.67   | 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        |   1747285 | PA      | $1794378.60   | 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        |    587689 | PA      | $548833.37    | 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        |    472070 | PA      | $452891.17    | 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        |    144847 | PA      | $143614.46    | 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        |   2038418 | PA      | $2027633.26   | 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        |  10252406 | PA      | $10515915.92  | 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        |      2539 | PA      | $2595.07      | 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        |    153167 | PA      | $153216.03    | 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        |  10032101 | PA      | $10099703.16  | 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        |    480918 | PA      | $459916.49    | 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        |   2948799 | PA      | $2385258.76   | 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        |   3530840 | PA      | $3523477.63   | 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        |   2813695 | PA      | $2527273.26   | 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        |    230751 | PA      | $225028.91    | 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        |    432524 | PA      | $430577.32    | 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        |   1476678 | PA      | $1345096.35   | 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        |   2788767 | PA      | $2320283.04   | 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        |  50985586 | PA      | $40827554.13  | 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        |  28994682 | PA      | $28601798.22  | 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        |    645665 | PA      | $655603.24    | 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        |     94418 | PA      | $99925.84     | 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        |     37924 | PA      | $38518.06     | 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        |    553538 | PA      | $560913.50    | 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        |   9076889 | PA      | $9189111.76   | 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        |   8282688 | PA      | $8333325.17   | 0.05%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4571                      | CUSIP: 31418ECH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1644751 | PA      | $1463317.94   | 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        |    439996 | PA      | $423820.34    | 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        |      3939 | PA      | $4137.31      | 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        |   3825493 | PA      | $3890721.69   | 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        |    372264 | PA      | $360947.24    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0007                      | CUSIP: 36179MAG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    151968 | PA      | $150350.11    | 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        |    325720 | PA      | $311546.34    | 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        |   1220211 | PA      | $1170924.74   | 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        |     31505 | PA      | $32738.33     | 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        |   2456485 | PA      | $2373469.02   | 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        |   3594065 | PA      | $3047579.81   | 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        |   3993139 | PA      | $4054259.90   | 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        |    245552 | PA      | $219789.51    | 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        |   9204026 | PA      | $8921742.68   | 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        |   2509527 | PA      | $2567000.82   | 0.02%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7563                      | CUSIP: 3132DVML6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9919300 | PA      | $9680174.89   | 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        |    556073 | PA      | $564789.88    | 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        |      6286 | PA      | $6582.23      | 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        |     48689 | PA      | $51407.27     | 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        |  30380499 | PA      | $31494421.42  | 0.19%             | 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        |     23277 | PA      | $23164.05     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM3456                      | CUSIP: 3131XWZV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1118744 | PA      | $1071109.62   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4237                      | CUSIP: 31418DV74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16068739 | PA      | $12877352.39  | 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        |   1708564 | PA      | $1510619.49   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8099                      | CUSIP: 3132DV7L3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12554844 | PA      | $10508533.92  | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3378                      | CUSIP: 36179RXF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    161584 | PA      | $159818.31    | 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        |     35520 | PA      | $34572.10     | 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        |  10340000 | PA      | $10664068.01  | 0.06%             | 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        |      2097 | PA      | $2176.49      | 0.00%             | 2040-11-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6020                      | CUSIP: 3132DTVM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5755486 | PA      | $5948379.65   | 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        |    300558 | PA      | $294535.88    | 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        |   5596734 | PA      | $4855806.50   | 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        |   1482112 | PA      | $1397705.79   | 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        |  15199851 | PA      | $12086033.80  | 0.07%             | 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        |    530668 | PA      | $427594.86    | 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        |    399134 | PA      | $394993.74    | 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        |  13148551 | PA      | $13021034.89  | 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        |     56268 | PA      | $51137.64     | 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        |   4292751 | PA      | $3701540.28   | 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        |    140738 | PA      | $138257.72    | 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        |   1606411 | PA      | $1483976.06   | 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        |    896606 | PA      | $897398.43    | 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        |   2464078 | PA      | $2601589.84   | 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        |   1533646 | PA      | $1274571.77   | 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        |     14753 | PA      | $14358.10     | 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        |     18064 | PA      | $17142.09     | 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        |    402064 | PA      | $416536.60    | 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        |     64450 | PA      | $51710.45     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7313                      | CUSIP: 36179WDS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8712952 | PA      | $7733436.23   | 0.05%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8064                      | CUSIP: 3132DV5Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    708164 | PA      | $668937.58    | 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        |   2147758 | PA      | $1809776.84   | 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        |   3680135 | PA      | $3834045.88   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4344                      | CUSIP: 3132E0ZH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3772376 | PA      | $3922187.26   | 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        |     62683 | PA      | $60718.06     | 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        |     72199 | PA      | $71755.81     | 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        |     76612 | PA      | $79561.14     | 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        |   1209126 | PA      | $1273773.38   | 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        |    283106 | PA      | $265085.96    | 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        |    123690 | PA      | $114591.29    | 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        |    920512 | PA      | $847334.24    | 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        |    334493 | PA      | $329042.31    | 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        |   1284653 | PA      | $1160285.09   | 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        |    450746 | PA      | $425604.02    | 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        |   2600688 | PA      | $2384167.04   | 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        |    401667 | PA      | $400788.94    | 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        |   3219101 | PA      | $2829052.33   | 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        |    236936 | PA      | $219566.20    | 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        |    281522 | PA      | $271122.27    | 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        |    678643 | PA      | $701132.00    | 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        |    190935 | PA      | $177528.00    | 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        |    247985 | PA      | $252170.22    | 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        |      1055 | PA      | $1082.09      | 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        |    200696 | PA      | $200344.45    | 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        |   8233757 | PA      | $8520002.00   | 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        |    605881 | PA      | $589821.37    | 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        |    182702 | PA      | $173701.39    | 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        |  34323797 | PA      | $33074592.43  | 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        |   1087111 | PA      | $1102589.51   | 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        |    629418 | PA      | $605458.26    | 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        |    784793 | PA      | $722110.25    | 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        |   1096332 | PA      | $1157614.92   | 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        |   3922970 | PA      | $3175709.64   | 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        |   8211418 | PA      | $7436102.34   | 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        |   2615204 | PA      | $2583036.00   | 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        |    897589 | PA      | $909041.98    | 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        |   5736518 | PA      | $4777168.05   | 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        |     22691 | PA      | $23386.43     | 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        |   9135422 | PA      | $8208888.84   | 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        |   3966512 | PA      | $3338604.80   | 0.02%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18569                      | CUSIP: 3128MMT37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327006 | PA      | $320712.83    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5990                      | CUSIP: 3138WTUQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125749 | PA      | $114578.10    | 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        |  10469440 | PA      | $10722170.16  | 0.07%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3657                      | CUSIP: 31418DB35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    689376 | PA      | $667909.88    | 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        |    307553 | PA      | $311517.91    | 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        |   4705165 | PA      | $4880502.29   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2679                      | CUSIP: 36179Q6Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1825852 | PA      | $1753426.34   | 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        |    116380 | PA      | $115960.17    | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4867                      | CUSIP: 31418EMR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    455051 | PA      | $439530.07    | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 4 9/25                    | CUSIP: 21H040699<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -2500000 | PA      | $-2331371.00  | -0.01%            | 2025-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE5069                      | CUSIP: 3140FQT31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    368150 | PA      | $331825.47    | 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        |   1255310 | PA      | $1174048.71   | 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        |    175844 | PA      | $172365.64    | 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        |     14861 | PA      | $15728.69     | 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        |  11630281 | PA      | $11918088.89  | 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        |  18762540 | PA      | $15909654.25  | 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        |    253466 | PA      | $234979.85    | 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        |    713521 | PA      | $688655.58    | 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        |   4726584 | PA      | $4556038.56   | 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        |      1266 | PA      | $1331.22      | 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        |   1236333 | PA      | $1083439.71   | 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        |   3596418 | PA      | $3547686.09   | 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        |    900990 | PA      | $806457.95    | 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        |   8389964 | PA      | $8014375.90   | 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        |    324785 | PA      | $288748.71    | 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        |   5927379 | PA      | $6015481.30   | 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        |   7673729 | PA      | $8088814.33   | 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        |     18215 | PA      | $17234.35     | 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        |   3714700 | NS      | $371432854.00 | 2.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6411                      | CUSIP: 36179VDQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3506834 | PA      | $3324099.89   | 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        |   2298650 | PA      | $2325632.81   | 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        |   6171358 | PA      | $5335051.96   | 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        |     46041 | PA      | $44813.04     | 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        |      4059 | PA      | $4216.46      | 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        |    701107 | PA      | $690082.44    | 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        |  17069191 | PA      | $17282454.94  | 0.11%             | 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        |     48146 | PA      | $46641.00     | 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        |    318610 | PA      | $312140.77    | 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        |    254147 | PA      | $222396.24    | 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        |  60948341 | PA      | $48443515.23  | 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        |     94068 | PA      | $95540.92     | 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        |   5679233 | PA      | $4590334.57   | 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        |   7648086 | PA      | $7463712.41   | 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        |    943002 | PA      | $866663.42    | 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        |   3785588 | PA      | $3824110.15   | 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        |    724999 | PA      | $669956.00    | 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        |   2376807 | PA      | $2426247.04   | 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        |     23287 | PA      | $23227.19     | 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        |     10174 | PA      | $9931.52      | 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        |  13220261 | PA      | $10033708.78  | 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        |   2186029 | PA      | $1847490.25   | 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        |  25235660 | PA      | $20972670.81  | 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        |  31749735 | PA      | $28751950.25  | 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        |    187205 | PA      | $180794.60    | 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        |      9642 | PA      | $9593.30      | 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        |   1839485 | PA      | $1695437.19   | 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        |   2026127 | PA      | $1897921.86   | 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        |   1256569 | PA      | $1255024.65   | 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        |   8987107 | PA      | $7600938.59   | 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        |   2050443 | PA      | $1735465.16   | 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        |    180669 | PA      | $177329.56    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9909                      | CUSIP: 36180AAJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3501093 | PA      | $3621671.65   | 0.02%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4741                      | CUSIP: 3140XLHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1240988 | PA      | $1292501.03   | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735402                      | CUSIP: 31402RAB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    594663 | PA      | $602997.18    | 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        |   6285044 | PA      | $5087847.46   | 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        |  32490445 | PA      | $27306523.25  | 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        |  10004651 | PA      | $9914231.56   | 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        |    556278 | PA      | $548897.08    | 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        |    313734 | PA      | $314011.17    | 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        |   3181476 | PA      | $3209874.07   | 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        |   1073642 | PA      | $1011152.02   | 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        |  13310589 | PA      | $11776816.63  | 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        |   1266321 | PA      | $1114467.45   | 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        |     26338 | PA      | $25551.67     | 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        |   1808435 | PA      | $1892120.95   | 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        |    849003 | PA      | $815197.11    | 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        |      4682 | PA      | $4980.20      | 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        |   3153651 | PA      | $3125701.48   | 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        |    362461 | PA      | $332174.06    | 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        |    324112 | PA      | $272196.32    | 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        |   4164034 | PA      | $3735203.40   | 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        |    162919 | PA      | $155473.95    | 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        |  11452671 | PA      | $9235337.51   | 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        |   5420629 | PA      | $4537121.95   | 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        |  21594823 | PA      | $21765091.92  | 0.13%             | 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        |  22009555 | PA      | $20607805.82  | 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        |   6655959 | PA      | $6586729.47   | 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        |    469530 | PA      | $445063.65    | 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        |  13138099 | PA      | $13306353.59  | 0.08%             | 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        |   4529473 | PA      | $4602459.38   | 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        |    322567 | PA      | $302738.32    | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 6 9/25                    | CUSIP: 21H060697<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26300000 | PA      | $26824761.27  | 0.16%             | 2025-09-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254766                      | CUSIP: 31371K6B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301188 | PA      | $304889.07    | 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        |  10038683 | PA      | $10340759.30  | 0.06%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4769                      | CUSIP: 3132A5JN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    316658 | PA      | $300503.70    | 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        |   3814493 | PA      | $3611992.06   | 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        |    126936 | PA      | $128696.24    | 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        |   4887549 | PA      | $4680970.14   | 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        |     28874 | PA      | $28884.74     | 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        |    236215 | PA      | $228251.86    | 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        |   7002443 | PA      | $5880810.88   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08650                      | CUSIP: 3128MJWL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1323662 | PA      | $1234681.23   | 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        |   2518126 | PA      | $2597799.50   | 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        |    773822 | PA      | $731200.86    | 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        |     80236 | PA      | $75189.64     | 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        |     98102 | PA      | $94336.13     | 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        |  16092408 | PA      | $14271973.45  | 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        |    751411 | PA      | $712307.17    | 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        |  11386974 | PA      | $11661853.63  | 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        |    115596 | PA      | $119042.77    | 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        |    477486 | PA      | $451368.40    | 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        |    180084 | PA      | $185983.16    | 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        |   1101799 | PA      | $1046278.14   | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4199                      | CUSIP: 3140QBUZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315908 | PA      | $318735.75    | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9407                      | CUSIP: 3138ERNZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28379 | PA      | $28339.91     | 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        |   5093008 | PA      | $5241323.06   | 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        |   2145142 | PA      | $2174524.50   | 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        |    234210 | PA      | $214650.73    | 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        |   2476164 | PA      | $2555282.95   | 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        |     37788 | PA      | $37793.41     | 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        |   1055471 | PA      | $1000269.49   | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 9/25                  | CUSIP: 01F052698<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2410000 | PA      | $-2424121.15  | -0.01%            | 2025-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14813                      | CUSIP: 3128MDSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     66185 | PA      | $65325.58     | 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        |  11490321 | PA      | $10611446.06  | 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        |   7492054 | PA      | $7768902.75   | 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        |    183406 | PA      | $179994.24    | 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        |    435530 | PA      | $407441.52    | 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        |    447751 | PA      | $419092.75    | 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        |   8273798 | PA      | $7393284.28   | 0.05%             | 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        |   8057104 | PA      | $7156354.77   | 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        |  30143294 | PA      | $24043545.26  | 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        |   1002804 | PA      | $930229.70    | 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        |    955978 | PA      | $855675.81    | 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        |    516391 | PA      | $475938.25    | 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        |    186600 | PA      | $181214.49    | 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        |   1127573 | PA      | $1082029.28   | 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        |   2072315 | PA      | $1905951.63   | 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        |    164381 | PA      | $157130.85    | 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        |   3110808 | PA      | $3136705.11   | 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        |     57344 | PA      | $58244.27     | 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        |    309663 | PA      | $309178.43    | 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        |    283396 | PA      | $268937.71    | 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        |   5796502 | PA      | $5275919.51   | 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        |   1565004 | PA      | $1449882.32   | 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        |  30383825 | PA      | $24311362.46  | 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        |     57805 | PA      | $60107.14     | 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        |  13687035 | PA      | $13809207.02  | 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        |   3423368 | PA      | $3061715.51   | 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        |    401116 | PA      | $368601.66    | 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        |   4914101 | PA      | $4980999.94   | 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        |    104563 | PA      | $99462.80     | 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        |  11608354 | PA      | $10113074.83  | 0.06%             | 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        |   1298892 | PA      | $1186169.32   | 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        |   1087023 | PA      | $1048467.49   | 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        |   3563308 | PA      | $2884556.68   | 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        |    953874 | PA      | $946566.94    | 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        |   1046792 | PA      | $880100.79    | 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        |    399428 | PA      | $367986.92    | 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        |   2605741 | PA      | $2376605.18   | 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        |   3990864 | PA      | $3929579.38   | 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        |   8758069 | PA      | $8811611.95   | 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        |    496338 | PA      | $492573.65    | 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        |   3704440 | PA      | $3845765.07   | 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        |     98232 | PA      | $99717.58     | 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        |    183496 | PA      | $184220.69    | 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        |   2975303 | PA      | $2673541.57   | 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        |   1222777 | PA      | $1116016.54   | 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        |    259266 | PA      | $232119.59    | 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        |       952 | PA      | $963.95       | 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        |    587187 | PA      | $579120.58    | 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        |    866153 | PA      | $846626.12    | 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        |     26322 | PA      | $26314.11     | 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        |  10040954 | PA      | $10251778.15  | 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        |   4415179 | PA      | $4395364.91   | 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        |   2906029 | PA      | $2592289.66   | 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        |   2857840 | PA      | $2689897.34   | 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        |   6613996 | PA      | $6777790.58   | 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        |  33364685 | PA      | $26665193.33  | 0.16%             | 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        |   2209941 | PA      | $2126106.28   | 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        |  19464816 | PA      | $18807010.42  | 0.11%             | 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        |  15491272 | PA      | $14982273.51  | 0.09%             | 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        |   6612491 | PA      | $6395223.98   | 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        |   2211488 | PA      | $2040518.51   | 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        |     22310 | PA      | $22120.87     | 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        |     39519 | PA      | $40181.75     | 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        |   6576941 | PA      | $6731596.46   | 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        |   3637893 | PA      | $3846893.51   | 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        |     28594 | PA      | $28984.54     | 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        |   1227743 | PA      | $1178536.31   | 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        |   3974124 | PA      | $4088432.42   | 0.02%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4761                      | CUSIP: 3140X8JF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2427344 | PA      | $1974077.97   | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B8336                      | CUSIP: 3128UGUL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9579 | PA      | $9944.21      | 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        |    166765 | PA      | $163101.22    | 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        |    942290 | PA      | $912805.47    | 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        |     22003 | PA      | $23059.06     | 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        |    889358 | PA      | $846487.60    | 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        |   3319814 | PA      | $3150449.82   | 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        |   3183601 | PA      | $2783925.19   | 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        |    375811 | PA      | $381258.47    | 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        |     57889 | PA      | $61156.54     | 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        |   2866494 | PA      | $2953605.95   | 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        |     87776 | PA      | $86389.92     | 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        |    237332 | PA      | $245863.61    | 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        |   1394783 | PA      | $1254628.77   | 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        |    293076 | PA      | $297983.29    | 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        |     97151 | PA      | $97449.67     | 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        |   3439503 | PA      | $3315657.00   | 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        |   2186821 | PA      | $1857726.73   | 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        |    250979 | PA      | $247452.31    | 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        |   5536021 | PA      | $5225913.89   | 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        |     38502 | PA      | $38618.71     | 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        |    180688 | PA      | $183521.48    | 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        |   4295307 | PA      | $4459173.61   | 0.03%             | 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        |   5134951 | PA      | $4552881.54   | 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        |     13186 | PA      | $13163.77     | 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        |    192109 | PA      | $187870.16    | 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        |    171054 | PA      | $162059.75    | 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        |  25799980 | PA      | $21983587.48  | 0.13%             | 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        |     42697 | PA      | $42666.40     | 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        |   2285217 | PA      | $2170062.38   | 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        |      3773 | PA      | $3850.93      | 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        |   1092767 | PA      | $1043164.42   | 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        |   5890150 | PA      | $6153973.53   | 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        |   7507720 | PA      | $6465578.30   | 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        |    162925 | PA      | $155631.29    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8488                      | CUSIP: 36179XND4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8603822 | PA      | $8097014.41   | 0.05%             | 2052-12-20      | 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        |    150421 | PA      | $146612.55    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8112                      | CUSIP: 3138ETAN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2177607 | PA      | $2026268.81   | 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        |     56462 | PA      | $55841.31     | 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        |    536477 | PA      | $524809.48    | 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        |   1215564 | PA      | $1270769.33   | 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        |     49893 | PA      | $50599.51     | 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        |     21299 | PA      | $20673.94     | 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        |   4002754 | PA      | $3969529.99   | 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        |   2875021 | PA      | $2701405.57   | 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        |    197744 | PA      | $199081.69    | 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        |    318682 | PA      | $311286.97    | 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        |    149760 | PA      | $147467.02    | 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        |  17970434 | PA      | $14468743.62  | 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        |    448586 | PA      | $411095.96    | 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        |     33445 | PA      | $32961.41     | 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        |   1435338 | PA      | $1341031.17   | 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        |   3626239 | PA      | $3659740.38   | 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        |     24272 | PA      | $23984.87     | 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        |  22872743 | PA      | $19008914.19  | 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        |     76203 | PA      | $80683.98     | 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        |   2082324 | PA      | $2060665.78   | 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        |   7083807 | PA      | $6469748.67   | 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        |      4990 | PA      | $5096.43      | 0.00%             | 2037-09-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5121                      | CUSIP: 3140XLVP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1900211 | PA      | $1978741.87   | 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        |   6093701 | PA      | $5867637.62   | 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        |    193563 | PA      | $186602.07    | 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        |    335850 | PA      | $346349.10    | 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        |     54416 | PA      | $55258.33     | 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        |    988913 | PA      | $926719.10    | 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        |    468049 | PA      | $475806.50    | 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        |    176089 | PA      | $185599.18    | 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        |   2409932 | PA      | $2152570.10   | 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        |   4726358 | PA      | $4811378.16   | 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        |   9791549 | PA      | $9695590.14   | 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        |    206959 | PA      | $214374.09    | 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        |   1194557 | PA      | $1112224.55   | 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        |     23453 | PA      | $24717.53     | 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        |    226597 | PA      | $220480.69    | 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        |    461338 | PA      | $421202.92    | 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        |   2522582 | PA      | $2402960.26   | 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        |     51782 | PA      | $50500.35     | 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        |     46712 | PA      | $46502.43     | 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        |   7442975 | PA      | $5974040.97   | 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        |    191995 | PA      | $171851.41    | 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        |      1182 | PA      | $1218.86      | 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        |    860827 | PA      | $788793.49    | 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        |     47947 | PA      | $47139.68     | 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        |   1094381 | PA      | $1052733.16   | 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        |   2010132 | PA      | $1942014.65   | 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        |      1346 | PA      | $1342.68      | 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        |     24015 | PA      | $23789.98     | 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        |    359417 | PA      | $354841.59    | 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        |      3913 | PA      | $4065.57      | 0.00%             | 2041-11-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL2349                      | CUSIP: 3131XHTE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    695815 | PA      | $659773.42    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8491                      | CUSIP: 36179XNG7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7909513 | PA      | $8010806.65   | 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        |   2532804 | PA      | $2354406.28   | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9950                      | CUSIP: 3138ESBU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1275848 | PA      | $1222321.00   | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1287                      | CUSIP: 36179NNC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1096659 | PA      | $1089479.65   | 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        |   2136747 | PA      | $2184532.10   | 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        |    331867 | PA      | $311117.48    | 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        |    843719 | PA      | $859687.79    | 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        |  12646062 | PA      | $11312098.91  | 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        |   2393619 | PA      | $2471596.97   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1776                      | CUSIP: 3132AD6M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1592345 | PA      | $1457795.73   | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5645                      | CUSIP: 3138WFHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    418793 | PA      | $389883.32    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV2623                      | CUSIP: 3140MF4H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172106 | PA      | $166322.17    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH8835                      | CUSIP: 3138AAY96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1849 | PA      | $1878.58      | 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        |   4514434 | PA      | $4203236.73   | 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        |    134324 | PA      | $134271.68    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4562                      | CUSIP: 31418EB82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12456780 | PA      | $9936046.05   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18581                      | CUSIP: 3128MMUF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1559801 | PA      | $1514155.55   | 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        |     85291 | PA      | $84864.38     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1457                      | CUSIP: 3140XGTP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3168913 | PA      | $2518744.32   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1779                      | CUSIP: 3131XU6Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2722214 | PA      | $2431503.77   | 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        |   6565112 | PA      | $6336064.10   | 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        |   2118063 | PA      | $1872676.03   | 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        |     12437 | PA      | $12895.04     | 0.00%             | 2039-08-01      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1887                      | CUSIP: 3133L8CY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3218749 | PA      | $2970540.34   | 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        |    586143 | PA      | $565083.58    | 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        |    154924 | PA      | $159676.40    | 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        |    139396 | PA      | $138634.28    | 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        |     16966 | PA      | $17004.15     | 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        |     37415 | PA      | $38748.13     | 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        |    155590 | PA      | $142327.16    | 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        |   1314224 | PA      | $1258104.95   | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4263                      | CUSIP: 36179SWY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    627881 | PA      | $599283.99    | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ0881                      | CUSIP: 3138YR6T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    333555 | PA      | $324360.77    | 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        |   1375666 | PA      | $1328524.71   | 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        |   2861711 | PA      | $2626726.46   | 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        |   1631595 | PA      | $1367687.48   | 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        |   3448980 | PA      | $3528465.06   | 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        |    173073 | PA      | $172439.17    | 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        |   1678006 | PA      | $1661036.72   | 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        |   1494223 | PA      | $1319709.80   | 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        |    601443 | PA      | $549729.91    | 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        |   5341089 | PA      | $4457193.41   | 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        |    319436 | PA      | $313597.22    | 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        |   1540399 | PA      | $1466093.52   | 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        |   2143690 | PA      | $2247244.45   | 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        |     92355 | PA      | $89593.85     | 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        |   5489138 | PA      | $5005063.43   | 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        |   1671955 | PA      | $1588495.78   | 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        |   2705774 | PA      | $2617404.51   | 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        |    191705 | PA      | $197825.66    | 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        |    133102 | PA      | $126848.26    | 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        |   1246002 | PA      | $1243598.19   | 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        |  26746057 | PA      | $20332740.38  | 0.12%             | 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        |   3825253 | PA      | $3567054.09   | 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        |    121273 | PA      | $120688.11    | 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        |   1310677 | PA      | $1277911.66   | 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        |   2511959 | PA      | $2122944.88   | 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        |  30019594 | PA      | $26663532.22  | 0.16%             | 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        |   1361570 | PA      | $1253328.44   | 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        |   3754852 | PA      | $3163970.48   | 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        |    353232 | PA      | $352030.26    | 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        |   4822928 | PA      | $4507550.82   | 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        |    684219 | PA      | $684432.97    | 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        |    185629 | PA      | $191046.42    | 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        |    376913 | PA      | $367018.21    | 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        |   9635693 | PA      | $8898675.22   | 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        |   2963976 | PA      | $2714636.23   | 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        |    190551 | PA      | $193508.36    | 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        |   3444792 | PA      | $2788616.27   | 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        |   1962079 | PA      | $1803033.23   | 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        |    215959 | PA      | $208593.81    | 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        |     84707 | PA      | $82485.04     | 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        |    215274 | PA      | $218635.89    | 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        |      4443 | PA      | $4500.30      | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 5.5 9/25                  | CUSIP: 01F052490<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $11243203.40  | 0.07%             | 2025-09-18      | 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        |    760692 | PA      | $697332.85    | 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        |  19338399 | PA      | $16319391.05  | 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        |   8023461 | PA      | $8190357.45   | 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        |  25593924 | PA      | $21550347.38  | 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        |   4163247 | PA      | $4361430.87   | 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        |   1018472 | PA      | $934214.30    | 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        |    263715 | PA      | $263444.79    | 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        |    289732 | PA      | $281994.09    | 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        |    846474 | PA      | $795618.68    | 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        |    455834 | PA      | $444069.16    | 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        |    275859 | PA      | $261785.31    | 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        |   5492125 | PA      | $4797484.18   | 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        |     50990 | PA      | $50846.26     | 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        |   2170035 | PA      | $1986239.75   | 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        |   2060029 | PA      | $1982817.85   | 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        |    957041 | PA      | $970149.45    | 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        |    454094 | PA      | $383518.01    | 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        |  10184073 | PA      | $8619649.79   | 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        |    206071 | PA      | $188588.50    | 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        |   5512412 | PA      | $5494564.54   | 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        |   1588193 | PA      | $1339260.43   | 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        |   5292719 | PA      | $4730285.49   | 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        |    103866 | PA      | $101361.79    | 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        |     27614 | PA      | $28699.97     | 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        |   1791730 | PA      | $1577431.33   | 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        |  33469808 | PA      | $26780585.52  | 0.16%             | 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        |     73049 | PA      | $72079.99     | 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        |   2555321 | PA      | $2588713.01   | 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        |   5709194 | PA      | $5667069.92   | 0.03%             | 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        |    638057 | PA      | $629818.48    | 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        |      7869 | PA      | $7611.25      | 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        |      4627 | PA      | $4806.18      | 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        |    142486 | PA      | $141535.33    | 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        |   6092680 | PA      | $6226504.75   | 0.04%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4805                      | CUSIP: 31418EKT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1263835 | PA      | $1221123.99   | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1526                      | CUSIP: 3132ADVT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    356877 | PA      | $340120.30    | 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        |    199965 | PA      | $195284.26    | 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        |     80948 | PA      | $81045.29     | 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        |   2061560 | PA      | $1993822.87   | 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        |   4071999 | PA      | $3745103.50   | 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        |    864449 | PA      | $850855.48    | 0.01%             | 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        |    777590 | PA      | $733904.26    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91875                      | CUSIP: 3128P8CL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315134 | PA      | $304519.15    | 0.00%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5231                      | CUSIP: 3140QCY59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3968895 | PA      | $3647177.17   | 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        |     60452 | PA      | $60269.41     | 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        |    162768 | PA      | $149746.69    | 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        |     91883 | PA      | $93431.34     | 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        |    189037 | PA      | $186068.97    | 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        |   1372936 | PA      | $1301183.33   | 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        |   9826115 | PA      | $8780399.89   | 0.05%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1037                      | CUSIP: 31418AEK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    388631 | PA      | $377481.30    | 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        |    299863 | PA      | $292443.85    | 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        |   4860132 | PA      | $4342907.13   | 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        |   1167512 | PA      | $1202970.47   | 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        |   2954410 | PA      | $2736767.85   | 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        |   3235793 | PA      | $2736705.11   | 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        |     73900 | PA      | $70683.78     | 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        |    265753 | PA      | $274758.20    | 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        |   4886348 | PA      | $5090705.02   | 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        |  16769098 | PA      | $14487590.28  | 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        |    557811 | PA      | $574970.55    | 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        |  11049050 | PA      | $9596326.01   | 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        |   1783115 | PA      | $1725163.61   | 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        |    374350 | PA      | $395457.92    | 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        |   6900401 | PA      | $6094489.41   | 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        |    537195 | PA      | $553860.62    | 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        |   2442137 | PA      | $2326329.93   | 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        |  10055291 | PA      | $9982912.11   | 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        |    995024 | PA      | $1020598.01   | 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        |     62328 | PA      | $60504.52     | 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        |    908939 | PA      | $838526.89    | 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        |     91147 | PA      | $92467.44     | 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        |   3288174 | PA      | $2972753.57   | 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        |     23996 | PA      | $23326.44     | 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        |     24223 | PA      | $23962.21     | 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        |   1897200 | PA      | $1854427.92   | 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        |   5761324 | PA      | $5433216.76   | 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        |   4367347 | PA      | $4405367.08   | 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        |      6376 | PA      | $6622.34      | 0.00%             | 2042-01-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16447                      | CUSIP: 3128MFL48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13474 | PA      | $13357.33     | 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        |   3484143 | PA      | $2922796.57   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18565                      | CUSIP: 3128MMTX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    395931 | PA      | $388311.17    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08831                      | CUSIP: 3128MJ4R8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2665236 | PA      | $2532506.83   | 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        |   2183089 | PA      | $2103465.54   | 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        |     60553 | PA      | $57463.63     | 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        |    119487 | PA      | $123914.21    | 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        |    250486 | PA      | $263996.72    | 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        |     23027 | PA      | $22875.08     | 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        |     17469 | PA      | $17978.75     | 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        |  24942087 | PA      | $20861195.29  | 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        |    916995 | PA      | $871646.44    | 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        |   7931560 | PA      | $7007695.97   | 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        |     35255 | PA      | $35139.78     | 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        |  11267150 | PA      | $11544682.72  | 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        |    332453 | PA      | $332712.11    | 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        |    221575 | PA      | $207572.17    | 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        |   1696191 | PA      | $1433095.41   | 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        |     68242 | PA      | $64751.42     | 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        |   1850638 | PA      | $1845803.27   | 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        |   2030247 | PA      | $1742480.04   | 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        |   4377571 | PA      | $4053503.97   | 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        |    173663 | PA      | $176587.55    | 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        |   6034246 | PA      | $5112954.12   | 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        |   1508758 | PA      | $1315293.03   | 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        |  11328465 | PA      | $11225680.78  | 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        |    165527 | PA      | $151204.66    | 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        |   1018107 | PA      | $870051.65    | 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        |    152964 | PA      | $147225.12    | 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        |    176887 | PA      | $175109.56    | 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        |   2423302 | PA      | $2349213.74   | 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        |     73626 | PA      | $73592.58     | 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        |    184581 | PA      | $183983.95    | 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        |    621973 | PA      | $561772.92    | 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        |   7222688 | PA      | $7559740.03   | 0.05%             | 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        |    901793 | PA      | $841817.67    | 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        |       573 | PA      | $581.16       | 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        |   2245838 | PA      | $2108175.06   | 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        |     63430 | PA      | $64414.12     | 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        |      7982 | PA      | $7788.26      | 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        |   2375094 | PA      | $2466171.28   | 0.02%             | 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        |   4926346 | PA      | $3972563.96   | 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        |   1579064 | PA      | $1458219.89   | 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        |      6595 | PA      | $6639.21      | 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        |     21812 | PA      | $21787.34     | 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        |  10048260 | PA      | $10062827.88  | 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        |   1882182 | PA      | $1879695.11   | 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        |   9401394 | PA      | $8676421.64   | 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        |    145709 | PA      | $147983.80    | 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        |      9118 | PA      | $8874.46      | 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        |  13410780 | PA      | $13288054.77  | 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        |  21575329 | PA      | $21844893.04  | 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        |    481524 | PA      | $449102.43    | 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        |   3959562 | PA      | $3562697.25   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5627                      | CUSIP: 3133KMHC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2051362 | PA      | $1744576.23   | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0423                      | CUSIP: 3140QKPH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10817280 | PA      | $9710028.32   | 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        |    924007 | PA      | $794735.19    | 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        |   1552107 | PA      | $1315135.58   | 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        |     42534 | PA      | $43249.12     | 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        |   1822645 | PA      | $1753584.91   | 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        |   4000120 | PA      | $4107932.75   | 0.03%             | 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        |   1534419 | PA      | $1592539.57   | 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        |   1022609 | PA      | $942113.09    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3028                      | CUSIP: 31418CLJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177795 | PA      | $171105.74    | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7245                      | CUSIP: 3138WHBP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    324404 | PA      | $300541.10    | 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        |   4816868 | PA      | $4964757.14   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18552                      | CUSIP: 3128MMTJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    257530 | PA      | $252727.67    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3465                      | CUSIP: 31418CZ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    578041 | PA      | $563363.58    | 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        |  13825328 | PA      | $13909850.50  | 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        |    665258 | PA      | $641784.65    | 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        |   4462773 | PA      | $4343640.17   | 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        |   2078888 | PA      | $1876321.59   | 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        |  20447778 | PA      | $20613795.40  | 0.13%             | 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        |    376632 | PA      | $382504.77    | 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        |   1562016 | PA      | $1448683.77   | 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        |    911200 | PA      | $833329.36    | 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        |    935383 | PA      | $880453.52    | 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        |    189805 | PA      | $180893.18    | 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        |      2818 | PA      | $2971.75      | 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        |   6124196 | PA      | $5095394.05   | 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        |    812554 | PA      | $859257.04    | 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        |   4250550 | PA      | $3601588.34   | 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        |    929236 | PA      | $925883.75    | 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        |   1519704 | PA      | $1398891.34   | 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        |  14015894 | PA      | $11249739.90  | 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        |    130703 | PA      | $110788.80    | 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        |  12826724 | PA      | $10659941.78  | 0.06%             | 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        |    411410 | PA      | $400980.57    | 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        |   5995200 | PA      | $6096333.63   | 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        |     76169 | PA      | $75417.29     | 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        |    114850 | PA      | $110759.69    | 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        |   1510967 | PA      | $1379280.59   | 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        |  14067323 | PA      | $14515902.70  | 0.09%             | 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        |   2797841 | PA      | $2494466.04   | 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        |   2480345 | PA      | $2512110.02   | 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        |     41202 | PA      | $41830.96     | 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        |     20461 | PA      | $21244.40     | 0.00%             | 2041-11-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8070                      | CUSIP: 3132DV6F7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    457902 | PA      | $432395.32    | 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        |    567934 | PA      | $531030.61    | 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        |     23596 | PA      | $24554.46     | 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        |     45220 | PA      | $46568.60     | 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        |   1174253 | PA      | $1128241.00   | 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        |     27705 | PA      | $28128.92     | 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        |    231207 | PA      | $234817.42    | 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        |    963801 | PA      | $977002.18    | 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        |    175476 | PA      | $170903.64    | 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        |   1220650 | PA      | $1167150.00   | 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        |   1850985 | PA      | $1663254.48   | 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        |    910905 | PA      | $818519.02    | 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        |   5132081 | PA      | $5153955.16   | 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        |   1221758 | PA      | $1238529.19   | 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        |    227932 | PA      | $227110.00    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09008                      | CUSIP: 31292SAH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298376 | PA      | $273387.74    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8389                      | CUSIP: 3132DWKA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5093016 | PA      | $5446974.79   | 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        |   1796847 | PA      | $1702939.48   | 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        |    553064 | PA      | $509182.91    | 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        |    207197 | PA      | $167729.14    | 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        |   3434911 | PA      | $3347347.48   | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 10/25                   | CUSIP: 01F0306A1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  42415000 | PA      | $36745306.36  | 0.22%             | 2025-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3047                      | CUSIP: 31419DL58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177087 | PA      | $176917.42    | 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        |    440598 | PA      | $401199.77    | 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        |    137432 | PA      | $138842.15    | 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        |    272058 | PA      | $257199.62    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6034                      | CUSIP: 3140QRV42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1254198 | PA      | $1304690.97   | 0.01%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08597                      | CUSIP: 3128MJUX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    732936 | PA      | $686334.93    | 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        |     13160 | PA      | $12460.67     | 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        |   3577081 | PA      | $3513008.54   | 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        |   7636001 | PA      | $6853944.57   | 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        |    534881 | PA      | $493529.70    | 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        |      9279 | PA      | $9672.25      | 0.00%             | 2040-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3488                      | CUSIP: 3132DQ2V7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6436215 | PA      | $5190110.07   | 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        |    288200 | PA      | $287746.51    | 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        |      1222 | PA      | $1290.96      | 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        |    191922 | PA      | $191072.09    | 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        |    242165 | PA      | $242208.41    | 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        |   1428584 | PA      | $1389631.32   | 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        |    998548 | PA      | $897273.38    | 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        |   1360632 | PA      | $1286120.90   | 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        |   6583519 | PA      | $6677259.19   | 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        |   3494196 | PA      | $3379933.01   | 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        |   2121316 | PA      | $2051615.88   | 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        |    924757 | PA      | $869293.59    | 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        |    537221 | PA      | $557780.11    | 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        |   1663697 | PA      | $1517969.30   | 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        |  12897541 | PA      | $9790387.83   | 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        |    160528 | PA      | $149483.79    | 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        |    790223 | PA      | $701076.75    | 0.00%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0540                      | CUSIP: 3132ACS50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2303601 | PA      | $2204076.70   | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4154                      | CUSIP: 3140XKTL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3792645 | PA      | $3947705.40   | 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        |    173187 | PA      | $169769.60    | 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        |   6068475 | PA      | $5958212.98   | 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        |   5636273 | PA      | $4545043.19   | 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        |   4728548 | PA      | $4946253.74   | 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        |   4909542 | PA      | $5035728.59   | 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        |    163764 | PA      | $157889.83    | 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        |    357217 | PA      | $367884.65    | 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        |   2927588 | PA      | $2335166.23   | 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        |   3732226 | PA      | $3950421.49   | 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        |     29623 | PA      | $30123.76     | 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        |   1771258 | PA      | $1601875.21   | 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        |     18359 | PA      | $17582.55     | 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        |   1399423 | PA      | $1395766.58   | 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        |    850499 | PA      | $780494.81    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8526                      | CUSIP: 3132DWPK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21184318 | PA      | $21956091.88  | 0.13%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V82942                      | CUSIP: 3132L8HT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3674978 | PA      | $3235065.17   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5265                      | CUSIP: 36184BZ67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    299510 | PA      | $278723.23    | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4096                      | CUSIP: 31418DRS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10617693 | PA      | $8893754.88   | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5643                      | CUSIP: 31418FHV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6846860 | PA      | $6391110.98   | 0.04%             | 2055-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7797                      | CUSIP: 3140XBUX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4943015 | PA      | $4706287.22   | 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        |   1886760 | PA      | $1700028.27   | 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        |    183757 | PA      | $184999.68    | 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        |   5559352 | PA      | $5830944.47   | 0.04%             | 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        |    150795 | PA      | $153149.89    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3293                      | CUSIP: 3140XJUT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2306386 | PA      | $2327297.26   | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2949                      | CUSIP: 3138EKH32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24218 | PA      | $25242.55     | 0.00%             | 2042-08-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5470                      | CUSIP: 3140X9CG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3950072 | PA      | $3647937.41   | 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        |    436073 | PA      | $425001.01    | 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        |    434056 | PA      | $439015.96    | 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        |    207398 | PA      | $203234.73    | 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        |   1224924 | PA      | $1106289.08   | 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        |  10240621 | PA      | $8993395.23   | 0.05%             | 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        |    601730 | PA      | $570823.84    | 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        |   4047416 | PA      | $3787123.70   | 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        |    739829 | PA      | $752185.73    | 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        |   8421031 | PA      | $8472513.59   | 0.05%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8266                      | CUSIP: 3132DWFF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11727601 | PA      | $11331270.97  | 0.07%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8127                      | CUSIP: 3132DWA45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17047948 | PA      | $12938787.29  | 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        |    189967 | PA      | $185012.23    | 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        |   6630641 | PA      | $6683610.31   | 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        |   1983586 | PA      | $2027542.95   | 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        |   1050001 | PA      | $1010361.87   | 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        |    607539 | PA      | $588214.75    | 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        |    190583 | PA      | $181812.97    | 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        |   1598223 | PA      | $1408566.62   | 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        |  14844622 | PA      | $11266540.89  | 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        |    678819 | PA      | $677932.09    | 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        |    470828 | PA      | $460509.27    | 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        |   1030208 | PA      | $943448.96    | 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        |   2066008 | PA      | $2117171.96   | 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        |    782966 | PA      | $599870.68    | 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        |   1449418 | PA      | $1322867.11   | 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        |    169688 | PA      | $164950.79    | 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        |   9628352 | PA      | $8434634.14   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7193                      | CUSIP: 36179V7E4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18220469 | PA      | $15536642.89  | 0.09%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BT9377                      | CUSIP: 3140LYM34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4930985 | PA      | $3960895.54   | 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        |       422 | PA      | $423.38       | 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        |    233947 | PA      | $216043.05    | 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        |   4985243 | PA      | $4627570.04   | 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        |   5147677 | PA      | $4807444.80   | 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        |   1254208 | PA      | $1215644.68   | 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        |   5694161 | PA      | $4586384.98   | 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        |  18476504 | PA      | $14783819.33  | 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        |    403678 | PA      | $390052.22    | 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        |    141183 | PA      | $138730.19    | 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        |      8035 | PA      | $7907.09      | 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        |    420649 | PA      | $414475.58    | 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        |    803054 | PA      | $773233.72    | 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        |   7539018 | PA      | $6376202.08   | 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        |  23341155 | PA      | $19587845.62  | 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        |   1302504 | PA      | $1182537.59   | 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        |    130270 | PA      | $128076.36    | 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        |   9022924 | PA      | $6848079.26   | 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        |    379564 | PA      | $393206.92    | 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        |     56864 | PA      | $59149.46     | 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        |    908516 | PA      | $839698.39    | 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        |     37396 | PA      | $36721.78     | 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        |   3811782 | PA      | $3815149.27   | 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        |   3839925 | PA      | $3874200.35   | 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        |    504238 | PA      | $479931.39    | 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        |  11716812 | PA      | $9902291.66   | 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        |   1878449 | PA      | $1868994.10   | 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        |   3155088 | PA      | $2674364.03   | 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        |   1478465 | PA      | $1253661.36   | 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        |   3571847 | PA      | $3685910.05   | 0.02%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK4769                      | CUSIP: 3140HJJP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287222 | PA      | $289433.35    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4068                      | CUSIP: 36179SQV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8909521 | PA      | $8002570.20   | 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        |   5454619 | PA      | $4596254.52   | 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        |   3135669 | PA      | $2970799.01   | 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        |   7418270 | PA      | $6528665.53   | 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        |    187446 | PA      | $187127.71    | 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        |   1063880 | PA      | $1026762.91   | 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        |    298556 | PA      | $288475.28    | 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        |   7618440 | PA      | $7911862.43   | 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        |       832 | PA      | $863.72       | 0.00%             | 2040-10-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1091                      | CUSIP: 36179NF86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4022175 | PA      | $3885682.03   | 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        |   8683392 | PA      | $8565052.26   | 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        |    904582 | PA      | $878232.90    | 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        |   4186821 | PA      | $4275220.02   | 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        |     10354 | PA      | $10320.63     | 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        |    329405 | PA      | $311160.55    | 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        |      4548 | PA      | $4512.71      | 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        |    746508 | PA      | $697692.60    | 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        |   2362066 | PA      | $2226808.27   | 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        |   3562584 | PA      | $3596610.11   | 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        |   1197130 | PA      | $1244671.27   | 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        |  15182949 | PA      | $14283854.46  | 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        |     18032 | PA      | $16937.69     | 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        |     61076 | PA      | $63563.90     | 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        |   1322816 | PA      | $1317292.92   | 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        |    637163 | PA      | $574762.59    | 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        |    190827 | PA      | $184362.83    | 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        |     17868 | PA      | $18504.29     | 0.00%             | 2040-12-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA8065                      | CUSIP: 3133A26A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    936849 | PA      | $821870.13    | 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        |      5136 | PA      | $5316.07      | 0.00%             | 2039-10-01      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995050                      | CUSIP: 31416BL71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270618 | PA      | $285015.72    | 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        |   3938700 | PA      | $3495922.87   | 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        |    297151 | PA      | $286458.78    | 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        |    157998 | PA      | $153560.36    | 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        |   1170012 | PA      | $1068505.20   | 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        |   2041921 | PA      | $1924592.09   | 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        |    249202 | PA      | $247820.60    | 0.00%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3243                      | CUSIP: 31418CS96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1694808 | PA      | $1629456.42   | 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        |   8086483 | PA      | $7101613.94   | 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        |   3991681 | PA      | $4109245.45   | 0.03%             | 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        |   2963530 | PA      | $2511066.53   | 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        |       700 | PA      | $697.72       | 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        |    850665 | PA      | $825875.07    | 0.01%             | 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        |   6823909 | PA      | $5524067.51   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0331                      | CUSIP: 3138W9LM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    134536 | PA      | $122585.48    | 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        |    316150 | PA      | $307387.55    | 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        |     47104 | PA      | $46311.03     | 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        |   2846810 | PA      | $2542793.26   | 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        |     54294 | PA      | $54324.61     | 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        |   1682270 | PA      | $1514826.48   | 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        |  12249656 | PA      | $12402704.86  | 0.08%             | 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        |     14663 | PA      | $14388.79     | 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        |    188474 | PA      | $199102.66    | 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        |   4556629 | PA      | $4184421.44   | 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        |    100800 | PA      | $100348.68    | 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        |    262917 | PA      | $256148.21    | 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        |      4606 | PA      | $4778.11      | 0.00%             | 2042-02-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4837                      | CUSIP: 36179TLS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5855954 | PA      | $5411464.04   | 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        |    132662 | PA      | $126116.74    | 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        |    252196 | PA      | $247705.66    | 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        |   3584036 | PA      | $3348077.73   | 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        |    836585 | PA      | $811258.39    | 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        |      3122 | PA      | $3247.58      | 0.00%             | 2040-09-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 908775                      | CUSIP: 31411HT83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2168 | PA      | $2290.19      | 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        |  13346110 | PA      | $11316804.72  | 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        |   1734455 | PA      | $1597294.97   | 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        |   1472772 | PA      | $1407767.40   | 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        |   1110092 | PA      | $1010996.65   | 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        |    976721 | PA      | $925366.44    | 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        |   5851217 | PA      | $4714715.47   | 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        |    167095 | PA      | $167545.78    | 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        |    197753 | PA      | $192231.90    | 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        |   1296109 | PA      | $1262126.21   | 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        |    193413 | PA      | $193157.25    | 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        |    137081 | PA      | $134482.60    | 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        |     24587 | PA      | $24362.63     | 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        |  16933268 | PA      | $14594905.87  | 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        |   5358721 | PA      | $4334624.14   | 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        |     51547 | PA      | $51533.87     | 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        |  12353648 | PA      | $12456196.88  | 0.08%             | 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        |     94596 | PA      | $92957.17     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555967                      | CUSIP: 31385XTY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125016 | PA      | $128784.36    | 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        |   1040754 | PA      | $969695.86    | 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        |    654340 | PA      | $634363.47    | 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        |   3650202 | PA      | $3687346.92   | 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        |    167046 | PA      | $164063.50    | 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        |   5935667 | PA      | $5450124.76   | 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        |       297 | PA      | $299.29       | 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        |   6985176 | PA      | $7184356.42   | 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        |      5265 | PA      | $5571.49      | 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        |    196497 | PA      | $192619.97    | 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        |   1235198 | PA      | $1202197.52   | 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        |   3378933 | PA      | $3511271.68   | 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        |   1316440 | PA      | $1352332.74   | 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        |    639560 | PA      | $583331.34    | 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        |   3392980 | PA      | $2971259.78   | 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        |  36090928 | PA      | $29563172.57  | 0.18%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11218                      | CUSIP: 3132HMK75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190209 | PA      | $179496.93    | 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        |   6214801 | PA      | $6167490.05   | 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        |    712138 | PA      | $698348.99    | 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        |    441122 | PA      | $429445.14    | 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        |    786119 | PA      | $664377.17    | 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        |   1339619 | PA      | $1333607.07   | 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        |    976775 | PA      | $936678.59    | 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        |    257898 | PA      | $247715.30    | 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        |   2787114 | PA      | $2843347.54   | 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        |    687423 | PA      | $653612.67    | 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        |  28522276 | PA      | $21652489.17  | 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        |    740492 | PA      | $736733.50    | 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        |   1954030 | PA      | $1784034.42   | 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        |    412051 | PA      | $375435.40    | 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        |   2129356 | PA      | $1989031.66   | 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        |    410167 | PA      | $396306.01    | 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        |     98888 | PA      | $94507.91     | 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        |    496080 | PA      | $469296.92    | 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        |   1166085 | PA      | $1119652.20   | 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        |    293434 | PA      | $285113.06    | 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        |    153900 | PA      | $156450.96    | 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        |    297088 | PA      | $297226.59    | 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        |   1573005 | PA      | $1479721.05   | 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        |    426301 | PA      | $389252.18    | 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        |    290506 | PA      | $287655.29    | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0536                      | CUSIP: 3132ACSZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9456226 | PA      | $8739942.80   | 0.05%             | 2048-03-01      | 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        |   3482149 | PA      | $3205870.61   | 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        |   2082154 | PA      | $1919102.96   | 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        |    221322 | PA      | $216975.14    | 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        |    974609 | PA      | $899149.41    | 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        |     40980 | PA      | $37385.37     | 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        |    982927 | PA      | $980665.92    | 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        |    100186 | PA      | $104089.61    | 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        |  16591535 | PA      | $15548071.42  | 0.09%             | 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        |    479982 | PA      | $488105.20    | 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        |   5597211 | PA      | $5641925.17   | 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        |     59333 | PA      | $59295.98     | 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        |   7185725 | PA      | $5821454.90   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4413                      | CUSIP: 31418D3X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18426678 | PA      | $14743951.62  | 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        |   3165991 | PA      | $2924690.79   | 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        |     18940 | PA      | $18735.63     | 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        |   6603522 | PA      | $5558169.83   | 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        |  30251515 | PA      | $30490039.02  | 0.19%             | 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        |   2374756 | PA      | $2285345.76   | 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        |     46777 | PA      | $46618.00     | 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        |  36749272 | PA      | $36973942.30  | 0.23%             | 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        |    368454 | PA      | $343941.59    | 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        |     34887 | PA      | $34908.40     | 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        |   5119721 | PA      | $4314057.52   | 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        |    255067 | PA      | $250449.22    | 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        |   4190980 | PA      | $4253623.07   | 0.03%             | 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        |   5499889 | PA      | $5583356.01   | 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        |   1350910 | PA      | $1321298.11   | 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        |   9501205 | PA      | $8441980.67   | 0.05%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04246                      | CUSIP: 31292LWF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183565 | PA      | $168134.62    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7555                      | CUSIP: 3132DVMC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5358238 | PA      | $4729089.54   | 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        |   5720079 | PA      | $5320611.16   | 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        |   2621096 | PA      | $2667426.70   | 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        |   2783972 | PA      | $2495086.41   | 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        |    363321 | PA      | $330105.27    | 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        |    309810 | PA      | $300339.29    | 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        |   5179341 | PA      | $4805631.45   | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256031                      | CUSIP: 31371MLL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       924 | PA      | $921.70       | 0.00%             | 2025-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2516                      | CUSIP: 3140XHYN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    840985 | PA      | $789670.87    | 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        |  26268097 | PA      | $25994877.49  | 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        |     72939 | PA      | $70181.68     | 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        |    729721 | PA      | $668733.53    | 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        |   3455307 | PA      | $3211933.03   | 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        |    208469 | PA      | $166022.80    | 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        |   6224665 | PA      | $5509344.99   | 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        |   1319236 | PA      | $1293204.49   | 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        |    454077 | PA      | $415302.29    | 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        |    402211 | PA      | $353224.55    | 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        |   2736098 | PA      | $2821812.32   | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5256                      | CUSIP: 3132DSZV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5224687 | PA      | $5266425.09   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 310104                      | CUSIP: 31374CNV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243461 | PA      | $251406.73    | 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        |   8056380 | PA      | $8353661.71   | 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        |   6943698 | PA      | $6429945.84   | 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        |   6298495 | PA      | $6648541.08   | 0.04%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784494                      | CUSIP: 3622A27F3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    526415 | PA      | $491123.89    | 0.00%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5047                      | CUSIP: 3132DSTC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3980885 | PA      | $4037567.47   | 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        |    253310 | PA      | $247070.54    | 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        |   3607576 | PA      | $3039870.68   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8367                      | CUSIP: 3132D6JL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4172025 | PA      | $4038783.78   | 0.02%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4570                      | CUSIP: 31418ECG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1275341 | PA      | $1096171.53   | 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        |   7553106 | PA      | $7622886.53   | 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        |   1268509 | PA      | $1185912.07   | 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        |    165448 | PA      | $163785.73    | 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        |  26687370 | PA      | $26917244.71  | 0.16%             | 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        |   1605645 | PA      | $1488803.05   | 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        |   2625428 | PA      | $2494769.99   | 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        |   3809990 | PA      | $3925774.92   | 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        |    805306 | PA      | $791680.55    | 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        |    267835 | PA      | $225436.53    | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2058                      | CUSIP: 3140QMJC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13988323 | PA      | $11214496.17  | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4261                      | CUSIP: 31418DWX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3161796 | PA      | $2912051.49   | 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        |   1155274 | PA      | $1092730.30   | 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        |    248016 | PA      | $247626.64    | 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        |    444421 | PA      | $429444.78    | 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        |    254266 | PA      | $252188.52    | 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        |    383680 | PA      | $374431.12    | 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        |   5426528 | PA      | $4577671.81   | 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        |    355271 | PA      | $328431.49    | 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        |    196852 | PA      | $202600.32    | 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        |     32063 | PA      | $33863.95     | 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        |    228598 | PA      | $183411.04    | 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        |    160253 | PA      | $162924.75    | 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        |   3294898 | PA      | $3110330.20   | 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        |   5893024 | PA      | $4965670.33   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4128                      | CUSIP: 36179SSR9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    467820 | PA      | $446805.57    | 0.00%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX7627                      | CUSIP: 3140NCPM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1045771 | PA      | $1046694.55   | 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        |    333378 | PA      | $332271.57    | 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        |   3166176 | PA      | $2931916.26   | 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        |    694233 | PA      | $699795.02    | 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        |      4948 | PA      | $5031.00      | 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        |   4981398 | PA      | $4016957.82   | 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        |    228159 | PA      | $241077.83    | 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        |    509250 | PA      | $505089.70    | 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        |   1671117 | PA      | $1790130.12   | 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        |  44808440 | PA      | $35881102.27  | 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        |   6015590 | PA      | $6267173.56   | 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        |      8838 | PA      | $8805.84      | 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        |   1127418 | PA      | $1127709.71   | 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        |   1223655 | PA      | $1161993.63   | 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        |   4409862 | PA      | $4392827.66   | 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        |    161449 | PA      | $170840.23    | 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        |   3477174 | PA      | $3206864.00   | 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        |   3371460 | PA      | $3306176.69   | 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        |    944422 | PA      | $764525.03    | 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        |   3032885 | PA      | $2454222.93   | 0.01%             | 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        |   1877419 | PA      | $1954469.14   | 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        |   3418067 | PA      | $3412340.59   | 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        |   6637448 | PA      | $6582771.08   | 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        |    244411 | PA      | $243219.45    | 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        |    977674 | PA      | $906978.94    | 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        |    331007 | PA      | $309568.59    | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18572                      | CUSIP: 3128MMT60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    919275 | PA      | $901113.15    | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4701                      | CUSIP: 31418EGK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20026811 | PA      | $19368788.43  | 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        |   1723693 | PA      | $1494369.32   | 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        |  15201236 | PA      | $15568190.29  | 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        |    164717 | PA      | $164589.29    | 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        |    111914 | PA      | $106834.23    | 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        |    152575 | PA      | $161213.08    | 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        |     78153 | PA      | $75825.08     | 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        |   4273131 | PA      | $3816794.84   | 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        |    179773 | PA      | $173196.17    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5420                      | CUSIP: 31418FAW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3140844 | PA      | $3162008.90   | 0.02%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1008                      | CUSIP: 3140Q8DN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    436252 | PA      | $416177.72    | 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        |   2664888 | PA      | $2757532.50   | 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        |    336974 | PA      | $342519.81    | 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        |    806889 | PA      | $748038.67    | 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        |      4207 | PA      | $4503.03      | 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        |   2085732 | PA      | $1974771.64   | 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        |    222147 | PA      | $225839.45    | 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        |    895104 | PA      | $785248.37    | 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        |   2222347 | PA      | $2350891.79   | 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        |   1495415 | PA      | $1417671.89   | 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        |   8599260 | PA      | $7856522.18   | 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        |   3728656 | PA      | $3035886.89   | 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        |    433186 | PA      | $392523.48    | 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        |    335461 | PA      | $330747.40    | 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        |    174753 | PA      | $177522.81    | 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        |   5652761 | PA      | $4900706.74   | 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        |   4385425 | PA      | $4188445.06   | 0.03%             | 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        |    167133 | PA      | $133834.86    | 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        |    167724 | PA      | $167789.22    | 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        |   4690160 | PA      | $4305035.92   | 0.03%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2769                      | CUSIP: 3140XJCF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1785661 | PA      | $1431013.73   | 0.01%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3584                      | CUSIP: 3132DQ6V3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5633563 | PA      | $5829412.95   | 0.04%             | 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        |    240321 | PA      | $240319.49    | 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        |  12055699 | PA      | $11914946.68  | 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        |   5707548 | PA      | $5359294.62   | 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        |   3041424 | PA      | $2627349.91   | 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        |   1278914 | PA      | $1242066.67   | 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        |   2888991 | PA      | $2335977.78   | 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        |    261336 | PA      | $265620.58    | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3521                      | CUSIP: 36179R4E6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6619370 | PA      | $6141756.43   | 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        |  12187121 | PA      | $11182588.18  | 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        |    203070 | PA      | $197360.36    | 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        |   4090651 | PA      | $3848973.68   | 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        |     19707 | PA      | $19435.20     | 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        |    100018 | PA      | $103737.46    | 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        |   2197893 | PA      | $2096754.01   | 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        |   1061052 | PA      | $1084780.88   | 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        |   7872418 | PA      | $6626196.66   | 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        |   1583056 | PA      | $1453744.54   | 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        |   3443868 | PA      | $3159596.88   | 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        |    897040 | PA      | $752793.64    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6297                      | CUSIP: 3140X97K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    561373 | PA      | $550724.25    | 0.00%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4176                      | CUSIP: 31418DUA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5932556 | PA      | $5160243.38   | 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        |  22899699 | PA      | $22125812.69  | 0.13%             | 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        |  15374135 | PA      | $15292296.78  | 0.09%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5044                      | CUSIP: 3140X8TA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2805489 | PA      | $2258816.10   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90768                      | CUSIP: 312938Z97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114754 | PA      | $116682.34    | 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        |    302679 | PA      | $294583.81    | 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        |   1949528 | PA      | $1924938.78   | 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        |   5374129 | PA      | $4457214.25   | 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        |    197771 | PA      | $191934.19    | 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        |   9018023 | PA      | $7978880.80   | 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        |   1069990 | PA      | $918330.26    | 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        |    438292 | PA      | $397145.10    | 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        |  10454058 | PA      | $10374474.65  | 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        |   1056480 | PA      | $972492.84    | 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        |   3305951 | PA      | $3038620.75   | 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        |    273715 | PA      | $259273.53    | 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        |    197455 | PA      | $190380.82    | 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        |   4594235 | PA      | $4709856.58   | 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        |     27709 | PA      | $27678.59     | 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        |   1534508 | PA      | $1464617.69   | 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        |   7367978 | PA      | $7614913.95   | 0.05%             | 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        |   3106745 | PA      | $2871417.12   | 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        |      1935 | PA      | $2000.65      | 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        |   1111013 | PA      | $1083535.22   | 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        |     20378 | PA      | $18878.76     | 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        |    359055 | PA      | $330791.77    | 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        |    257900 | PA      | $258110.50    | 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        |    277335 | PA      | $281982.31    | 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        |   7257219 | PA      | $6251878.92   | 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        |   1138443 | PA      | $917319.30    | 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        |    995028 | PA      | $1030529.46   | 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        |   3348069 | PA      | $2910490.33   | 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        |    444926 | PA      | $452216.37    | 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        |   2174754 | PA      | $2167033.64   | 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        |    516278 | PA      | $503305.97    | 0.00%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3071                      | CUSIP: 31418CMV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1217775 | PA      | $1189517.98   | 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        |    468373 | PA      | $466144.83    | 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        |      8735 | PA      | $8881.18      | 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        |    592138 | PA      | $590320.21    | 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        |  18121490 | PA      | $16276800.42  | 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        |    471349 | PA      | $469314.29    | 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        |  18694162 | PA      | $15051447.72  | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5111                      | CUSIP: 3133KYVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5624895 | PA      | $4870412.60   | 0.03%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4408                      | CUSIP: 31418D3S9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2794260 | PA      | $2492601.40   | 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        |   3863862 | PA      | $3748944.99   | 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        |    170277 | PA      | $158824.77    | 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        |   2731258 | PA      | $2501327.52   | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13273                      | CUSIP: 3128PST64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11000 | PA      | $10976.97     | 0.00%             | 2025-10-01      | 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        |   3379998 | PA      | $3320887.53   | 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        |   1502993 | PA      | $1428664.73   | 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        |     77334 | PA      | $72844.89     | 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        |    668429 | PA      | $665670.60    | 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        |   2083568 | PA      | $1920208.48   | 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        |   4935883 | PA      | $4418006.88   | 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        |     18429 | PA      | $16957.37     | 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        |     57210 | PA      | $59101.68     | 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        |   2974875 | PA      | $2607910.62   | 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        |   6415547 | PA      | $6546992.09   | 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        |    109571 | PA      | $106381.95    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3.5 9/25                  | CUSIP: 01F032690<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -1810000 | PA      | $-1635434.01  | -0.01%            | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8202                      | CUSIP: 36179XDF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18256371 | PA      | $18159190.42  | 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        |    308044 | PA      | $295926.92    | 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        |   1256625 | PA      | $1167252.40   | 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        |    560307 | PA      | $505504.36    | 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        |   1994791 | PA      | $1897387.58   | 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        |       158 | PA      | $164.10       | 0.00%             | 2040-05-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0486                      | CUSIP: 3618N5RG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4985835 | PA      | $5092077.30   | 0.03%             | 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        |   9529789 | PA      | $9822375.26   | 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        |    345240 | PA      | $343980.66    | 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        |   4839788 | PA      | $4245803.45   | 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        |   7045806 | PA      | $5668467.55   | 0.03%             | 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        |   3066747 | PA      | $2937981.39   | 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        |    325858 | PA      | $317493.37    | 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        |     20573 | PA      | $20881.67     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2 9/25                    | CUSIP: 21H020691<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -2010000 | PA      | $-1645427.81  | -0.01%            | 2025-09-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 720161                      | CUSIP: 3620A6B63<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    184416 | PA      | $183819.26    | 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        |   1751261 | PA      | $1744798.17   | 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        |   2951342 | PA      | $3013655.92   | 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        |    180036 | PA      | $175673.43    | 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        |    633850 | PA      | $617381.60    | 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        |   1854343 | PA      | $1794976.45   | 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        |     51606 | PA      | $51685.16     | 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        |    106104 | PA      | $100524.85    | 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        |    582676 | PA      | $576955.67    | 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        |  10931710 | PA      | $9238774.26   | 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        |   7411529 | PA      | $6828119.81   | 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        |    278219 | PA      | $294650.46    | 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        |  19657528 | PA      | $17091394.95  | 0.10%             | 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        |   2754109 | PA      | $2803651.20   | 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        |  15512790 | PA      | $14187453.33  | 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        |  12521901 | PA      | $10480960.49  | 0.06%             | 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        |   4561122 | PA      | $3675199.84   | 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        |   8086141 | PA      | $7452923.86   | 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        |   7351820 | PA      | $5953717.50   | 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        |  10959230 | PA      | $11264679.57  | 0.07%             | 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        |   5378823 | PA      | $4775812.66   | 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        |  43246745 | PA      | $35424718.89  | 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        |     12039 | PA      | $12200.49     | 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        |      3183 | PA      | $3171.42      | 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        |    421017 | PA      | $383765.08    | 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        |  17285406 | PA      | $17730712.77  | 0.11%             | 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        |     42794 | PA      | $40458.75     | 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        |    799114 | PA      | $786501.35    | 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        |    396404 | PA      | $390309.67    | 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        |   1642511 | PA      | $1526820.76   | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737413                      | CUSIP: 3620ARGW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |        50 | PA      | $50.06        | 0.00%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02866                      | CUSIP: 31294MFF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2458 | PA      | $2451.17      | 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        |   1973028 | PA      | $1760882.89   | 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        |   3907676 | PA      | $3625721.90   | 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        |    521498 | PA      | $529598.72    | 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        |    137349 | PA      | $139499.47    | 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        |     82744 | PA      | $72718.03     | 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        |   9460734 | PA      | $9109761.57   | 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        |   4318606 | PA      | $4281884.01   | 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        |     12967 | PA      | $12938.85     | 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        |  24909773 | PA      | $25106179.56  | 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        |    183639 | PA      | $166714.98    | 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        |   6664480 | PA      | $6740628.69   | 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        |   5909884 | PA      | $5835747.12   | 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        |     14202 | PA      | $14031.03     | 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        |   1704363 | PA      | $1669668.80   | 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        |     29792 | PA      | $31062.64     | 0.00%             | 2039-12-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5178                      | CUSIP: 31417BXG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5159770 | PA      | $4880237.33   | 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        |   4589941 | PA      | $4513973.16   | 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        |   2757966 | PA      | $2551376.35   | 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        |  14327522 | PA      | $14673385.69  | 0.09%             | 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        |   3046809 | PA      | $3085430.62   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7834                      | CUSIP: 3138E0V48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202374 | PA      | $191354.61    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1132                      | CUSIP: 3132DNHH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4814372 | PA      | $4528139.57   | 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        |  12684515 | PA      | $12557535.73  | 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        |    494949 | PA      | $483326.53    | 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        |  11501505 | PA      | $11543339.71  | 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        |  13188578 | PA      | $13478097.85  | 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        |    306821 | PA      | $303514.56    | 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        |     54779 | PA      | $56472.33     | 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        |   4023249 | PA      | $3786565.84   | 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        |    223699 | PA      | $223727.66    | 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        |   3334730 | PA      | $2975481.23   | 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        |   4534092 | PA      | $3971957.81   | 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        |     31351 | PA      | $32512.67     | 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        |    687947 | PA      | $651348.65    | 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        |    237066 | PA      | $219627.49    | 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        |   1494598 | PA      | $1341058.89   | 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        |  18390639 | PA      | $18794355.63  | 0.11%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9555                      | CUSIP: 3133AUTL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4930380 | PA      | $3991224.63   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1652                      | CUSIP: 31418AZS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    636842 | PA      | $624868.40    | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4053                      | CUSIP: 3132E0QE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7379427 | PA      | $7557565.08   | 0.05%             | 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        |    383868 | PA      | $380831.59    | 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        |   1761469 | PA      | $1422635.62   | 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        |    139859 | PA      | $141767.29    | 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        |   1305606 | PA      | $1241038.44   | 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        |   2332381 | PA      | $2280529.24   | 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        |      4337 | PA      | $4302.81      | 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        |   1196292 | PA      | $1203634.43   | 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        |   7334401 | PA      | $7510743.73   | 0.05%             | 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        |   3814541 | PA      | $3310622.72   | 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        |   4370734 | PA      | $4397455.39   | 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        |   4388136 | PA      | $4580569.77   | 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        |   1714464 | PA      | $1432344.88   | 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        |  10512704 | PA      | $9887724.94   | 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        |    159682 | PA      | $162380.87    | 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        |   1439908 | PA      | $1334349.71   | 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        |   6704304 | PA      | $6181027.46   | 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        |   2337711 | PA      | $2474197.37   | 0.02%             | 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        |    164024 | PA      | $153708.23    | 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        |   2070471 | PA      | $1816362.97   | 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        |   6406402 | PA      | $6551041.74   | 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        |  30796293 | PA      | $25226176.88  | 0.15%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1113                      | CUSIP: 3140QLGX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11079696 | PA      | $8865325.84   | 0.05%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4418                      | CUSIP: 31418D4C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6403814 | PA      | $5879977.34   | 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        |    220162 | PA      | $214763.43    | 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        |   2990822 | PA      | $2687303.51   | 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        |   1558612 | PA      | $1477155.65   | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3561                      | CUSIP: 3140XJ5X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1507930 | PA      | $1442126.22   | 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        |     54154 | PA      | $54096.30     | 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        |   9039833 | PA      | $8355090.06   | 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        |    190399 | PA      | $189998.61    | 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        |    294833 | PA      | $275398.56    | 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        |    394477 | PA      | $393786.98    | 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        |   2469267 | PA      | $2213457.77   | 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        |   4449210 | PA      | $4488923.85   | 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        |    388145 | PA      | $377689.18    | 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        |    782551 | PA      | $764416.53    | 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        |    496417 | PA      | $482236.77    | 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        |   2646364 | PA      | $2764001.01   | 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        |   4958721 | PA      | $4717377.51   | 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        |    473969 | PA      | $490632.72    | 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        |   1433653 | PA      | $1263525.43   | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3737                      | CUSIP: 36179SEJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    273497 | PA      | $261382.21    | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82678                       | CUSIP: 36225E6Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1907 | PA      | $1943.32      | 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        |  12417614 | PA      | $12749157.94  | 0.08%             | 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        |    339967 | PA      | $328806.24    | 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        |       982 | PA      | $977.90       | 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        |   4167292 | PA      | $4392708.26   | 0.03%             | 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        |   4410629 | PA      | $4445863.92   | 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        |   6027683 | PA      | $5094208.03   | 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        |   3669916 | PA      | $3768829.00   | 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        |     99152 | PA      | $99419.96     | 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        |   3866012 | PA      | $3525148.77   | 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        |   2569510 | PA      | $2169977.35   | 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        |    262686 | PA      | $267147.63    | 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        |  13050598 | PA      | $10832112.58  | 0.07%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4434                      | CUSIP: 31417A4U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    236790 | PA      | $224075.75    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8629                      | CUSIP: 3140XCST6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2288657 | PA      | $1737009.58   | 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        |   1218322 | PA      | $1180226.53   | 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        |   1938270 | PA      | $1798416.51   | 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        |   1310224 | PA      | $1276661.32   | 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        |    349999 | PA      | $343769.09    | 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        |   1941798 | PA      | $1843948.70   | 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        |      9494 | PA      | $10326.22     | 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        |   3512769 | PA      | $3465216.92   | 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        |     21709 | PA      | $22071.54     | 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        |    368398 | PA      | $326638.35    | 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        |    792164 | PA      | $687763.30    | 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        |    745410 | PA      | $695466.83    | 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        |   1469627 | PA      | $1439250.68   | 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        |    201657 | PA      | $184338.07    | 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        |   1335274 | PA      | $1364603.08   | 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        |    629651 | PA      | $607486.03    | 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        |   9535443 | PA      | $8112376.13   | 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        |    943486 | PA      | $892946.74    | 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        |     12496 | PA      | $12445.30     | 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        |       233 | PA      | $232.73       | 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        |  12345987 | PA      | $12617010.27  | 0.08%             | 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        |     41351 | PA      | $42620.63     | 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        |    172092 | PA      | $167171.28    | 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        |   2807062 | PA      | $2630947.67   | 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        |       830 | PA      | $833.78       | 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        |   7381630 | PA      | $5600088.27   | 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        |   4927642 | PA      | $5098950.06   | 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        |   1707004 | PA      | $1603694.68   | 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        |   2599249 | PA      | $2568124.20   | 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        |    812093 | PA      | $816326.39    | 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        |   1011425 | PA      | $923564.68    | 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        |    277732 | PA      | $267804.16    | 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        |    646287 | PA      | $621271.44    | 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        |   5378318 | PA      | $5521595.28   | 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        |    551199 | PA      | $570903.13    | 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        |     34041 | PA      | $32919.28     | 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        |     41715 | PA      | $43290.19     | 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        |   2632728 | PA      | $2529150.87   | 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        |   7889624 | PA      | $6317747.73   | 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        |   1035198 | PA      | $976079.49    | 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        |   2322156 | PA      | $2205139.48   | 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        |      9207 | PA      | $9152.57      | 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        |      7518 | PA      | $7821.78      | 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        |    938779 | PA      | $818282.90    | 0.00%             | 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        |      3032 | PA      | $3201.41      | 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        |   1659519 | PA      | $1525517.15   | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5279                      | CUSIP: 3140XL2M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5344183 | PA      | $4584863.28   | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18472                      | CUSIP: 3128MMQ22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    729058 | PA      | $714851.06    | 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        |   3867554 | PA      | $3268606.50   | 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        |   1013183 | PA      | $979734.52    | 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        |  33134302 | PA      | $33336871.99  | 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        |   5742443 | PA      | $5822412.80   | 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        |      8476 | PA      | $8453.69      | 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        |   6714496 | PA      | $5597021.14   | 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        |  21088991 | PA      | $16933492.10  | 0.10%             | 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        |     16890 | PA      | $17436.06     | 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        |   3237761 | PA      | $3367774.69   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08518                      | CUSIP: 3128MJSG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    517581 | PA      | $473491.35    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8319                      | CUSIP: 3132D6G46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3635005 | PA      | $3717119.16   | 0.02%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2371                      | CUSIP: 36179QT43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    542492 | PA      | $503124.69    | 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        |   1773732 | PA      | $1692154.99   | 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        |   3886375 | PA      | $3548270.42   | 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        |    297842 | PA      | $273137.93    | 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        |   1374328 | PA      | $1425685.26   | 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        |   5239063 | PA      | $4345416.40   | 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        |    640776 | PA      | $566538.92    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1585                      | CUSIP: 3138WAXP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59857 | PA      | $59563.37     | 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        |    149249 | PA      | $151544.76    | 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        |   3435371 | PA      | $3403851.21   | 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        |    574593 | PA      | $545279.29    | 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        |   6958686 | PA      | $6186856.88   | 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        |    132747 | PA      | $137167.06    | 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        |   9480311 | PA      | $7609291.85   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7918                      | CUSIP: 3133KPYP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172218 | PA      | $160902.40    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2728                      | CUSIP: 3138WCA60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90132 | PA      | $89282.71     | 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        |   3102773 | PA      | $2614506.11   | 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        |   2175629 | PA      | $1952252.59   | 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        |   1258457 | PA      | $1215781.98   | 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        |  15442485 | PA      | $15815263.74  | 0.10%             | 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        |   1948067 | PA      | $1578819.03   | 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        |    145952 | PA      | $148203.41    | 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        |   4691093 | PA      | $4345254.85   | 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        |    935050 | PA      | $903369.86    | 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        |   3222790 | PA      | $3074489.61   | 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        |   3790858 | PA      | $3851942.75   | 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        |     97319 | PA      | $102886.89    | 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        |    486564 | PA      | $422053.22    | 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        |  13663248 | PA      | $10945342.25  | 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        |   1270966 | PA      | $1197476.40   | 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        |   1783453 | PA      | $1642580.70   | 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        |    157644 | PA      | $153222.10    | 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        |   1476845 | PA      | $1387200.47   | 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        |  10231434 | PA      | $9067620.53   | 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        |      5407 | PA      | $5608.78      | 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        |   3339724 | PA      | $2812082.21   | 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        |    252136 | PA      | $260738.89    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8646                      | CUSIP: 36179XTB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1059468 | PA      | $1029020.49   | 0.01%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1155                      | CUSIP: 3132DNH89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4226715 | PA      | $3698726.70   | 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        |    953666 | PA      | $926130.64    | 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        |    877222 | PA      | $709303.74    | 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        |    131819 | PA      | $136876.51    | 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        |    494312 | PA      | $505632.38    | 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        |   4314611 | PA      | $4282205.47   | 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        |   1093856 | PA      | $875923.54    | 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        |    248105 | PA      | $243364.35    | 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        |  13748842 | PA      | $12462502.69  | 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        |   3854656 | PA      | $3846994.20   | 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        |   1661275 | PA      | $1498094.41   | 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        |   6159089 | PA      | $5475616.99   | 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        |    192865 | PA      | $194593.73    | 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        |   4251873 | PA      | $3869693.34   | 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        |   1977406 | PA      | $1920433.68   | 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        |   1016424 | PA      | $982661.27    | 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        |   1132662 | PA      | $1083334.36   | 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        |    243567 | PA      | $203868.12    | 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        |    894859 | PA      | $865996.71    | 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        |   2019643 | PA      | $1857507.90   | 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        |     10008 | PA      | $10576.28     | 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        |   4123235 | PA      | $3577248.97   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8490                      | CUSIP: 36179XNF9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13377146 | PA      | $13305938.05  | 0.08%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01931                      | CUSIP: 3128LXEC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    858148 | PA      | $890547.20    | 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        |      8966 | PA      | $9426.70      | 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        |   4518577 | PA      | $3921652.75   | 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        |   1337828 | PA      | $1022471.04   | 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        |   3478475 | PA      | $3140699.01   | 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        |     92594 | PA      | $97846.17     | 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        |    849153 | PA      | $801455.76    | 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        |    427502 | PA      | $413608.45    | 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        |   2486483 | PA      | $2392934.91   | 0.01%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07859                      | CUSIP: 3128MAB40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    206406 | PA      | $205869.81    | 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        |   1027619 | PA      | $983096.74    | 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        |   3456285 | PA      | $3451575.59   | 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        |   2155640 | PA      | $2043376.46   | 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        |     11308 | PA      | $11680.65     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08443                      | CUSIP: 3128MJP53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    303250 | PA      | $303167.34    | 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        |  13473180 | PA      | $11811202.60  | 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        |   1116301 | PA      | $944123.11    | 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        |   3186701 | PA      | $3310432.43   | 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        |   1621766 | PA      | $1318421.33   | 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        |    914596 | PA      | $904603.15    | 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        |      2209 | PA      | $2299.56      | 0.00%             | 2039-12-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2030                      | CUSIP: 3132DPHF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1717822 | PA      | $1768585.42   | 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        |   2311986 | PA      | $2139409.41   | 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        |   3082610 | PA      | $3066201.00   | 0.02%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13585                      | CUSIP: 3128PS6W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10326 | PA      | $10299.89     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08451                      | CUSIP: 3128MJQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    336665 | PA      | $336546.72    | 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        |   6183778 | PA      | $6127040.63   | 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        |     75626 | PA      | $70627.48     | 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        |   5670571 | PA      | $5880258.88   | 0.04%             | 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        |    234248 | PA      | $247180.93    | 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        |   2644646 | PA      | $2720057.26   | 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        |    179045 | PA      | $173617.37    | 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        |   2684649 | PA      | $2376136.86   | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6.5 9/25                  | CUSIP: 01F062697<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6320000 | PA      | $6548852.89   | 0.04%             | 2025-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01222                      | CUSIP: 31292HLB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       816 | PA      | $859.31       | 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        |    251942 | PA      | $243945.25    | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 9/25                  | CUSIP: 01F022691<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9980000 | PA      | $8285349.09   | 0.05%             | 2025-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2838                      | CUSIP: 3140QNEL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    550016 | PA      | $444731.20    | 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        |    863527 | PA      | $846487.61    | 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        |    326861 | PA      | $311094.18    | 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        |   7576846 | PA      | $7930334.40   | 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        |    164255 | PA      | $157209.89    | 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        |   8236719 | PA      | $7562948.71   | 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        |  23387308 | PA      | $23569883.72  | 0.14%             | 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        |     13049 | PA      | $12990.34     | 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        |     20216 | PA      | $19857.85     | 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        |  17237899 | PA      | $17140753.32  | 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        |   3972620 | PA      | $3682255.43   | 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        |    243914 | PA      | $242058.84    | 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        |    692286 | PA      | $670205.09    | 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        |   1169662 | PA      | $996825.22    | 0.01%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 9/25                    | CUSIP: 01F030694<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5650000 | PA      | $4895195.03   | 0.03%             | 2025-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3936                      | CUSIP: 36179SLR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8036392 | PA      | $7218321.92   | 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        |   1146224 | PA      | $1165573.37   | 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        |    156872 | PA      | $152038.57    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5445                      | CUSIP: 31418FBP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  33215340 | PA      | $33954873.31  | 0.21%             | 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        |   2966975 | PA      | $3059922.13   | 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        |    340853 | PA      | $340320.71    | 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        |  11048419 | PA      | $9275261.33   | 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        |   9454367 | PA      | $8666573.99   | 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        |   5699321 | PA      | $5035467.11   | 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        |    162130 | PA      | $164640.95    | 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        |   3142877 | PA      | $3218745.17   | 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        |  10214703 | PA      | $8661534.78   | 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        |   1700697 | PA      | $1770974.07   | 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        |   2733791 | PA      | $2390585.65   | 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        |   5240688 | PA      | $4114082.84   | 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        |   2259551 | PA      | $2107461.34   | 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        |    156259 | PA      | $156376.41    | 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        |   1003249 | PA      | $846626.67    | 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        |    222645 | PA      | $226189.69    | 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        |     49687 | PA      | $48373.92     | 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        |     74071 | PA      | $75236.50     | 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        |    324223 | PA      | $342137.74    | 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        |   1678891 | PA      | $1505991.54   | 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        |     55942 | PA      | $59017.93     | 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        |    260991 | PA      | $260014.92    | 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        |    172935 | PA      | $163231.02    | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0260                      | CUSIP: 3618N5JE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12472309 | PA      | $12730285.18  | 0.08%             | 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        |    998687 | PA      | $920480.48    | 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        |    149794 | PA      | $146333.16    | 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        |   2192756 | PA      | $2057439.07   | 0.01%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3804                      | CUSIP: 36179SGM3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    233871 | PA      | $223511.87    | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723434                      | CUSIP: 3620A9V32<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     51856 | PA      | $52671.33     | 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        |   9536676 | PA      | $8089583.86   | 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        |   5398653 | PA      | $5035270.93   | 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        |   1185771 | PA      | $1095951.69   | 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        |    334282 | PA      | $333836.42    | 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        |   3183748 | PA      | $3140359.22   | 0.02%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8824                      | CUSIP: 3140XQYW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4328094 | PA      | $3772563.49   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8447                      | CUSIP: 3132DWL43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26901893 | PA      | $27509264.87  | 0.17%             | 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        |    253901 | PA      | $233581.03    | 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        |     68761 | PA      | $59190.48     | 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        |    533238 | PA      | $515675.91    | 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        |    110599 | PA      | $110722.44    | 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        |      3707 | PA      | $3858.21      | 0.00%             | 2039-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8345                      | CUSIP: 36179XHW9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1059656 | PA      | $967137.32    | 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        |   1285969 | PA      | $1174092.82   | 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        |    616962 | PA      | $616427.79    | 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        |  12036407 | PA      | $12586809.92  | 0.08%             | 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        |   4421184 | PA      | $4085599.09   | 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        |  10987338 | PA      | $9189647.96   | 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        |   1058152 | PA      | $856592.01    | 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        |     45644 | PA      | $43060.71     | 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        |    178264 | PA      | $174851.32    | 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        |    192032 | PA      | $187191.97    | 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        |   2064932 | PA      | $2108530.57   | 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        |     72836 | PA      | $70735.58     | 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        |    762403 | PA      | $715884.45    | 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        |   3833558 | PA      | $3902518.79   | 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        |    304717 | PA      | $299101.92    | 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        |    145115 | PA      | $149819.13    | 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        |    149174 | PA      | $151237.44    | 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        |   1813739 | PA      | $1655806.31   | 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        |    506907 | PA      | $452880.99    | 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        |     12124 | PA      | $12301.22     | 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        |      8644 | PA      | $8976.05      | 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        |    160624 | PA      | $152224.07    | 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        |  11286784 | PA      | $9919198.62   | 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        |   2981637 | PA      | $3045522.36   | 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        |   2123386 | PA      | $2142040.57   | 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        |   7089998 | PA      | $6464876.21   | 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        |  16743003 | PA      | $14561741.28  | 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        |   2291582 | PA      | $1877820.63   | 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        |    738934 | PA      | $714395.28    | 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        |   1007548 | PA      | $955798.03    | 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        |   1141349 | PA      | $1093219.73   | 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        |    859909 | PA      | $819264.35    | 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        |   1265805 | PA      | $1142171.09   | 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        |    515234 | PA      | $505067.81    | 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        |   1126370 | PA      | $1017152.88   | 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        |    310799 | PA      | $298863.36    | 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        |    142118 | PA      | $143950.29    | 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        |   6549807 | PA      | $5318551.66   | 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        |   4246495 | PA      | $4300323.87   | 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        |    581691 | PA      | $536720.90    | 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        |   2893235 | PA      | $2875730.54   | 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        |  12430980 | PA      | $10385434.61  | 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        |    474863 | PA      | $424015.25    | 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        |    117809 | PA      | $116080.00    | 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        |    154100 | PA      | $151971.71    | 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        |     54313 | PA      | $54135.29     | 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        |    230307 | PA      | $239212.64    | 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        |   2753410 | PA      | $2333887.61   | 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        |    784986 | PA      | $769006.37    | 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        |    178870 | PA      | $168286.89    | 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        |  11340857 | PA      | $11438542.99  | 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        |  12608631 | PA      | $12777984.60  | 0.08%             | 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        |   1533327 | PA      | $1527039.45   | 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        |   1353634 | PA      | $1350097.85   | 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        |   1162414 | PA      | $940993.49    | 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        |     53077 | PA      | $52182.51     | 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        |   1570829 | PA      | $1434171.10   | 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        |   3129161 | PA      | $3171759.84   | 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        |    453870 | PA      | $444654.63    | 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        |  20366180 | PA      | $16308556.70  | 0.10%             | 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        |   6213170 | PA      | $6173637.15   | 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        |   6125084 | PA      | $6272942.04   | 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        |    220606 | PA      | $219146.52    | 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        |   3443388 | PA      | $2787479.40   | 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        |    245165 | PA      | $245043.30    | 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        |    181454 | PA      | $171355.10    | 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        |    841856 | PA      | $783513.68    | 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        |    164292 | PA      | $164393.77    | 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        |  27683571 | PA      | $26631227.04  | 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        |     82061 | PA      | $84529.68     | 0.00%             | 2043-07-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91606                      | CUSIP: 3128P7YB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    365664 | PA      | $354279.24    | 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        |   1714606 | PA      | $1765274.99   | 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        |     22185 | PA      | $21497.42     | 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        |    280291 | PA      | $274760.64    | 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        |    208327 | PA      | $220343.98    | 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        |     57179 | PA      | $59384.22     | 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        |     24865 | PA      | $24020.01     | 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        |    168284 | PA      | $174720.16    | 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        |     22547 | PA      | $22922.46     | 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        |  15677680 | PA      | $13894363.03  | 0.08%             | 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        |    365059 | PA      | $353773.57    | 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        |    213053 | PA      | $225809.37    | 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        |  31209327 | PA      | $25040151.42  | 0.15%             | 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        |   7920315 | PA      | $8010813.36   | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08515                      | CUSIP: 3128MJSD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140150 | PA      | $128305.75    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7533                      | CUSIP: 36179WLN6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27898163 | PA      | $22843512.40  | 0.14%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08499                      | CUSIP: 3128MJRV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50124 | PA      | $45970.16     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1683                      | CUSIP: 3140X42R6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243365 | PA      | $234578.90    | 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        |   2948023 | PA      | $2788857.46   | 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        |    130321 | PA      | $137837.65    | 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        |   9937370 | PA      | $8929502.09   | 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        |    156001 | PA      | $153511.93    | 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        |   5175211 | PA      | $4771281.47   | 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        |       617 | PA      | $641.81       | 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        |   2759885 | PA      | $2854107.36   | 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        |    714391 | PA      | $577418.14    | 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        |    528183 | PA      | $487976.61    | 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        |    282511 | PA      | $272988.20    | 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        |    550147 | PA      | $524983.08    | 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        |   6819098 | PA      | $7043250.83   | 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        |    179870 | PA      | $168156.51    | 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        |   1531700 | PA      | $1400361.12   | 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        |   5595329 | PA      | $4964570.48   | 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        |    267424 | PA      | $261924.96    | 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        |   1607387 | PA      | $1605165.25   | 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        |    524691 | PA      | $514009.88    | 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        |   7026745 | PA      | $5839736.84   | 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        |   1765531 | PA      | $1649871.84   | 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        |    275941 | PA      | $260739.81    | 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        |   1552627 | PA      | $1488127.57   | 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        |   6037230 | PA      | $6113758.03   | 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        |   1153389 | PA      | $1053047.51   | 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        |    361484 | PA      | $364723.40    | 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        |    431489 | PA      | $426774.96    | 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        |    232018 | PA      | $231756.16    | 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        |    195369 | PA      | $180814.26    | 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        |   5549674 | PA      | $5713124.64   | 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        |      4217 | PA      | $4243.21      | 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        |      1642 | PA      | $1635.75      | 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        |     44547 | PA      | $44150.23     | 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        |    670753 | PA      | $669771.83    | 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        |     31995 | PA      | $31663.49     | 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        |   2149221 | PA      | $2076588.76   | 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        |     16464 | PA      | $16384.48     | 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        |     48758 | PA      | $49520.12     | 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        |   1377135 | PA      | $1341316.81   | 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        |   1354435 | PA      | $1251694.99   | 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        |     23921 | PA      | $23312.74     | 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        |    978260 | PA      | $896349.02    | 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        |   7438169 | PA      | $7747621.77   | 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        |     19213 | PA      | $19035.65     | 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        |     35590 | PA      | $35611.45     | 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        |    605273 | PA      | $574184.78    | 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        |     66975 | PA      | $53735.60     | 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        |   4180863 | PA      | $3868745.04   | 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        |    103320 | PA      | $100203.95    | 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        |   6723437 | PA      | $6136413.06   | 0.04%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8315                      | CUSIP: 3132DWGY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5223429 | PA      | $5173871.05   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0361                      | CUSIP: 3140XFMK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6261596 | PA      | $5284068.91   | 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        |   1665762 | PA      | $1561520.84   | 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        |    425387 | PA      | $394866.85    | 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        |     62666 | PA      | $62059.23     | 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        |   7486832 | PA      | $7532780.70   | 0.05%             | 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        |    166992 | PA      | $152557.45    | 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        |      2087 | PA      | $2078.71      | 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        |   2028053 | PA      | $1712848.13   | 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        |    802445 | PA      | $770619.27    | 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        |     54802 | PA      | $53800.16     | 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        |    343932 | PA      | $325475.13    | 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        |   8897693 | PA      | $8982675.86   | 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        |    276783 | PA      | $270764.51    | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3708                      | CUSIP: 3140XKDN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2995409 | PA      | $2972606.03   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG6280                      | CUSIP: 3133C66R5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18746191 | PA      | $18562474.89  | 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        |   4288233 | PA      | $4147334.12   | 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        |     87876 | PA      | $87793.34     | 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        |    185252 | PA      | $179394.99    | 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        |     23633 | PA      | $23612.33     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4313                      | CUSIP: 3140XKYK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12375079 | PA      | $10010097.49  | 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        |    249692 | PA      | $240601.52    | 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        |     20409 | PA      | $20129.76     | 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        |  38422256 | PA      | $31472834.28  | 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        |      9977 | PA      | $10132.27     | 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        |   9982744 | PA      | $10202278.19  | 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        |    186361 | PA      | $179977.62    | 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        |    931720 | PA      | $901111.53    | 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        |   5225992 | PA      | $4925106.23   | 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        |    206722 | PA      | $214188.34    | 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        |    109060 | PA      | $92280.04     | 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        |  12137612 | PA      | $12022744.95  | 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        |    155166 | PA      | $151030.06    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889633                      | CUSIP: 31410KLN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46362 | PA      | $48019.16     | 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        |    174545 | PA      | $159244.79    | 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        |    417214 | PA      | $397610.02    | 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        |    397446 | PA      | $362084.17    | 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        |    398402 | PA      | $365927.73    | 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        |   4252657 | PA      | $3594070.29   | 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        |   2386759 | PA      | $2310492.56   | 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        |    363863 | PA      | $334937.25    | 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        |  14182072 | PA      | $12887330.70  | 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        |   2913048 | PA      | $2489653.14   | 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        |   2005361 | PA      | $1973423.78   | 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        |    569164 | PA      | $568514.72    | 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        |    162465 | PA      | $161825.57    | 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        |     18928 | PA      | $19245.33     | 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        |   1219039 | PA      | $1099972.65   | 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        |     20387 | PA      | $21538.44     | 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        |   8041263 | PA      | $7213137.36   | 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        |  14443622 | PA      | $12184246.29  | 0.07%             | 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        |     57762 | PA      | $57511.97     | 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        |    297772 | PA      | $297418.12    | 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        |    134576 | PA      | $131777.47    | 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        |   1898377 | PA      | $1945389.51   | 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        |  10718284 | PA      | $10995375.99  | 0.07%             | 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        |    559535 | PA      | $549687.51    | 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        |    425661 | PA      | $389663.31    | 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        |    313788 | PA      | $283670.05    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7589                      | CUSIP: 36179WNE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29385307 | PA      | $25038564.68  | 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        |   3117771 | PA      | $2627143.55   | 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        |   1031056 | PA      | $969965.58    | 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        |    109356 | PA      | $108767.94    | 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        |   1029369 | PA      | $1015275.02   | 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        |    179121 | PA      | $175754.58    | 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        |   1086529 | PA      | $954198.36    | 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        |   5107685 | PA      | $4407012.81   | 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        |    348424 | PA      | $339981.52    | 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        |   1212577 | PA      | $1166937.75   | 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        |    100666 | PA      | $91934.29     | 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        |    143842 | PA      | $151332.03    | 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        |   2398814 | PA      | $2425530.78   | 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        |   1705281 | PA      | $1447587.99   | 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        |   3125543 | PA      | $2852988.38   | 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        |   3762337 | PA      | $3787395.67   | 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        |    431380 | PA      | $422868.08    | 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        |   1433066 | PA      | $1195908.14   | 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        |    241808 | PA      | $231671.19    | 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        |  16701813 | PA      | $14662446.53  | 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        |    324724 | PA      | $297467.32    | 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        |     73602 | PA      | $73546.58     | 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        |    231053 | PA      | $225288.89    | 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        |   5284399 | PA      | $4946137.86   | 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        |      7270 | PA      | $7091.73      | 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        |   4774892 | PA      | $4196332.30   | 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        |    499133 | PA      | $475696.86    | 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        |    232870 | PA      | $231577.97    | 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        |   2933510 | PA      | $2678759.87   | 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        |  20311914 | PA      | $15416021.90  | 0.09%             | 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        |    586291 | PA      | $543530.39    | 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        |    761150 | PA      | $792507.51    | 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        |   1279335 | PA      | $1225692.18   | 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        |   3719779 | PA      | $3277201.88   | 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        |    335425 | PA      | $299918.67    | 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        |     24742 | PA      | $25484.55     | 0.00%             | 2043-11-01      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4210                      | CUSIP: 3140X7VC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    308798 | PA      | $305662.17    | 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        |   1244598 | PA      | $1150189.75   | 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        |  43347047 | PA      | $35500109.15  | 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        |      4493 | PA      | $4754.15      | 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        |    121450 | PA      | $121047.08    | 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        |      4919 | PA      | $5119.96      | 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        |   5669769 | PA      | $4564966.80   | 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        |    479007 | PA      | $476671.45    | 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        |  16449833 | PA      | $13121071.06  | 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        |   1532581 | PA      | $1492721.46   | 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        |   2993836 | PA      | $2857018.12   | 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        |    922378 | PA      | $812922.54    | 0.00%             | 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        |    208121 | PA      | $189798.61    | 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        |    511284 | PA      | $492841.30    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8220                      | CUSIP: 3132D6DZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1803862 | PA      | $1850811.45   | 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        |   3751607 | PA      | $3443105.60   | 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        |    591586 | PA      | $569836.69    | 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        |   6384796 | PA      | $5368083.17   | 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        |    208055 | PA      | $199256.33    | 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        |    725073 | PA      | $765366.29    | 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        |   2110850 | PA      | $2064954.92   | 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        |     75389 | PA      | $77821.04     | 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        |   9613340 | PA      | $9974081.78   | 0.06%             | 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        |   2970756 | PA      | $3016769.05   | 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        |     13787 | PA      | $14008.16     | 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        |  10930379 | PA      | $9340858.34   | 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        |   1566015 | PA      | $1583060.31   | 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        |   1156021 | PA      | $1071526.01   | 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        |    174330 | PA      | $165791.45    | 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        |    315015 | PA      | $320356.92    | 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        |   3708641 | PA      | $3358474.34   | 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        |   3359139 | PA      | $2984663.71   | 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        |   1416815 | PA      | $1376018.86   | 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        |     38192 | PA      | $38683.86     | 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        |   1801683 | PA      | $1453424.77   | 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        |      5423 | PA      | $5508.59      | 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        |    167268 | PA      | $162898.65    | 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        |   9493476 | PA      | $9056621.48   | 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        |   5368656 | PA      | $5451809.00   | 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        |   2312511 | PA      | $2309360.20   | 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        |   1184142 | PA      | $1070208.56   | 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        |     99547 | PA      | $101095.46    | 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        |   2719753 | PA      | $2298559.28   | 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        |    592487 | PA      | $548348.24    | 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        |     50365 | PA      | $48587.75     | 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        |    513137 | PA      | $474355.93    | 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        |   2308599 | PA      | $2202365.58   | 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        |   2728585 | PA      | $2600467.38   | 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        |    230470 | PA      | $212616.32    | 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        |   1700703 | PA      | $1590410.61   | 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        |   1760982 | PA      | $1811196.51   | 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        |   1729932 | PA      | $1673417.93   | 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        |   4302106 | PA      | $3608973.35   | 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        |    325710 | PA      | $311535.85    | 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        |    245082 | PA      | $236686.40    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7075                      | CUSIP: 3138EP2H6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102242 | PA      | $100417.58    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5887                      | CUSIP: 3140XMRH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6274262 | PA      | $5065394.46   | 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        |     99546 | PA      | $101224.03    | 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        |    102746 | PA      | $101713.57    | 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        |   1410084 | PA      | $1342112.22   | 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        |   1065673 | PA      | $983762.88    | 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        |    430484 | PA      | $416444.24    | 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        |   4181066 | PA      | $4008126.00   | 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        |   3288717 | PA      | $3115799.91   | 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        |   9681869 | PA      | $10103173.14  | 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        |   1497423 | PA      | $1364361.68   | 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        |     58964 | PA      | $56003.04     | 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        |   3810053 | PA      | $3955858.29   | 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        |      1985 | PA      | $2087.48      | 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        |   1720750 | PA      | $1583954.97   | 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        |   3312349 | PA      | $3083825.06   | 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        |   2013574 | PA      | $2003908.39   | 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        |   2230414 | PA      | $2047964.67   | 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        |   1445004 | PA      | $1403395.65   | 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        |     29184 | PA      | $30790.95     | 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        |  10131658 | PA      | $8173250.21   | 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        |    285781 | PA      | $257867.78    | 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        |    509173 | PA      | $517686.71    | 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        |     56802 | PA      | $56618.23     | 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        |   9729690 | PA      | $9212033.86   | 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        |    102700 | PA      | $95209.78     | 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        |    419425 | PA      | $390407.38    | 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        |   5911222 | PA      | $4794468.94   | 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        |    314995 | PA      | $281356.37    | 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        |   2879876 | PA      | $2974594.52   | 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        |   1423903 | PA      | $1356380.52   | 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        |     32403 | PA      | $29086.41     | 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        |     23832 | PA      | $23746.70     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7649                      | CUSIP: 36179WQA9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29037476 | PA      | $24742185.57  | 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        |     68991 | PA      | $64236.13     | 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        |     19620 | PA      | $19588.50     | 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        |   2794724 | PA      | $2580960.17   | 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        |    127045 | PA      | $125723.33    | 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        |  25190340 | PA      | $21506111.82  | 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        |   2760886 | PA      | $2568149.54   | 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        |    442722 | PA      | $414805.13    | 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        |    117700 | PA      | $114825.41    | 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        |      9253 | PA      | $9008.95      | 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        |   4379586 | PA      | $3966069.33   | 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        |   1054374 | PA      | $1092875.82   | 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        |   1008437 | PA      | $974341.65    | 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        |  20845487 | PA      | $21516724.21  | 0.13%             | 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        |   1464320 | PA      | $1340960.35   | 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        |        96 | PA      | $95.46        | 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        |    334890 | PA      | $337774.91    | 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        |    148248 | PA      | $136301.36    | 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        |  10120951 | PA      | $8196240.33   | 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        |   3400134 | PA      | $3514089.20   | 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        |    639366 | PA      | $586476.73    | 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        |   3584874 | PA      | $3562430.85   | 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        |   3279636 | PA      | $3309934.86   | 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        |    201900 | PA      | $197915.74    | 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        |    402656 | PA      | $390389.14    | 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        |   1068415 | PA      | $1110841.53   | 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        |   5923789 | PA      | $6214965.47   | 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        |   1441677 | PA      | $1361820.91   | 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        |   5947082 | PA      | $4801252.09   | 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        |   6638248 | PA      | $5340580.77   | 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        |   9558334 | PA      | $9745209.78   | 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        |    122482 | PA      | $120126.06    | 0.00%             | 2028-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6474                      | CUSIP: 3140XNFQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3247391 | PA      | $2586194.67   | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4636                        | CUSIP: 36202FEH5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1422970 | PA      | $1416225.46   | 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        |    280337 | PA      | $276047.80    | 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        |   3681053 | PA      | $3560104.11   | 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        |   6432626 | PA      | $6064253.18   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02746                      | CUSIP: 31294MBP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9580 | PA      | $9555.64      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4511                      | CUSIP: 36179TAL9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3700209 | PA      | $3527056.17   | 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        |   4050250 | PA      | $3249633.25   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6762                      | CUSIP: 3140QSQQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6266203 | PA      | $6421384.47   | 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        |   2848240 | PA      | $2543422.78   | 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        |   9685888 | PA      | $8210100.69   | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6 9/25                    | CUSIP: 01F060691<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -11790000 | PA      | $-12046064.65 | -0.07%            | 2025-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08698                      | CUSIP: 3128MJX47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1726019 | PA      | $1601104.51   | 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        |    832618 | PA      | $752488.82    | 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        |  14771276 | PA      | $12280621.45  | 0.07%             | 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        |   1333089 | PA      | $1316503.86   | 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        |   5568154 | PA      | $5692127.99   | 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        |   1221300 | PA      | $1228795.19   | 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        |     69837 | PA      | $67492.47     | 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        |    291406 | PA      | $283449.17    | 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        |    424241 | PA      | $422135.04    | 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        |    156508 | PA      | $158962.23    | 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        |    121493 | PA      | $118605.10    | 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        |    807481 | PA      | $784593.62    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7510                      | CUSIP: 3132DVKX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2660578 | PA      | $2357326.79   | 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        |   3855201 | PA      | $3371211.27   | 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        |    786002 | PA      | $758824.78    | 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        |    498880 | PA      | $448709.56    | 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        |    650197 | PA      | $672074.02    | 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        |    150094 | PA      | $145057.03    | 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        |   4393240 | PA      | $4355676.60   | 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        |   3514739 | PA      | $3505555.75   | 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        |   4737116 | PA      | $3837734.94   | 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        |   2220881 | PA      | $2003243.00   | 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        |   2381434 | PA      | $2093627.36   | 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        |   6417974 | PA      | $6653127.23   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4599                      | CUSIP: 31418EDD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  30930564 | PA      | $26892826.57  | 0.16%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0303                      | CUSIP: 3138W9KR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1052689 | PA      | $958709.97    | 0.01%             | 2043-08-01      | 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        |   1392276 | PA      | $1298299.64   | 0.01%             | 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        |   2066799 | PA      | $2147908.55   | 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        |    211013 | PA      | $204500.78    | 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        |   6027899 | PA      | $5652564.41   | 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        |   1928045 | PA      | $1753230.39   | 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        |   2160524 | PA      | $2187911.01   | 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        |    667338 | PA      | $655042.16    | 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        |   3349718 | PA      | $2934421.80   | 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        |   2521756 | PA      | $2482103.03   | 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        |   1331693 | PA      | $1285648.22   | 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        |   8329504 | PA      | $8757936.48   | 0.05%             | 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        |   3727576 | PA      | $3645868.71   | 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        |       787 | PA      | $827.09       | 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        |    721277 | PA      | $704540.47    | 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        |   2044806 | PA      | $1948486.88   | 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        |  13095257 | PA      | $11611824.75  | 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        |     41195 | PA      | $41791.78     | 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        |    137267 | PA      | $139597.61    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4958                      | CUSIP: 31418EQL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2011664 | PA      | $1943052.12   | 0.01%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4646                      | CUSIP: 3132A5ET8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    983937 | PA      | $880705.55    | 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        |   1009944 | PA      | $948004.95    | 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        |      9638 | PA      | $10485.45     | 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        |   2139782 | PA      | $2106254.25   | 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        |   4155719 | PA      | $3946965.23   | 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        |    315934 | PA      | $309685.04    | 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        |   7814967 | PA      | $6624242.18   | 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        |  21490768 | PA      | $21369654.90  | 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        |   5309817 | PA      | $4303362.92   | 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        |     24318 | PA      | $24208.99     | 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        |     14942 | PA      | $15453.70     | 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        |    351235 | PA      | $346848.65    | 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        |    972228 | PA      | $1009188.05   | 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        |   2203363 | PA      | $2307733.79   | 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        |  13414898 | PA      | $10750586.76  | 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        |   1960935 | PA      | $2054434.79   | 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        |    603434 | PA      | $613719.30    | 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        |  24306422 | PA      | $19585302.84  | 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        |    205820 | PA      | $198594.71    | 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        |   2573133 | PA      | $2362543.85   | 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        |   2717643 | PA      | $2831725.13   | 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        |   1650055 | PA      | $1577996.63   | 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        |    754614 | PA      | $744282.46    | 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        |   2616617 | PA      | $2566390.27   | 0.02%             | 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        |     22007 | PA      | $22000.64     | 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        |      4196 | PA      | $4175.62      | 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        |   4714114 | PA      | $4357032.14   | 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        |    129951 | PA      | $127764.83    | 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        |   4378942 | PA      | $4237993.10   | 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        |   2158749 | PA      | $1910672.18   | 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        |    298215 | PA      | $303194.66    | 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        |    441037 | PA      | $429942.26    | 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        |    201452 | PA      | $192937.49    | 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        |  12446029 | PA      | $12800696.27  | 0.08%             | 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        |  16988283 | PA      | $13614267.58  | 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        |    124981 | PA      | $124597.09    | 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        |    662244 | PA      | $641952.36    | 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        |   1643457 | PA      | $1542453.73   | 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        |     34857 | PA      | $34306.64     | 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        |     29226 | PA      | $28914.74     | 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        |    356223 | PA      | $330018.95    | 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        |    395168 | PA      | $401172.57    | 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        |   1964497 | PA      | $1895603.22   | 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        |    179438 | PA      | $167485.10    | 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        |    888314 | PA      | $783178.21    | 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        |    480762 | PA      | $455710.59    | 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        |   2196550 | PA      | $2008201.76   | 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        |   2674895 | PA      | $2559715.87   | 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        |    208519 | PA      | $193180.17    | 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        |   4235731 | PA      | $3709263.45   | 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        |   3663504 | PA      | $3074404.59   | 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        |  16029566 | PA      | $16155954.27  | 0.10%             | 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        |   1130546 | PA      | $1022034.08   | 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        |   1451069 | PA      | $1345008.05   | 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        |   2419155 | PA      | $2044513.05   | 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        |     18868 | PA      | $19593.19     | 0.00%             | 2042-10-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4883                        | CUSIP: 36202FM86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    376973 | PA      | $375011.68    | 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        |   3282097 | PA      | $3422949.98   | 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        |    104022 | PA      | $95033.96     | 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        |    553847 | PA      | $562401.81    | 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        |    840217 | PA      | $777622.66    | 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        |   1136892 | PA      | $996651.08    | 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        |     60555 | PA      | $61568.02     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3858                      | CUSIP: 3132E0JB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1969509 | PA      | $2051877.33   | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01725                      | CUSIP: 31292H4J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    112437 | PA      | $116119.72    | 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        |     10350 | PA      | $10166.58     | 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        |  31825350 | PA      | $29950680.81  | 0.18%             | 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        |   3944189 | PA      | $3698598.95   | 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        |      7412 | PA      | $7805.04      | 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        |   3428977 | PA      | $3458512.80   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4577                      | CUSIP: 31418ECP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1901245 | PA      | $1514135.41   | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5055                      | CUSIP: 3138XUTM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    290972 | PA      | $272393.26    | 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        |  20047072 | PA      | $17081662.72  | 0.10%             | 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        |   5218856 | PA      | $5058795.91   | 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        |    282975 | PA      | $274561.28    | 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        |    822883 | PA      | $723176.77    | 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        |   3869147 | PA      | $3413634.65   | 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        |    664868 | PA      | $529495.24    | 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        |   2733843 | PA      | $2450159.74   | 0.01%             | 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        |     13288 | PA      | $13083.60     | 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        |     28687 | PA      | $29167.98     | 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        |    108618 | PA      | $100305.97    | 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        |   4656985 | PA      | $3953246.25   | 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        |   1448472 | PA      | $1490823.34   | 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        |    130370 | PA      | $120779.98    | 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        |    309781 | PA      | $327947.23    | 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        |    140968 | PA      | $141026.97    | 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        |   4115577 | PA      | $3931337.77   | 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        |    597015 | PA      | $582436.29    | 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        |     18518 | PA      | $19075.47     | 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        |   3444800 | PA      | $3376826.83   | 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        |  47225505 | PA      | $47667965.67  | 0.29%             | 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        |  12111753 | PA      | $12274432.92  | 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        |    361886 | PA      | $354621.31    | 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        |   2044139 | PA      | $1975719.70   | 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        |    674968 | PA      | $658082.99    | 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        |  29350754 | PA      | $24035212.50  | 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        |     79070 | PA      | $77552.15     | 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        |    482251 | PA      | $460646.48    | 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        |    158404 | PA      | $160894.72    | 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        |   1597385 | PA      | $1410324.22   | 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        |    114638 | PA      | $109370.22    | 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        |   3269096 | PA      | $2916905.93   | 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        |   1057497 | PA      | $1004873.32   | 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        |   3915221 | PA      | $3956379.22   | 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        |    317733 | PA      | $309706.20    | 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        |   2473632 | PA      | $2499010.32   | 0.02%             | 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        |    690667 | PA      | $617703.70    | 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        |   7856030 | PA      | $7931063.66   | 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        |   2104889 | PA      | $1767733.73   | 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        |   1546939 | PA      | $1411875.81   | 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        |   1737265 | PA      | $1609472.05   | 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        |   7045791 | PA      | $7152718.33   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8272                      | CUSIP: 3132DWFM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223940 | PA      | $194181.74    | 0.00%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7406                      | CUSIP: 3132DVGP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6969482 | PA      | $6901179.96   | 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        |    209649 | PA      | $169714.04    | 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        |  25640455 | PA      | $21847659.83  | 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        |     13389 | PA      | $12273.70     | 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        |    586118 | PA      | $546661.41    | 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        |   4013088 | PA      | $4099072.41   | 0.02%             | 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        |     72379 | PA      | $72265.09     | 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        |   1896603 | PA      | $1759901.09   | 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        |   2568825 | PA      | $2166991.24   | 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        |   1800892 | PA      | $1640420.91   | 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        |   6740557 | PA      | $6119721.17   | 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        |    728204 | PA      | $571659.93    | 0.00%             | 2051-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8204                      | CUSIP: 3132DWDH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5402946 | PA      | $4309614.28   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 779239                      | CUSIP: 36176XPY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     90931 | PA      | $85551.51     | 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        |      4674 | PA      | $4753.97      | 0.00%             | 2041-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4826                      | CUSIP: 3140QQLG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2587518 | PA      | $2423977.35   | 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        |   2477069 | PA      | $2363866.76   | 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        |   1252585 | PA      | $1162441.31   | 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        |   5158271 | PA      | $5139957.64   | 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        |    748396 | PA      | $707392.79    | 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        |    243823 | PA      | $243891.59    | 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        |   3010450 | PA      | $2534829.78   | 0.02%             | 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        |    423991 | PA      | $419327.63    | 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        |   2468824 | PA      | $2543806.02   | 0.02%             | 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        |  23425189 | PA      | $19738891.32  | 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        |    685388 | PA      | $662486.38    | 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        |   1180805 | PA      | $950714.83    | 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        |     28769 | PA      | $28217.03     | 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        |  26981662 | PA      | $23007335.81  | 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        |   1388509 | PA      | $1344562.40   | 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        |   7140752 | PA      | $6793208.05   | 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        |     36920 | PA      | $36896.42     | 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        |   1399787 | PA      | $1130088.83   | 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        |   4086916 | PA      | $4119139.85   | 0.03%             | 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        |     42547 | PA      | $41232.33     | 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        |    143862 | PA      | $151578.13    | 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        |     17701 | PA      | $18400.45     | 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        |    694109 | PA      | $683921.87    | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2.5 9/25                  | CUSIP: 01F022493<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $4878656.12   | 0.03%             | 2025-09-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3596                      | CUSIP: 36179R7H6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8222703 | PA      | $7388236.80   | 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        |    309546 | PA      | $299491.01    | 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        |    106290 | PA      | $103562.01    | 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        |    235986 | PA      | $209063.41    | 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        |   9395531 | PA      | $8575205.86   | 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        |    412623 | PA      | $389464.54    | 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        |     84433 | PA      | $85760.76     | 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        |    480973 | PA      | $495319.45    | 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        |    130184 | PA      | $126172.38    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ8545                      | CUSIP: 3140KUP71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3363132 | PA      | $2556701.41   | 0.02%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08255                      | CUSIP: 3128MJH94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166965 | PA      | $169683.20    | 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        |    136584 | PA      | $135477.37    | 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        |    183246 | PA      | $186362.62    | 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        |     25312 | PA      | $24924.09     | 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        |    500629 | PA      | $492411.22    | 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        |    102376 | PA      | $99133.37     | 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        |    422985 | PA      | $421099.03    | 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        |       622 | PA      | $634.06       | 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        |    251063 | PA      | $234567.01    | 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        |   3529002 | PA      | $3567413.56   | 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        |   2494794 | PA      | $2184710.72   | 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        |    131924 | PA      | $120675.45    | 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        |   5224673 | PA      | $5093822.91   | 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        |    496559 | PA      | $470689.81    | 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        |   4629086 | PA      | $4689211.82   | 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        |    578220 | PA      | $587845.48    | 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        |  20398837 | PA      | $19709466.24  | 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        |     33218 | PA      | $33569.31     | 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        |    111925 | PA      | $108994.68    | 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        |  40784571 | PA      | $32633431.93  | 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        |   5871922 | PA      | $5308324.65   | 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        |  15027453 | PA      | $11405303.18  | 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        |   3373217 | PA      | $2720133.71   | 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        |    248164 | PA      | $241544.04    | 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        |   8086318 | PA      | $6788547.16   | 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        |    211618 | PA      | $212453.64    | 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        |   3701026 | PA      | $2996042.13   | 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        |    497969 | PA      | $468646.65    | 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        |  13308255 | PA      | $11322134.85  | 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        |    600470 | PA      | $597829.00    | 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        |   3979185 | PA      | $3944167.39   | 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        |  19232105 | PA      | $19666313.80  | 0.12%             | 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        |    151736 | PA      | $147236.20    | 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        |    339351 | PA      | $312850.92    | 0.00%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3881                      | CUSIP: 3140XKJ35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2644190 | PA      | $2674485.36   | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555743                      | CUSIP: 31385XLY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    132805 | PA      | $134493.08    | 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        |    142053 | PA      | $130618.57    | 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        |    150841 | PA      | $150184.13    | 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        |    575380 | PA      | $564386.30    | 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        |   2021426 | PA      | $1783444.87   | 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        |   8291972 | PA      | $6956013.60   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1285                      | CUSIP: 3140QLNB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6940801 | PA      | $6080284.10   | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6261                      | CUSIP: 3133KM5W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1540035 | PA      | $1308275.61   | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4133                      | CUSIP: 3140QPSX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2997663 | PA      | $2899168.91   | 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        |   9410987 | PA      | $8409450.57   | 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        |     55041 | PA      | $53395.57     | 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        |    242591 | PA      | $232722.84    | 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        |  10376614 | PA      | $10699220.39  | 0.07%             | 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        |   2997024 | PA      | $3077800.28   | 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        |   7147495 | PA      | $5786015.54   | 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        |   3993273 | PA      | $3958381.10   | 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        |    219872 | PA      | $223521.08    | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5247                      | CUSIP: 36184BZL4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    328990 | PA      | $306156.76    | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ5688                      | CUSIP: 3138YXKA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    234869 | PA      | $230263.40    | 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        |  19987934 | PA      | $16717613.86  | 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        |   2472971 | PA      | $2536532.26   | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5776                      | CUSIP: 31419GM27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $68.50        | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13166                      | CUSIP: 3128PSQT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $27.84        | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08669                      | CUSIP: 3128MJW71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2341858 | PA      | $2245724.17   | 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        |   1980552 | PA      | $1817303.11   | 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        |  34347064 | PA      | $35049444.27  | 0.21%             | 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        |   1678963 | PA      | $1606220.52   | 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        |   7986445 | PA      | $8070961.21   | 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        |    643268 | PA      | $634460.34    | 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        |    525288 | PA      | $503338.97    | 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        |   3648893 | PA      | $3802542.23   | 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        |   1302347 | PA      | $1313565.39   | 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        |    235516 | PA      | $238832.34    | 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        |    756969 | PA      | $756251.37    | 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        |     20357 | PA      | $20302.29     | 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        |  13108997 | PA      | $10742073.60  | 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        |   1250703 | PA      | $1170309.27   | 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        |    460552 | PA      | $436050.75    | 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        |   6986974 | PA      | $7153454.81   | 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        |   1486444 | PA      | $1429127.06   | 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        |   6073582 | PA      | $4939441.09   | 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        |   1244332 | PA      | $1145410.53   | 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        |   1965906 | PA      | $2034098.79   | 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        |     83678 | PA      | $84978.41     | 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        |    245966 | PA      | $223323.17    | 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        |   5501451 | PA      | $5600414.37   | 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        |    985763 | PA      | $925927.16    | 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        |    721522 | PA      | $657123.12    | 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        |  16308098 | PA      | $13355910.09  | 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        |     38051 | PA      | $38616.93     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7096                      | CUSIP: 3133KN3D3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7928031 | PA      | $7189383.02   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0649                      | CUSIP: 31418MWK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47344 | PA      | $49027.16     | 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        |   1183264 | PA      | $1182011.98   | 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        |   4172701 | PA      | $4388304.30   | 0.03%             | 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        |     70513 | PA      | $68023.43     | 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        |  10805693 | PA      | $11016956.52  | 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        |   1988566 | PA      | $1938045.55   | 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        |   1588746 | PA      | $1464743.09   | 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        |   4462020 | PA      | $4467095.02   | 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        |   1768078 | PA      | $1668683.09   | 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        |   1571581 | PA      | $1574933.86   | 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        |    193720 | PA      | $196982.41    | 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        |     35531 | PA      | $34711.81     | 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        |   4741453 | PA      | $4826745.34   | 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        |     17873 | PA      | $17812.09     | 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        |   4243371 | PA      | $4100982.58   | 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        |   2631474 | PA      | $2734537.95   | 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        |     43973 | PA      | $44662.18     | 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        |    344823 | PA      | $338450.33    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 9/25                    | CUSIP: 01F050692<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7280000 | PA      | $7179615.35   | 0.04%             | 2025-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1028                      | CUSIP: 31418AEA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197443 | PA      | $191510.88    | 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        |   3298416 | PA      | $2662906.86   | 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        |   1669955 | PA      | $1539182.76   | 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        |    178098 | PA      | $172669.83    | 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        |   1628981 | PA      | $1427020.84   | 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        |   3326206 | PA      | $2949673.40   | 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        |   4252780 | PA      | $4241668.45   | 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        |    570274 | PA      | $489443.15    | 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        |   2120637 | PA      | $2173180.51   | 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        |   2296079 | PA      | $2293638.59   | 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        |    171214 | PA      | $169343.24    | 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        |    665720 | PA      | $630121.71    | 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        |  10047396 | PA      | $10299957.10  | 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        |    120118 | PA      | $117064.94    | 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        |    109535 | PA      | $111407.24    | 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        |    160564 | PA      | $160326.22    | 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        |   8459193 | PA      | $7167667.39   | 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        |   4983695 | PA      | $4684851.66   | 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        |    160871 | PA      | $149137.56    | 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        |    343707 | PA      | $330736.07    | 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        |    394238 | PA      | $400000.60    | 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        |    145466 | PA      | $143144.65    | 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        |      7835 | PA      | $7939.56      | 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        |    823048 | PA      | $745340.57    | 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        |   8564790 | PA      | $7527020.33   | 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        |   1400958 | PA      | $1322682.75   | 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        |    354504 | PA      | $317310.47    | 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        |    236513 | PA      | $236583.75    | 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        |     10135 | PA      | $10571.73     | 0.00%             | 2041-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5091                      | CUSIP: 3133KYUQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1465321 | PA      | $1314284.49   | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5918                      | CUSIP: 3140XMSG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2105756 | PA      | $2148241.64   | 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        |      1119 | PA      | $1183.22      | 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        |   2002741 | PA      | $1847050.93   | 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        |   7937311 | PA      | $7435642.74   | 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        |    591653 | PA      | $585155.33    | 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        |   2963412 | PA      | $2945482.86   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5389                      | CUSIP: 31418E7B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9557376 | PA      | $9773155.67   | 0.06%             | 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        |    545653 | PA      | $574568.98    | 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        |     10806 | PA      | $10988.24     | 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        |   2692773 | PA      | $2782006.39   | 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        |   1409123 | PA      | $1364502.79   | 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        |   2390554 | PA      | $2100897.99   | 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        |    608317 | PA      | $581751.55    | 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        |    116292 | PA      | $109844.61    | 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        |   2505891 | PA      | $2398032.51   | 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        |   1027594 | PA      | $1053055.09   | 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        |    328001 | PA      | $328993.80    | 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        |    335945 | PA      | $342933.02    | 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        |   6731994 | PA      | $5390755.78   | 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        |     51475 | PA      | $50834.95     | 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        |    141690 | PA      | $132248.10    | 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        |   2204457 | PA      | $1868575.79   | 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        |    119058 | PA      | $114700.76    | 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        |     19163 | PA      | $19922.42     | 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        |   4212919 | PA      | $3534155.60   | 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        |   9773889 | PA      | $9114164.75   | 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        |    303019 | PA      | $314821.96    | 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        |    924692 | PA      | $930345.51    | 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        |   2773761 | PA      | $2637360.65   | 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        |   2278745 | PA      | $2267941.96   | 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        |    660797 | PA      | $608265.71    | 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        |    338786 | PA      | $358347.33    | 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        |   2039052 | PA      | $2090441.11   | 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        |   1817014 | PA      | $1845157.08   | 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        |    174352 | PA      | $177230.19    | 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        |  16495722 | PA      | $14058213.27  | 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        |    449071 | PA      | $441515.42    | 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        |    678355 | PA      | $658822.09    | 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        |   4777627 | PA      | $4928790.56   | 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        |      2515 | PA      | $2569.99      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7162                      | CUSIP: 3138WG5Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1077596 | PA      | $1002705.99   | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4521                      | CUSIP: 31418EAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    736033 | PA      | $654976.88    | 0.00%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QI5350                      | CUSIP: 3133WB5K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3490069 | PA      | $3568865.69   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD9110                      | CUSIP: 36180NDP7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    371849 | PA      | $338406.54    | 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        |   4565274 | PA      | $4612112.32   | 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        |  19812011 | PA      | $17603304.38  | 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        |   3648099 | PA      | $3458003.59   | 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        |    533411 | PA      | $495140.83    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2908                      | CUSIP: 3140X6GS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    621629 | PA      | $626804.00    | 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        |    382878 | PA      | $376041.67    | 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        |    944739 | PA      | $887340.81    | 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        |   6829768 | PA      | $6123880.67   | 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        |   1361544 | PA      | $1333403.05   | 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        |   7086248 | PA      | $5951192.42   | 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        |    118607 | PA      | $117611.60    | 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        |   2757712 | PA      | $2795484.72   | 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        |     66944 | PA      | $66716.08     | 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        |    244449 | PA      | $242100.00    | 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        |  12799705 | PA      | $10785483.57  | 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        |   1381204 | PA      | $1433089.33   | 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        |   1655561 | PA      | $1646877.55   | 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        |   1245372 | PA      | $1213750.54   | 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        |    467392 | PA      | $485716.53    | 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        |   8352938 | PA      | $8284128.80   | 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        |     66937 | PA      | $64464.13     | 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        |   6167201 | PA      | $6308976.23   | 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        |   3529701 | PA      | $3149448.40   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 9/25                  | CUSIP: 01F052698<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11240000 | PA      | $11305859.66  | 0.07%             | 2025-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3907                      | CUSIP: 3138WDKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1500305 | PA      | $1444259.93   | 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        |    264289 | PA      | $260143.42    | 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        |    778550 | PA      | $790020.25    | 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        |    327232 | PA      | $323978.63    | 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        |   9926597 | PA      | $9194844.35   | 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        |   4052953 | PA      | $3415161.36   | 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        |   5033373 | PA      | $5273371.32   | 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        |    579528 | PA      | $532596.51    | 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        |   4445049 | PA      | $4078661.85   | 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        |     75576 | PA      | $78138.60     | 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        |    179476 | PA      | $186748.05    | 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        |    202099 | PA      | $197224.79    | 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        |    167362 | PA      | $156140.06    | 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        |  10554991 | PA      | $9133529.59   | 0.06%             | 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        |  10895482 | PA      | $11271707.37  | 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        |    491275 | PA      | $506636.72    | 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        |    248499 | PA      | $257292.68    | 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        |   6792823 | PA      | $6934917.43   | 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        |    173010 | PA      | $157776.61    | 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        |   5439140 | PA      | $5485990.38   | 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        |    647163 | PA      | $519237.90    | 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        |   5046617 | PA      | $5137398.72   | 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        |     79839 | PA      | $79569.06     | 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        |   1097770 | PA      | $1014206.11   | 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        |   2323928 | PA      | $2414159.99   | 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        |  16640731 | PA      | $13834859.20  | 0.08%             | 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        |   6798630 | PA      | $6876311.58   | 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        |    166720 | PA      | $169306.34    | 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        |  22294888 | PA      | $21992787.71  | 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        |   2492478 | PA      | $2278754.54   | 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        |   1518185 | PA      | $1336129.09   | 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        |    463861 | PA      | $463902.38    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14198                      | CUSIP: 3128PTUX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15480 | PA      | $15430.10     | 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        |     80714 | PA      | $82051.98     | 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        |   3273154 | PA      | $3276877.05   | 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        |     47354 | PA      | $46556.30     | 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        |   3932814 | PA      | $3999872.65   | 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        |    176536 | PA      | $171805.96    | 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        |    169951 | PA      | $169429.78    | 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        |   5441150 | PA      | $4399600.49   | 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        |   1612826 | PA      | $1634782.04   | 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        |   1347130 | PA      | $1199057.54   | 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        |    861554 | PA      | $777268.95    | 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        |     37949 | PA      | $37905.35     | 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        |   9458746 | PA      | $9844722.87   | 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        |  13955907 | PA      | $11672515.28  | 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        |   1910908 | PA      | $1872007.85   | 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        |    173862 | PA      | $162370.85    | 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        |   2580926 | PA      | $2454965.77   | 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        |     92528 | PA      | $89747.80     | 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        |  11378819 | PA      | $10060531.75  | 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        |   3076404 | PA      | $2559599.99   | 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        |     17464 | PA      | $17358.45     | 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        |    422200 | PA      | $413868.68    | 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        |  44343000 | PA      | $45344145.15  | 0.28%             | 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        |     14871 | PA      | $15473.03     | 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        |     59046 | PA      | $58864.46     | 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        |   2432609 | PA      | $2210526.16   | 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        |     87201 | PA      | $86241.89     | 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        |    203891 | PA      | $186179.15    | 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        |   1168942 | PA      | $1005586.35   | 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        |    124740 | PA      | $124676.54    | 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        |  20757219 | PA      | $17012598.17  | 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        |     23147 | PA      | $23085.00     | 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        |   1112618 | PA      | $961700.01    | 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        |    445518 | PA      | $413024.22    | 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        |    284716 | PA      | $283278.74    | 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        |  25110680 | PA      | $25350514.66  | 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        |   4994600 | PA      | $4027603.29   | 0.02%             | 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        |   5351031 | PA      | $5393778.20   | 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        |   5687084 | PA      | $5523327.05   | 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        |    893274 | PA      | $766661.38    | 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        |    217087 | PA      | $203837.84    | 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        |   1759763 | PA      | $1826541.04   | 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        |   3618869 | PA      | $3764186.43   | 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        |    199784 | PA      | $199003.72    | 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        |      1278 | PA      | $1384.22      | 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        |   2785270 | PA      | $2854522.22   | 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        |   4201911 | PA      | $3870008.80   | 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        |   3713291 | PA      | $3703589.36   | 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        |     55487 | PA      | $49807.04     | 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        |   6282856 | PA      | $5923060.41   | 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        |    650543 | PA      | $570702.39    | 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        |    317746 | PA      | $300589.76    | 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        |    542681 | PA      | $546406.29    | 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        |   2678831 | PA      | $2149303.82   | 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        |  15308885 | PA      | $12804126.14  | 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        |    476221 | PA      | $433214.00    | 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        |    813626 | PA      | $763474.10    | 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        |    289179 | PA      | $260735.30    | 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        |   6386661 | PA      | $5152145.97   | 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        |    233869 | PA      | $231313.86    | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16933                      | CUSIP: 3128PWV21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115042 | PA      | $114158.13    | 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        |     33057 | PA      | $32945.57     | 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        |   2865455 | PA      | $2814286.52   | 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        |     72988 | PA      | $72650.83     | 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        |   3749338 | PA      | $3816782.85   | 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        |   3206992 | PA      | $3371694.63   | 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        |    286411 | PA      | $296186.03    | 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        |   1069602 | PA      | $1007614.64   | 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        |   1104720 | PA      | $969137.93    | 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        |   2585728 | PA      | $2624969.46   | 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        |  23654551 | PA      | $24555126.66  | 0.15%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QH4901                      | CUSIP: 3133CHNS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    292332 | PA      | $288918.89    | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5528                      | CUSIP: 36179UD90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2081330 | PA      | $1976778.53   | 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        |   8879372 | PA      | $7922802.08   | 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        |  12991922 | PA      | $12127138.06  | 0.07%             | 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        |   1268421 | PA      | $1229095.42   | 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        |   4616480 | PA      | $4395390.61   | 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        |   1436399 | PA      | $1340635.50   | 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        |   8236334 | PA      | $7877640.46   | 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        |  13333048 | PA      | $12632012.31  | 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        |    826930 | PA      | $667346.04    | 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        |    208235 | PA      | $200505.85    | 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        |   2067644 | PA      | $1853943.97   | 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        |   3881685 | PA      | $4087390.50   | 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        |    433409 | PA      | $424307.39    | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3120                      | CUSIP: 3140QNPE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6049337 | PA      | $5248302.25   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18605                      | CUSIP: 3128MMU76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    636744 | PA      | $622945.59    | 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        |    629192 | PA      | $603777.73    | 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        |    772462 | PA      | $730102.41    | 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        |    105308 | PA      | $108921.56    | 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        |     17514 | PA      | $17355.31     | 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        |   1425672 | PA      | $1358683.12   | 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        |    943154 | PA      | $896511.18    | 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        |   2536117 | PA      | $2348473.81   | 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        |    441543 | PA      | $425440.68    | 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        |    581143 | PA      | $523649.08    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3416                      | CUSIP: 3132A3YM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1787409 | PA      | $1691923.86   | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1290                      | CUSIP: 3132DNNF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2571729 | PA      | $2494240.83   | 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        |     13896 | PA      | $14129.75     | 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        |   2678318 | PA      | $2378056.33   | 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        |   4374649 | PA      | $4441039.12   | 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        |   4347983 | PA      | $3912437.24   | 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        |     80338 | PA      | $81601.24     | 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        |   3303476 | PA      | $2738208.67   | 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        |    248438 | PA      | $240706.30    | 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        |  20957336 | PA      | $18281419.26  | 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        |    207412 | PA      | $203837.90    | 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        |     25051 | PA      | $25407.68     | 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        |    774536 | PA      | $735022.09    | 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        |   8259547 | PA      | $8354999.14   | 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        |      2149 | PA      | $2104.22      | 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        |   2035229 | PA      | $1993797.55   | 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        |   1712451 | PA      | $1530208.21   | 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        |    119890 | PA      | $116382.30    | 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        |   8709983 | PA      | $7812989.37   | 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        |   4399818 | PA      | $3863955.39   | 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        |    768483 | PA      | $757388.30    | 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        |     52964 | PA      | $52442.77     | 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        |   2301369 | PA      | $2225752.34   | 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        |    136646 | PA      | $132159.84    | 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        |      8975 | PA      | $9172.16      | 0.00%             | 2041-12-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725773                      | CUSIP: 31402DJS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16069 | PA      | $16593.28     | 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        |     43646 | PA      | $44329.89     | 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        |     69348 | PA      | $70449.57     | 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        |     38932 | PA      | $38893.77     | 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        |    137464 | PA      | $133423.90    | 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        |     41887 | PA      | $44279.71     | 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        |  11085870 | PA      | $11160572.81  | 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        |    973202 | PA      | $927506.10    | 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        |    489065 | PA      | $470206.91    | 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        |   8404041 | PA      | $8510571.31   | 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        |   2823962 | PA      | $2609612.10   | 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        |   1352895 | PA      | $1373868.52   | 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        |   9270756 | PA      | $8173520.01   | 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        |    139325 | PA      | $132435.08    | 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        |   6259138 | PA      | $5066876.02   | 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        |      4496 | PA      | $4563.77      | 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        |    293067 | PA      | $263801.31    | 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        |   3020541 | PA      | $2795518.70   | 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        |   1654399 | PA      | $1669722.47   | 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        |  10454422 | PA      | $9164822.17   | 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        |    546088 | PA      | $531398.40    | 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        |    414493 | PA      | $396455.94    | 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        |   1187166 | PA      | $1153387.04   | 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        |    610000 | PA      | $608856.15    | 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        |   4510781 | PA      | $4181788.52   | 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        |   4276108 | PA      | $3429509.37   | 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        |     72275 | PA      | $76305.95     | 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        |   5732344 | PA      | $4794448.11   | 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        |   3378634 | PA      | $3557681.41   | 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        |  10487624 | PA      | $9357797.73   | 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        |     80345 | PA      | $76163.83     | 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        |   1267867 | PA      | $1243224.12   | 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        |   5359197 | PA      | $5318398.60   | 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        |    508153 | PA      | $508189.27    | 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        |   2716568 | PA      | $2677396.23   | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3.5 9/25                  | CUSIP: 01F032690<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3470000 | PA      | $3135334.81   | 0.02%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18475                      | CUSIP: 3128MMQ55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    295656 | PA      | $289894.24    | 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        |   1349988 | PA      | $1284868.08   | 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        |   5187848 | PA      | $5179542.92   | 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        |     87302 | PA      | $82848.18     | 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        |    336829 | PA      | $314056.89    | 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        |   2920475 | PA      | $2750492.40   | 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        |    488841 | PA      | $473619.51    | 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        |   3578117 | PA      | $3143449.20   | 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        |    201915 | PA      | $187188.36    | 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        |   8367809 | PA      | $8569806.71   | 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        |   2156569 | PA      | $2018469.52   | 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        |    171775 | PA      | $171204.98    | 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        |    547708 | PA      | $529528.02    | 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        |   4252036 | PA      | $3812553.37   | 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        |   4111219 | PA      | $3760298.76   | 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        |    339134 | PA      | $330156.16    | 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        |   2399097 | PA      | $2253462.29   | 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        |    439560 | PA      | $430140.94    | 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        |    874537 | PA      | $729810.02    | 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        |   3560411 | PA      | $3753000.06   | 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        |    177890 | PA      | $180653.95    | 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        |   1090371 | PA      | $1009696.01   | 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        |   1593452 | PA      | $1471756.62   | 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        |    159932 | PA      | $155089.62    | 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        |   1559275 | PA      | $1485333.70   | 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        |    903531 | PA      | $858000.98    | 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        |   5571993 | PA      | $5006437.84   | 0.03%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0364                      | CUSIP: 3618N5MN6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1928229 | PA      | $1856695.52   | 0.01%             | 2055-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8030                      | CUSIP: 3140XB4Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2206773 | PA      | $2045822.04   | 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        |    336852 | PA      | $338292.26    | 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        |   3392854 | PA      | $3031779.43   | 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        |    130009 | PA      | $125634.88    | 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        |      8274 | PA      | $8412.97      | 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        |    280849 | PA      | $280627.28    | 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        |   2000480 | PA      | $1906866.58   | 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        |    352216 | PA      | $350916.34    | 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        |     40988 | PA      | $40939.90     | 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        |    324565 | PA      | $317508.48    | 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        |    475306 | PA      | $437520.17    | 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        |   5353309 | PA      | $5019978.26   | 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        |   3395657 | PA      | $3448251.05   | 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        |   6473280 | PA      | $6428046.73   | 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        |     26268 | PA      | $26160.42     | 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        |    219679 | PA      | $231542.36    | 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        |  34911889 | PA      | $35689195.07  | 0.22%             | 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        |   1235786 | PA      | $1189018.62   | 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        |   1559187 | PA      | $1411493.45   | 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        |   1039901 | PA      | $839542.00    | 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        |   5289919 | PA      | $5407698.47   | 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        |   8479286 | PA      | $6446076.42   | 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        |    217881 | PA      | $205123.70    | 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        |    471142 | PA      | $455342.19    | 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        |    447121 | PA      | $447003.60    | 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        |    754210 | PA      | $647308.10    | 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        |    307030 | PA      | $301248.92    | 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        |   1470250 | PA      | $1373648.93   | 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        |  21354356 | PA      | $20707300.21  | 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        |    238945 | PA      | $193206.31    | 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        |    561020 | PA      | $451875.78    | 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        |   4561342 | PA      | $4734645.12   | 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        |    383710 | PA      | $361018.60    | 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        |    866344 | PA      | $862017.37    | 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        |    582382 | PA      | $553959.53    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 9/25                    | CUSIP: 01F040693<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3850000 | PA      | $3593283.16   | 0.02%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3209                      | CUSIP: 31418CR71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    227329 | PA      | $201844.25    | 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        |   5349276 | PA      | $4639785.83   | 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        |  22780694 | PA      | $19010723.74  | 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        |   2052743 | PA      | $2031984.14   | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90918                      | CUSIP: 3128P7AT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $42.23        | 0.00%             | 2025-09-01      | 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        |      8075 | PA      | $8040.81      | 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        |   2407065 | PA      | $1939532.27   | 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        |    239335 | PA      | $232687.58    | 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        |    225884 | PA      | $196203.01    | 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        |     57292 | PA      | $56327.53     | 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        |   5005557 | PA      | $4878498.66   | 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        |    385825 | PA      | $375701.60    | 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        |   4981834 | PA      | $4263591.69   | 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        |    172016 | PA      | $174942.18    | 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        |    205220 | PA      | $187645.77    | 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        |      2479 | PA      | $2564.80      | 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        |   8085787 | PA      | $8034339.51   | 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        |      9030 | PA      | $9154.78      | 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        |   6810022 | PA      | $7091461.92   | 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        |     72663 | PA      | $72265.88     | 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        |    660811 | PA      | $633684.46    | 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        |   7344707 | PA      | $7634472.79   | 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        |   7038965 | PA      | $7158987.50   | 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        |   3360523 | PA      | $3350692.70   | 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        |   1833340 | PA      | $1819383.43   | 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        |   3040118 | PA      | $2699307.22   | 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        |  19254929 | PA      | $19066226.69  | 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        |    169626 | PA      | $154926.29    | 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        |   2315637 | PA      | $1874546.85   | 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        |   3184292 | PA      | $3223661.13   | 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        |   9114399 | PA      | $8849105.39   | 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        |      8438 | PA      | $8223.89      | 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        |  11547870 | PA      | $9340975.28   | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-28

**Name of Applicant:** VANGUARD SCOTTSDALE FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer