# EDGAR Filing Document

**Accession Number:** 0001454889
**File Stem:** 0001410368-26-039953
**Filing Date:** 2026-4
**Character Count:** 1690133
**Document Hash:** 92804e06a880cccfbd219a9742dea2fe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-039953.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0001410368-26-039953

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SCHWAB STRATEGIC TRUST
- **CENTRAL INDEX KEY:** 0001454889

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231
- **LEGAL ENTITY IDENTIFIER:** 549300NAZEQOIX80E226

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22311
- **FILM NUMBER:** 26891648

**BUSINESS ADDRESS:**
- **STREET 1:** 425 MARKET STREET
- **STREET 2:** SUITE 1700
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105
- **BUSINESS PHONE:** 800-650-9744

**MAIL ADDRESS:**
- **STREET 1:** 425 MARKET STREET
- **STREET 2:** SUITE 1700
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Schwab Strategic Trust
- **DATE OF NAME CHANGE:** 20090127

## Series and Classes Contracts Data

### Schwab Mortgage-Backed Securities ETF (Series ID: S000088676)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000255020 | Schwab Mortgage-Backed Securities ETF | SMBS            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SCHWAB STRATEGIC TRUST

- **b. Investment Company Act file number:** 811-22311

- **c. CIK number of Registrant:** 0001454889

- **d. LEI of Registrant:** 549300NAZEQOIX80E226

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

  - **Street Address 1:** 425 Market Street

  - **City:** San Francisco

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94105

  - **Telephone number:** 800-648-5300

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

- **a. Name of Series:** Schwab Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000088676

- **c. LEI of Series:** 254900LGB2VUX87D8S92

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

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

- **b. Date as of which information is reported:** 2026-02-28

**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:** $6257670614.75

**Total Liabilities:** $141026.38

**Net Assets:** $6257529588.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 7696.17000000 | **1-Year:** 194.37000000 | **5-Year:** 4077.26000000 | **10-Year:** 135825.89000000 | **30-Year:** 2866493.25000000

**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 C000255020 | 0.15%                | 0.51%                | 1.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-63863.44               | $-13061623.49                              |
| Month 2  | $7554.75                 | $4410854.71                                |
| Month 3  | $-36445.30               | $67238158.49                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AAFD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170165 | PA      | $166427.06    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291815 | PA      | $289935.31    | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312946C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99729 | PA      | $99965.46     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSTC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1208014 | PA      | $1244275.72   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291489 | PA      | $268771.07    | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2897532 | PA      | $2529777.18   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292K2X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78118 | PA      | $79452.40     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0HT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121266 | PA      | $1154469.54   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQGF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1599015 | PA      | $1629194.32   | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103420 | PA      | $104073.29    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMTY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1939718 | PA      | $1635819.04   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ4N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    636784 | PA      | $655284.27    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSWJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1034917 | PA      | $1073108.69   | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9FW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356575 | PA      | $329200.69    | 0.01%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6JX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1132863 | PA      | $1150669.39   | 0.02%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8CY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379575 | PA      | $367524.02    | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QAM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3964916 | PA      | $4071322.74   | 0.07%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYXJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550636 | PA      | $535018.85    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174554 | PA      | $176953.80    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1584310 | PA      | $1520689.59   | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885145 | PA      | $879804.53    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121530 | PA      | $106739.47    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140U37H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2994505 | PA      | $3013866.65   | 0.05%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59433 | PA      | $58407.04     | 0.00%             | 2031-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31426FXA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2328977 | PA      | $2449136.25   | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y14T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143262 | PA      | $139278.65    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5680450 | PA      | $5214605.55   | 0.08%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q9HH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786458 | PA      | $776798.44    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    937305 | PA      | $973485.21    | 0.02%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63577 | PA      | $65220.50     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ERL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1171428 | PA      | $1180325.60   | 0.02%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8CN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273675 | PA      | $272201.29    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44336 | PA      | $45532.03     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XP6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036431 | PA      | $1055763.92   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5880906 | PA      | $5912580.91   | 0.09%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KSZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4269121 | PA      | $3539341.50   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6664301 | PA      | $6029530.76   | 0.10%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUL39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1720945 | PA      | $1766826.47   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QECS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137956 | PA      | $138164.39    | 0.00%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2519853 | PA      | $2318268.92   | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448309 | PA      | $429824.37    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQRM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1742415 | PA      | $1773946.23   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D53R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1110730 | PA      | $1067716.69   | 0.02%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395493 | PA      | $353403.95    | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153569 | PA      | $155657.07    | 0.00%             | 2044-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X52E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636484 | PA      | $570061.54    | 0.01%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1555931 | PA      | $1309241.34   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2318121 | PA      | $2148732.12   | 0.03%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631804 | PA      | $602017.06    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2134764 | PA      | $2170820.69   | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118104 | PA      | $118850.17    | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3148417 | PA      | $2773599.18   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1528217 | PA      | $1460600.63   | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MKD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4927891 | PA      | $5114578.18   | 0.08%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    389192 | PA      | $384377.00    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XT3K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387552 | PA      | $384163.63    | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8HG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111515 | PA      | $111326.36    | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286352 | PA      | $289914.31    | 0.00%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2678141 | PA      | $2704861.43   | 0.04%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E5B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1089146 | PA      | $1059196.35   | 0.02%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WCXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66713 | PA      | $66037.45     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7XQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660722 | PA      | $558985.21    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6771619 | PA      | $6585591.59   | 0.11%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92988 | PA      | $92590.77     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959994 | PA      | $942911.59    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72386 | PA      | $68280.38     | 0.00%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1220453 | PA      | $1073213.23   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2128279 | PA      | $2197799.46   | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4834267 | PA      | $4986466.33   | 0.08%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427Q3N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1134037 | PA      | $1202387.95   | 0.02%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    885711 | PA      | $858727.96    | 0.01%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1807802 | PA      | $1570522.96   | 0.03%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128PXKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     35962 | PA      | $35775.39     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12699910 | PA      | $12432042.68  | 0.20%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200737 | PA      | $1116666.54   | 0.02%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644359 | PA      | $618905.95    | 0.01%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1569314 | PA      | $1326577.93   | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3235528 | PA      | $3004520.01   | 0.05%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140E2HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98159 | PA      | $96848.08     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2ZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158126 | PA      | $155400.58    | 0.00%             | 2046-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    911726 | PA      | $872629.37    | 0.01%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KVF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507637 | PA      | $429511.32    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    462765 | PA      | $434251.81    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1605407 | PA      | $1483338.26   | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1870161 | PA      | $1918807.79   | 0.03%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEKB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45020 | PA      | $41182.74     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009866 | PA      | $1060581.46   | 0.02%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2131468 | PA      | $2178642.85   | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    827742 | PA      | $791118.15    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XXY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    899914 | PA      | $794626.09    | 0.01%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102936 | PA      | $106585.36    | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176737 | PA      | $178259.24    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1793933 | PA      | $1850449.25   | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FPFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112199 | PA      | $110182.53    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106959 | PA      | $107117.34    | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ABPQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669261 | PA      | $565975.73    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QTJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2405695 | PA      | $2525246.53   | 0.04%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUGH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709201 | PA      | $641907.65    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4884400 | PA      | $4966149.80   | 0.08%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508021 | PA      | $431294.69    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DB35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217966 | PA      | $212644.49    | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416WYL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216056 | PA      | $215134.46    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983929 | PA      | $1031570.26   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1597072 | PA      | $1652182.23   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YDM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2254451 | PA      | $2355176.07   | 0.04%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512127 | PA      | $514697.77    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55368 | PA      | $54361.78     | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416SSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259250 | PA      | $263176.74    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9070934 | PA      | $9265128.88   | 0.15%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53228 | PA      | $54439.44     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHZJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784315 | PA      | $742953.98    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124865 | PA      | $129631.34    | 0.00%             | 2052-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4337126 | PA      | $3960546.95   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1802509 | PA      | $1631476.24   | 0.03%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133L8B53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1980159 | PA      | $1855347.14   | 0.03%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ENE96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102063 | PA      | $103690.56    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72070 | PA      | $72966.37     | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101289 | PA      | $100351.04    | 0.00%             | 2054-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267759 | PA      | $274513.40    | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    539585 | PA      | $525796.30    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     72859 | PA      | $76226.18     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2667803 | PA      | $2352930.00   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391482 | PA      | $374003.79    | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5597159 | PA      | $4741612.30   | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQXC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1504204 | PA      | $1537121.66   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557474 | PA      | $508178.84    | 0.01%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5710947 | PA      | $4546159.22   | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424716 | PA      | $413048.40    | 0.01%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129867 | PA      | $123585.32    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6455889 | PA      | $6589183.06   | 0.11%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371K6B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90138 | PA      | $92467.77     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83530 | PA      | $82298.62     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6235844 | PA      | $6506870.15   | 0.10%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71731 | PA      | $75045.82     | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3254908 | PA      | $3268506.49   | 0.05%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140B6EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3627325 | PA      | $3763869.37   | 0.06%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9NL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229575 | PA      | $211097.03    | 0.00%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71342 | PA      | $68521.12     | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1457574 | PA      | $1388954.86   | 0.02%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1570367 | PA      | $1444010.33   | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506158 | PA      | $488382.69    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214458 | PA      | $198771.42    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55107 | PA      | $56965.25     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366549 | PA      | $361008.85    | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSDV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2740461 | PA      | $2925247.79   | 0.05%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378308 | PA      | $391997.22    | 0.01%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312941NJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100445 | PA      | $102159.41    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10236253 | PA      | $9038630.44   | 0.14%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1597145 | PA      | $1635829.99   | 0.03%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426150 | PA      | $394138.12    | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6YK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643543 | PA      | $639661.59    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3136352 | PA      | $3312918.05   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330553 | PA      | $290842.32    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X66N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1829231 | PA      | $1621306.61   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     66979 | PA      | $66372.72     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17318413 | PA      | $15278147.17  | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9323183 | PA      | $8232387.37   | 0.13%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FDX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71513 | PA      | $73918.52     | 0.00%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6EE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90833 | PA      | $91522.98     | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107290 | PA      | $106369.10    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHYN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261798 | PA      | $255709.31    | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WLKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1120114 | PA      | $1137755.78   | 0.02%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617BC6D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186343 | PA      | $185471.88    | 0.00%             | 2047-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140B4W71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3686692 | PA      | $3754864.81   | 0.06%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945ZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66587 | PA      | $67641.38     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0LG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3588008 | PA      | $3657154.91   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31294UAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     50846 | PA      | $50249.85     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257207 | PA      | $246601.71    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5327893 | PA      | $5472451.28   | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195874 | PA      | $1232836.96   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4426294 | PA      | $4632330.44   | 0.07%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182399 | PA      | $175187.75    | 0.00%             | 2048-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190967 | PA      | $197793.80    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170846 | PA      | $164224.92    | 0.00%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2MU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2693463 | PA      | $2266391.62   | 0.04%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3066391 | PA      | $2696703.49   | 0.04%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224511 | PA      | $1286540.90   | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     58639 | PA      | $62474.15     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427NWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2806296 | PA      | $2878235.74   | 0.05%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314083 | PA      | $301644.13    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366973 | PA      | $386701.91    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071560 | PA      | $948761.61    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332793 | PA      | $323716.34    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516939 | PA      | $540342.13    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5486065 | PA      | $5649303.21   | 0.09%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2983826 | PA      | $3097863.18   | 0.05%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10757429 | PA      | $9016054.45   | 0.14%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJJM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    857824 | PA      | $867571.23    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1576854 | PA      | $1386659.28   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9XA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71294 | PA      | $72330.12     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510546 | PA      | $488374.29    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3650122 | PA      | $3444640.23   | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535845 | PA      | $538977.23    | 0.01%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2120891 | PA      | $1940132.68   | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12956560 | PA      | $12629071.77  | 0.20%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455293 | PA      | $443513.86    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205234 | PA      | $201581.61    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804565 | PA      | $843521.53    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418PS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52166 | PA      | $53886.34     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2208229 | PA      | $2019233.71   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188090 | PA      | $187591.58    | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A3GW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120793 | PA      | $126472.38    | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1167102 | PA      | $1204628.14   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1313095 | PA      | $1104409.61   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67317 | PA      | $66559.16     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129689 | PA      | $131728.55    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620ASK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48315 | PA      | $49054.31     | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620ASPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158972 | PA      | $157723.97    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464088 | PA      | $467561.36    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NQB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1575518 | PA      | $1619511.88   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MEEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136210 | PA      | $133590.85    | 0.00%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQC34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122628 | PA      | $1177225.37   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CLT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229974 | PA      | $229953.78    | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ELD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475553 | PA      | $479839.26    | 0.01%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6CA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10113172 | PA      | $10278654.05  | 0.16%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2486305 | PA      | $2104528.53   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X97A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368878 | PA      | $340021.64    | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802782 | PA      | $818954.73    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2394551 | PA      | $2235165.87   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794786 | PA      | $739694.19    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417A4U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74062 | PA      | $72580.77     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231738 | PA      | $226179.54    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746260 | PA      | $777399.90    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181965 | PA      | $179564.48    | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HEAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93464 | PA      | $91801.15     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QV3B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406043 | PA      | $1451817.42   | 0.02%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256540 | PA      | $239545.72    | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501218 | PA      | $457461.43    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XG4P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6295195 | PA      | $5878434.36   | 0.09%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1006450 | PA      | $881205.35    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2214797 | PA      | $2155595.54   | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2374882 | PA      | $2465646.36   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10662203 | PA      | $8906347.74   | 0.14%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VXZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1719896 | PA      | $1581907.01   | 0.03%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412263 | PA      | $328131.45    | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LDX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53841 | PA      | $54630.46     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4049028 | PA      | $4071237.50   | 0.07%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWPL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1057631 | PA      | $1112127.10   | 0.02%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10775569 | PA      | $8993517.85   | 0.14%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36627 | PA      | $38590.72     | 0.00%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4270444 | PA      | $4388226.20   | 0.07%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KGGM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658857 | PA      | $606227.04    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6ZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292535 | PA      | $269167.60    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQBW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    869405 | PA      | $893213.85    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141443 | PA      | $137866.64    | 0.00%             | 2031-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JACV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434529 | PA      | $415102.51    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJGQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1208835 | PA      | $1222650.78   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418NXX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87201 | PA      | $88521.53     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1370248 | PA      | $1385388.16   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ET6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51563 | PA      | $50960.27     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    707291 | PA      | $710386.73    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    960004 | PA      | $991744.91    | 0.02%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QQW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5266081 | PA      | $5444886.75   | 0.09%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4084804 | PA      | $3757450.90   | 0.06%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8445990 | PA      | $7662796.08   | 0.12%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    331753 | PA      | $311659.00    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJFJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98357 | PA      | $104461.88    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2122339 | PA      | $2232436.72   | 0.04%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCAU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1348044 | PA      | $1383109.55   | 0.02%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1676326 | PA      | $1550981.26   | 0.02%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1947719 | PA      | $2022157.87   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5848307 | PA      | $4848865.65   | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368628 | PA      | $363055.82    | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80321 | PA      | $76109.82     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143876 | PA      | $140535.14    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171140 | PA      | $163600.76    | 0.00%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1130579 | PA      | $1092182.91   | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160321 | PA      | $165722.93    | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P73X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201039 | PA      | $196618.56    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XUAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391183 | PA      | $387534.59    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40997 | PA      | $40558.24     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XUTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     78268 | PA      | $77474.29     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GUEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2252930 | PA      | $2360601.81   | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657384 | PA      | $652653.25    | 0.01%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115562 | PA      | $116999.14    | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W5GJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59930 | PA      | $56237.36     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343390 | PA      | $339441.57    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8D99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101692 | PA      | $99976.28     | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312944PJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131733 | PA      | $131312.62    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108371 | PA      | $110086.58    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ARDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    707294 | PA      | $621982.62    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3312338 | PA      | $3291661.66   | 0.05%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MRBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333030 | PA      | $332003.28    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAHQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016207 | PA      | $864093.97    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3872205 | PA      | $3964535.04   | 0.06%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XB6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283838 | PA      | $261721.56    | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBA42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348894 | PA      | $342622.97    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTBR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1434256 | PA      | $1470713.37   | 0.02%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NF86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1271373 | PA      | $1260152.00   | 0.02%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419GB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    421734 | PA      | $419933.90    | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ERPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554251 | PA      | $533831.79    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GDS86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118659 | PA      | $120538.09    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6227562 | PA      | $6372637.82   | 0.10%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161781 | PA      | $140504.96    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292K2K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74470 | PA      | $75741.98     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617L7D30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142251 | PA      | $135972.79    | 0.00%             | 2049-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5719343 | PA      | $5247797.15   | 0.08%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251229 | PA      | $248981.07    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157245 | PA      | $160912.41    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222625 | PA      | $215698.85    | 0.00%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JABE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736389 | PA      | $728215.81    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4477998 | PA      | $4586461.02   | 0.07%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875260 | PA      | $902864.70    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427NTJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2070181 | PA      | $1963216.29   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BMQ99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    689889 | PA      | $698412.10    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283866 | PA      | $253087.86    | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BQ5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95741 | PA      | $97882.25     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553380 | PA      | $583840.53    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7386024 | PA      | $7506882.06   | 0.12%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    475047 | PA      | $470231.73    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2HG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2567748 | PA      | $2668720.91   | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31306XEA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126429 | PA      | $125115.09    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036938 | PA      | $908447.60    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1859220 | PA      | $1875548.78   | 0.03%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170642 | PA      | $169135.70    | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7YQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138619 | PA      | $135679.77    | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQK62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    684589 | PA      | $632117.18    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEKR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020238 | PA      | $885999.39    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1095235 | PA      | $1140491.93   | 0.02%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2559152 | PA      | $2335168.74   | 0.04%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HLM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133055 | PA      | $125466.37    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    116120 | PA      | $113352.91    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XR4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1487619 | PA      | $1570456.44   | 0.03%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272103 | PA      | $260098.96    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82587 | PA      | $80852.56     | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180ACB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3591761 | PA      | $3678758.01   | 0.06%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511351 | PA      | $527026.31    | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2813829 | PA      | $2825585.03   | 0.05%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488764 | PA      | $479718.59    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1135309 | PA      | $1179085.44   | 0.02%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQKP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1073592 | PA      | $1092412.47   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3967778 | PA      | $3306809.85   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BH3A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250195 | PA      | $244356.48    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488010 | PA      | $471930.23    | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GT3K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2044978 | PA      | $2090447.41   | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36230UCY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135254 | PA      | $134291.79    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    102169 | PA      | $98915.37     | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250574 | PA      | $1202767.15   | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241250 | PA      | $231562.21    | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1080580 | PA      | $1026950.95   | 0.02%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN3B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    972763 | PA      | $966315.40    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305549 | PA      | $287808.51    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0W40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2128586 | PA      | $2243109.55   | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591221 | PA      | $541763.93    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KLBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1315080 | PA      | $1051585.11   | 0.02%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101782 | PA      | $103241.96    | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2HQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2407898 | PA      | $2529261.74   | 0.04%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8ZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68127 | PA      | $65028.68     | 0.00%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YUH79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93171 | PA      | $91945.79     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3938016 | PA      | $4002453.59   | 0.06%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1707994 | PA      | $1562425.84   | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    941702 | PA      | $868094.73    | 0.01%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292R7M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    168080 | PA      | $162900.24    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104054 | PA      | $105237.45    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    936434 | PA      | $821052.25    | 0.01%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2054967 | PA      | $1893518.03   | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JAUB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101382 | PA      | $94354.92     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3787583 | PA      | $3933629.17   | 0.06%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9RV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51560 | PA      | $50975.02     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427PAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4666576 | PA      | $4840774.24   | 0.08%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153045 | PA      | $150067.26    | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271852 | PA      | $260643.29    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417EFF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77095 | PA      | $72618.56     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5PJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12207530 | PA      | $12379223.77  | 0.20%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN6C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2866821 | PA      | $2860782.34   | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUYQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1726355 | PA      | $1749691.79   | 0.03%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    637859 | PA      | $537173.71    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1398040 | PA      | $1345109.93   | 0.02%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBMG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1947012 | PA      | $1852831.24   | 0.03%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y7FA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093555 | PA      | $1147431.88   | 0.02%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160874 | PA      | $162676.81    | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442155 | PA      | $449041.44    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1FZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3490177 | PA      | $3399508.87   | 0.05%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M5LN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482795 | PA      | $467390.09    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129404 | PA      | $127737.22    | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    799053 | PA      | $772300.23    | 0.01%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AD6M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512072 | PA      | $487301.64    | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KMTN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80443 | PA      | $74210.47     | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1770234 | PA      | $1489568.26   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160198 | PA      | $158903.46    | 0.00%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AMH38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944983 | PA      | $983173.01    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322452 | PA      | $302584.61    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M96V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    757346 | PA      | $753592.70    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XP3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056842 | PA      | $1078028.75   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XAA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109771 | PA      | $109551.69    | 0.00%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BXK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105421 | PA      | $103990.93    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112554 | PA      | $98750.91     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4405819 | PA      | $4069452.09   | 0.07%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P74J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65893 | PA      | $65262.08     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    531360 | PA      | $515172.07    | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X96X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243960 | PA      | $218500.50    | 0.00%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y9MQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140623 | PA      | $136712.70    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377364 | PA      | $317270.51    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950825 | PA      | $944815.30    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5VR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9758247 | PA      | $9899974.06   | 0.16%             | 2055-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420805 | PA      | $401559.82    | 0.01%             | 2040-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9LA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205584 | PA      | $199752.89    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1464309 | PA      | $1294659.89   | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVG99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524906 | PA      | $1568362.77   | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9P40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1628007 | PA      | $1456578.45   | 0.02%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    131524 | PA      | $123420.14    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3646363 | PA      | $3732354.92   | 0.06%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128151 | PA      | $125605.61    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E02Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1250352 | PA      | $1303181.11   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MFH55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55440 | PA      | $52592.06     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6HN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    987441 | PA      | $980817.86    | 0.02%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425099 | PA      | $439115.06    | 0.01%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2741914 | PA      | $2499875.94   | 0.04%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416RSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61764 | PA      | $61505.04     | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418A6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61433 | PA      | $60765.86     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKRT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91506 | PA      | $94998.76     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187655 | PA      | $181816.74    | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6ZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161738 | PA      | $148056.88    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XJUS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    544383 | PA      | $527013.01    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367304 | PA      | $337963.58    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDSE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1698469 | PA      | $1494613.14   | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YKV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2454023 | PA      | $2544361.46   | 0.04%             | 2053-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995331 | PA      | $984623.91    | 0.02%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833854 | PA      | $768289.89    | 0.01%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSVL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1267909 | PA      | $1300447.81   | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MXB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4065925 | PA      | $4276285.16   | 0.07%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217157 | PA      | $210400.80    | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659199 | PA      | $681409.95    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJ4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595996 | PA      | $501918.46    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331418 | PA      | $325424.33    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJ5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498302 | PA      | $482712.74    | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356596 | PA      | $341576.43    | 0.01%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJ3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2723915 | PA      | $2576250.76   | 0.04%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBVV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2021176 | PA      | $1848916.83   | 0.03%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322910 | PA      | $316446.57    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X63C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69979 | PA      | $62676.00     | 0.00%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2559092 | PA      | $2334568.49   | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131002 | PA      | $132929.18    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148153 | PA      | $145848.29    | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7001060 | PA      | $6638771.78   | 0.11%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227576 | PA      | $224476.08    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3141079 | PA      | $3019870.78   | 0.05%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6DD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4597327 | PA      | $4748473.52   | 0.08%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HEAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155912 | PA      | $159548.47    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625913 | PA      | $614329.89    | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2335771 | PA      | $2232870.62   | 0.04%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1472399 | PA      | $1516035.23   | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59389 | PA      | $55272.36     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2573060 | PA      | $2461972.35   | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62101 | PA      | $59573.81     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ZK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3278896 | PA      | $3292594.85   | 0.05%             | 2055-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1156072 | PA      | $1192958.08   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KVF88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753086 | PA      | $1484448.56   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5147641 | PA      | $5361521.34   | 0.09%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1191064 | PA      | $1216286.38   | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85097 | PA      | $78967.19     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1011726 | PA      | $902031.03    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DU91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172323 | PA      | $165145.34    | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9LL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    738755 | PA      | $735036.26    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180951 | PA      | $175268.87    | 0.00%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FMW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2294852 | PA      | $2354546.12   | 0.04%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14804977 | PA      | $12550219.65  | 0.20%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ELZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67242 | PA      | $66836.56     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    876711 | PA      | $816866.59    | 0.01%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6684153 | PA      | $6820032.36   | 0.11%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1850920 | PA      | $1705096.29   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326995 | PA      | $320126.69    | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5709555 | PA      | $4983125.76   | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7B81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477839 | PA      | $437160.04    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J56X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395553 | PA      | $391471.39    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0MV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2071504 | PA      | $1752537.01   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LQRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274095 | PA      | $258181.02    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310117 | PA      | $314993.14    | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591220 | PA      | $597667.55    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176591 | PA      | $163326.16    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3549134 | PA      | $3623683.90   | 0.06%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52341 | PA      | $51555.70     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W12E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397726 | PA      | $1453849.07   | 0.02%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWBE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37724 | PA      | $37359.86     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3817898 | PA      | $3520678.11   | 0.06%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399147 | PA      | $405133.97    | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48478 | PA      | $50111.56     | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5877329 | PA      | $5928946.01   | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1027512 | PA      | $908320.64    | 0.01%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    174921 | PA      | $172756.82    | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1304566 | PA      | $1295200.88   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1739181 | PA      | $1613898.56   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3507657 | PA      | $3411202.66   | 0.05%             | 2055-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8G84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82824 | PA      | $75765.49     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351221 | PA      | $342453.56    | 0.01%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1133636 | PA      | $983788.44    | 0.02%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433962 | PA      | $414561.08    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJPF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405502 | PA      | $1402541.71   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WCZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57718 | PA      | $57133.16     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9Z21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68366 | PA      | $64225.35     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCBA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2085133 | PA      | $2117907.36   | 0.03%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241KBH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48477 | PA      | $49088.09     | 0.00%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    704622 | PA      | $683155.23    | 0.01%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1764492 | PA      | $1601281.51   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8TM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151826 | PA      | $150287.29    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132WH5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239912 | PA      | $222629.61    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101330 | PA      | $99944.38     | 0.00%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567833 | PA      | $564974.00    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1451199 | PA      | $1468158.80   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2650980 | PA      | $2721176.27   | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    631334 | PA      | $635319.61    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91983 | PA      | $94360.85     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858208 | PA      | $871892.22    | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D54Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1008675 | PA      | $966605.06    | 0.02%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BHCM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253690 | PA      | $250239.86    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     54239 | PA      | $54706.50     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404774 | PA      | $337093.22    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    683546 | PA      | $700340.80    | 0.01%             | 2043-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62282 | PA      | $60947.84     | 0.00%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GKZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193413 | PA      | $188470.54    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5940405 | PA      | $4959620.91   | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPMJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    977123 | PA      | $998973.66    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3610886 | PA      | $3052366.11   | 0.05%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201800 | PA      | $188368.94    | 0.00%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81081 | PA      | $70539.18     | 0.00%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    739549 | PA      | $742785.96    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AVP82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122593 | PA      | $122750.61    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1943760 | PA      | $1990840.55   | 0.03%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QELL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    996822 | PA      | $845149.86    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2060007 | PA      | $2031680.75   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417BHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127862 | PA      | $120438.13    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52148 | PA      | $50026.07     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1078653 | PA      | $1060436.65   | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8K63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1889532 | PA      | $1596021.20   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457648 | PA      | $459944.80    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X6WX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    100632 | PA      | $99490.86     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410GBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58045 | PA      | $60113.59     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPY44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984988 | PA      | $978367.37    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116725 | PA      | $116353.13    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900504 | PA      | $1935628.86   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6G87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383954 | PA      | $385903.31    | 0.01%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1826813 | PA      | $1611766.62   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y7DJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3709258 | PA      | $3853397.61   | 0.06%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170292 | PA      | $167004.10    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3328979 | PA      | $2916779.59   | 0.05%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4839642 | PA      | $4738312.67   | 0.08%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418UEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156526 | PA      | $159022.18    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65228 | PA      | $62547.74     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJ3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2011698 | PA      | $1776465.24   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KK7D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339707 | PA      | $287307.36    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6VV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332102 | PA      | $326741.71    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1242503 | PA      | $1318710.23   | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703698 | PA      | $733728.36    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60295 | PA      | $59129.76     | 0.00%             | 2032-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6FE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268770 | PA      | $273073.46    | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745632 | PA      | $774627.09    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118065 | PA      | $119081.70    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904317 | PA      | $852965.27    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2671019 | PA      | $2499133.63   | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341500 | PA      | $317062.29    | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312943DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     78784 | PA      | $78533.22     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XK5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420679 | PA      | $426842.77    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224147 | PA      | $1202787.14   | 0.02%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622AART3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1566440 | PA      | $1520541.32   | 0.02%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2968984 | PA      | $2602280.80   | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BKAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77266 | PA      | $75375.64     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4824938 | PA      | $4850284.41   | 0.08%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674341 | PA      | $591851.15    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326226 | PA      | $320775.04    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MBVY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35531 | PA      | $35111.21     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9820488 | PA      | $9028530.36   | 0.14%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K14K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649125 | PA      | $593801.66    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    460787 | PA      | $462804.36    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1498707 | PA      | $1258980.99   | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4537928 | PA      | $4288573.41   | 0.07%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7W58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360618 | PA      | $353514.33    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTDS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100716 | PA      | $100561.79    | 0.00%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12479878 | PA      | $12731906.79  | 0.20%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMKC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534131 | PA      | $547058.27    | 0.01%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0R72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3459758 | PA      | $3621393.55   | 0.06%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MQA90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67933 | PA      | $66189.51     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4790452 | PA      | $3989454.48   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412688 | PA      | $409794.98    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11116504 | PA      | $9715946.99   | 0.16%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1956867 | PA      | $2033432.26   | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2115960 | PA      | $2022742.95   | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14646511 | PA      | $12255113.66  | 0.20%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1727427 | PA      | $1756534.54   | 0.03%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1369666 | PA      | $1357583.62   | 0.02%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YUHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233755 | PA      | $224116.80    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810093 | PA      | $795531.88    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3813669 | PA      | $3950467.46   | 0.06%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13285732 | PA      | $13396763.04  | 0.21%             | 2053-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7686014 | PA      | $7883986.94   | 0.13%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1845756 | PA      | $1896368.38   | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7YM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291876 | PA      | $274929.76    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GD6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143193 | PA      | $145459.87    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    104628 | PA      | $106330.26    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49570 | PA      | $51751.42     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110481 | PA      | $105766.44    | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    917111 | PA      | $850096.38    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NHMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149523 | PA      | $150896.38    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276038 | PA      | $274799.95    | 0.00%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510644 | PA      | $534975.14    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XP5P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1905259 | PA      | $1934868.78   | 0.03%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1431008 | PA      | $1387616.91   | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1031791 | PA      | $1052963.28   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUDY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49509 | PA      | $45440.31     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X42K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179294 | PA      | $182152.58    | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7505273 | PA      | $6604464.63   | 0.11%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5RE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2260517 | PA      | $2269961.36   | 0.04%             | 2055-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6JR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347505 | PA      | $356544.46    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMUH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4077594 | PA      | $3585767.31   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQX76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1527470 | PA      | $1553414.91   | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158612 | PA      | $162723.26    | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5NC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345147 | PA      | $318958.56    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W5AB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7586671 | PA      | $6613165.12   | 0.11%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ENBF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106191 | PA      | $110540.00    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61962 | PA      | $61484.52     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5252072 | PA      | $5291868.57   | 0.08%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106877 | PA      | $108446.38    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347704 | PA      | $342295.33    | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476787 | PA      | $449980.82    | 0.01%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L04D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    986566 | PA      | $833938.70    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620AF4W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79700 | PA      | $82561.51     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6JE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5072392 | PA      | $5296280.89   | 0.08%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MQVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45618 | PA      | $45019.54     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233622 | PA      | $224369.38    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2563353 | PA      | $2646348.88   | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292JBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78926 | PA      | $82209.96     | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XVT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2605945 | PA      | $2663024.10   | 0.04%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    907653 | PA      | $912208.80    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6245687 | PA      | $6179155.45   | 0.10%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2Z20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7759723 | PA      | $7971936.02   | 0.13%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BJ6S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1103553 | PA      | $1099451.67   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2187013 | PA      | $2015463.94   | 0.03%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229293 | PA      | $193099.56    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1371333 | PA      | $1394079.92   | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187118 | PA      | $183991.53    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UZT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487924 | PA      | $466429.16    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393922 | PA      | $360809.40    | 0.01%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1405261 | PA      | $1440009.91   | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    455571 | PA      | $451444.24    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5PH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2933034 | PA      | $2945288.05   | 0.05%             | 2055-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81863 | PA      | $86867.60     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1037855 | PA      | $1086808.47   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XQDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89997 | PA      | $86709.51     | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233651 | PA      | $231193.23    | 0.00%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    717566 | PA      | $728685.16    | 0.01%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W3VL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1914595 | PA      | $1997041.14   | 0.03%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174974 | PA      | $177764.08    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136292 | PA      | $133749.07    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    961808 | PA      | $947632.41    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NLC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410290 | PA      | $387222.93    | 0.01%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2686022 | PA      | $2364814.27   | 0.04%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2550995 | PA      | $2393871.65   | 0.04%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114568 | PA      | $120431.90    | 0.00%             | 2053-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1074043 | PA      | $995560.66    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36176XCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113980 | PA      | $110666.08    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73637 | PA      | $71523.12     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249152 | PA      | $220004.70    | 0.00%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1223667 | PA      | $1245347.76   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0J60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56018 | PA      | $55642.18     | 0.00%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AFYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817179 | PA      | $723969.95    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2070439 | PA      | $1894667.22   | 0.03%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918207 | PA      | $846963.37    | 0.01%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ER6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173048 | PA      | $170226.73    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1605595 | PA      | $1646302.16   | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WD2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    120532 | PA      | $117180.81    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3296880 | PA      | $3034840.19   | 0.05%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4035912 | PA      | $3554012.25   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284052 | PA      | $284731.38    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99346 | PA      | $101749.97    | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3046705 | PA      | $3017560.26   | 0.05%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1903747 | PA      | $1830285.19   | 0.03%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6S93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104837 | PA      | $100212.43    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETYB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143238 | PA      | $139331.53    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HPR22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549690 | PA      | $519032.71    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192606 | PA      | $190906.33    | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179N5X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302714 | PA      | $306830.62    | 0.00%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620ASGW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110237 | PA      | $111924.08    | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122864 | PA      | $126779.85    | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80367 | PA      | $74488.22     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1164169 | PA      | $1027317.74   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y2J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713696 | PA      | $706757.96    | 0.01%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67301 | PA      | $66103.29     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11145059 | PA      | $11035407.04  | 0.18%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133A2BZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640940 | PA      | $586314.19    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    970800 | PA      | $916219.00    | 0.01%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156199 | PA      | $160958.79    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X73K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650659 | PA      | $551635.16    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACWS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323495 | PA      | $344650.97    | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482323 | PA      | $473917.77    | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSD33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37093 | PA      | $39038.37     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5NM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203564 | PA      | $203825.90    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MGK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3234470 | PA      | $3310118.07   | 0.05%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MC66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2972488 | PA      | $2487157.05   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6741491 | PA      | $6704112.92   | 0.11%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42891 | PA      | $44081.73     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A7FZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150226 | PA      | $152431.83    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7DC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143990 | PA      | $144990.85    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2657661 | PA      | $2440739.33   | 0.04%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MMU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4471881 | PA      | $4057204.64   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534989 | PA      | $524484.78    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1813314 | PA      | $1823260.16   | 0.03%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J5L64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72212 | PA      | $73241.20     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KM5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    687489 | PA      | $607580.68    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2438082 | PA      | $2411853.50   | 0.04%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95466 | PA      | $95744.45     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4990869 | PA      | $5041071.10   | 0.08%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1543127 | PA      | $1524178.98   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427NT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2405378 | PA      | $2516790.19   | 0.04%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60520 | PA      | $62515.35     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51368 | PA      | $54508.54     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W12Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3736374 | PA      | $3318194.81   | 0.05%             | 2036-12-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ESS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244190 | PA      | $223768.53    | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MGM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35562 | PA      | $35183.90     | 0.00%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198458 | PA      | $199710.50    | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACBP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2348339 | PA      | $2317648.70   | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XABH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687727 | PA      | $644358.03    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4RH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1171810 | PA      | $1206538.24   | 0.02%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6809413 | PA      | $6177185.16   | 0.10%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68157 | PA      | $66419.35     | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668589 | PA      | $698690.56    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ASJB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324761 | PA      | $284768.16    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015686 | PA      | $970940.88    | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QHR72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485068 | PA      | $448630.10    | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    770458 | PA      | $753084.41    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    178749 | PA      | $175568.51    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287470 | PA      | $262837.90    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMW82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80645 | PA      | $79074.15     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1292254 | PA      | $1350878.67   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WE6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191530 | PA      | $185390.59    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1194435 | PA      | $1227271.95   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3551228 | PA      | $3010767.19   | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0GF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65094 | PA      | $59999.81     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94100 | PA      | $92636.33     | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A25C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301397 | PA      | $305705.30    | 0.00%             | 2042-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133L8KQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3168045 | PA      | $2953675.80   | 0.05%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J74X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40032 | PA      | $39599.98     | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HKHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273253 | PA      | $256397.17    | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1026456 | PA      | $1081812.38   | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2406280 | PA      | $2135528.51   | 0.03%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEB21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2547694 | PA      | $2582027.47   | 0.04%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154670 | PA      | $138962.70    | 0.00%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3900649 | PA      | $4011246.27   | 0.06%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0VD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232519 | PA      | $247856.01    | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54141 | PA      | $56134.25     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XUAN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354069 | PA      | $350766.68    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XHUD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221293 | PA      | $219959.74    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4606165 | PA      | $4685023.71   | 0.07%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425670 | PA      | $404731.54    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MJXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    166809 | PA      | $157123.98    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3499531 | PA      | $3631476.54   | 0.06%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    978807 | PA      | $918589.82    | 0.01%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419ANM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81529 | PA      | $82829.18     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LY2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37684 | PA      | $37387.83     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704957 | PA      | $669901.89    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126436 | PA      | $122409.17    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJJY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3762356 | PA      | $3677222.09   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4539327 | PA      | $4118924.85   | 0.07%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139291 | PA      | $131203.95    | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2100080 | PA      | $2117630.62   | 0.03%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6E30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    539874 | PA      | $559174.29    | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419KKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147241 | PA      | $146612.09    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSE24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946347 | PA      | $958222.18    | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1232489 | PA      | $1270270.11   | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XUHY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153252 | PA      | $147024.53    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534131 | PA      | $523575.26    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86252 | PA      | $81300.73     | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1577342 | PA      | $1506822.66   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    844415 | PA      | $818315.19    | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583107 | PA      | $527777.86    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3733049 | PA      | $3711482.39   | 0.06%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356849 | PA      | $327129.18    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191178 | PA      | $171706.63    | 0.00%             | 2046-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1880913 | PA      | $1977185.12   | 0.03%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRC52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353592 | PA      | $339013.30    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4010549 | PA      | $3986446.41   | 0.06%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63500 | PA      | $62113.30     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3081325 | PA      | $3183202.57   | 0.05%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48457 | PA      | $47992.24     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716019 | PA      | $703618.66    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7JQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445531 | PA      | $425612.01    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52703 | PA      | $52097.04     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1450027 | PA      | $1475296.52   | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821204 | PA      | $698280.44    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7QT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52416 | PA      | $50501.70     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4679356 | PA      | $4819549.77   | 0.08%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E9DV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52384 | PA      | $52102.03     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFC74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1205973 | PA      | $1222225.54   | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550278 | PA      | $559549.25    | 0.01%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTLU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186696 | PA      | $164776.60    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9UZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2635734 | PA      | $2427266.39   | 0.04%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397039 | PA      | $349931.54    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KR5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1088206 | PA      | $1127497.99   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374888 | PA      | $375371.26    | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2265510 | PA      | $1922414.51   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4740720 | PA      | $4818292.95   | 0.08%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YPK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480613 | PA      | $498305.90    | 0.01%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BNUC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    769301 | PA      | $780249.61    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QB4C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454882 | PA      | $419143.96    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366798 | PA      | $379455.37    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1128084 | PA      | $1045653.20   | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    389279 | PA      | $388037.63    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM7M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    960190 | PA      | $809767.37    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0XK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    799387 | PA      | $824271.57    | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RHL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43678 | PA      | $43016.56     | 0.00%             | 2030-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5VT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2257249 | PA      | $2347747.93   | 0.04%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175599 | PA      | $159384.55    | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1277871 | PA      | $1212415.29   | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554965 | PA      | $535301.81    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655961 | PA      | $555933.95    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997922 | PA      | $988993.14    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56431 | PA      | $59919.04     | 0.00%             | 2054-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48946 | PA      | $50594.83     | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2767986 | PA      | $2814101.46   | 0.04%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXEC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269605 | PA      | $281469.32    | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749424 | PA      | $799114.30    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J76D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119496 | PA      | $118122.07    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8GY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    920628 | PA      | $815411.70    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524364 | PA      | $482714.95    | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2442895 | PA      | $1943890.76   | 0.03%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5048227 | PA      | $5117682.26   | 0.08%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3225967 | PA      | $2971680.47   | 0.05%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KL2B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493258 | PA      | $453486.36    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63227 | PA      | $63419.88     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1323995 | PA      | $1272904.37   | 0.02%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JAEY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60755 | PA      | $60912.06     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQRA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819828 | PA      | $848281.60    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QAVC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389388 | PA      | $383422.40    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128PXT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27336 | PA      | $27183.67     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    122327 | PA      | $124317.69    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98457 | PA      | $95787.54     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8JF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1084155 | PA      | $923381.93    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HMK26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76057 | PA      | $71718.91     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    271534 | PA      | $275647.55    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440094 | PA      | $437437.89    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81766 | PA      | $80738.06     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428395 | PA      | $409242.95    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYSU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132145 | PA      | $123391.20    | 0.00%             | 2039-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCW61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    895933 | PA      | $791471.64    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131Y2WQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1546380 | PA      | $1568830.21   | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0WH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    744615 | PA      | $775931.89    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146248 | PA      | $143361.11    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66370 | PA      | $65366.72     | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FMF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2920380 | PA      | $2839990.56   | 0.05%             | 2055-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150203 | PA      | $141656.84    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5767093 | PA      | $5895507.37   | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332612 | PA      | $325521.36    | 0.01%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPHN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1256171 | PA      | $1268768.02   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402CVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97228 | PA      | $99740.82     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632784 | PA      | $622940.73    | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3614776 | PA      | $3225107.91   | 0.05%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKAQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63014 | PA      | $61003.26     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83203 | PA      | $85983.01     | 0.00%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X87M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2591884 | PA      | $2552988.88   | 0.04%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070195 | PA      | $995270.66    | 0.02%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390770 | PA      | $390748.04    | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171862 | PA      | $165511.06    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUTJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1788522 | PA      | $1506829.79   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159186 | PA      | $157780.88    | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1348176 | PA      | $1294507.35   | 0.02%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417YDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44486 | PA      | $44750.21     | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132921 | PA      | $135441.88    | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4182752 | PA      | $3750147.87   | 0.06%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957334 | PA      | $962121.51    | 0.02%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1603508 | PA      | $1616295.70   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KLWB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5053883 | PA      | $4462058.11   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483148 | PA      | $444242.79    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3261702 | PA      | $3252674.01   | 0.05%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6728272 | PA      | $6907650.93   | 0.11%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFSL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1714148 | PA      | $1519465.44   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8LJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1831861 | PA      | $1665065.66   | 0.03%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2024856 | PA      | $1972568.12   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265660 | PA      | $260657.88    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSTV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71778 | PA      | $76309.58     | 0.00%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8ZJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1914163 | PA      | $1844245.95   | 0.03%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552351 | PA      | $522365.99    | 0.01%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79288 | PA      | $69457.45     | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUQM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3553418 | PA      | $3595298.30   | 0.06%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4921992 | PA      | $4685791.70   | 0.07%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429594 | PA      | $387781.04    | 0.01%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1853353 | PA      | $1781835.20   | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XG3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132696 | PA      | $129449.49    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MABU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48085 | PA      | $47931.23     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469243 | PA      | $432568.47    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723554 | PA      | $738075.01    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XUTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94205 | PA      | $91585.67     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MXFZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159796 | PA      | $157690.47    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6YY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170144 | PA      | $174111.86    | 0.00%             | 2050-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1225723 | PA      | $1065223.35   | 0.02%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXRZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    654068 | PA      | $644496.09    | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6DG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    856632 | PA      | $881373.58    | 0.01%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1894609 | PA      | $1924388.34   | 0.03%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1240833 | PA      | $1260337.06   | 0.02%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ACR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160988 | PA      | $156106.48    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QF7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432601 | PA      | $366174.30    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158902 | PA      | $150629.84    | 0.00%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858839 | PA      | $726921.20    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1463136 | PA      | $1360693.39   | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052986 | PA      | $987881.11    | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87930 | PA      | $91588.27     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395225 | PA      | $373495.43    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UH47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1320593 | PA      | $1294896.74   | 0.02%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5562274 | PA      | $5613797.46   | 0.09%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HNF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204265 | PA      | $188100.99    | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QVF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39197 | PA      | $38663.78     | 0.00%             | 2029-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1210466 | PA      | $1272422.26   | 0.02%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6GL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1024291 | PA      | $1040423.29   | 0.02%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMKB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557519 | PA      | $569779.95    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XALP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204730 | PA      | $211400.33    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GJVM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312091 | PA      | $312833.19    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546916 | PA      | $460394.78    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2846785 | PA      | $2781927.34   | 0.04%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5SU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945376 | PA      | $903110.30    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5135653 | PA      | $5185279.07   | 0.08%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPCL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1258511 | PA      | $1267361.58   | 0.02%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LYDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69152 | PA      | $68779.55     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2380869 | PA      | $2393927.96   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDC79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3440398 | PA      | $3189002.44   | 0.05%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419310 | PA      | $400133.34    | 0.01%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1883183 | PA      | $1896000.13   | 0.03%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151559 | PA      | $131576.50    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3044526 | PA      | $2669437.90   | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2699163 | PA      | $2720632.22   | 0.04%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413085 | PA      | $394887.31    | 0.01%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJLE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480324 | PA      | $468496.84    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4756816 | PA      | $4127365.93   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ5B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377074 | PA      | $386857.78    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133USGU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644584 | PA      | $632971.45    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHYF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2928176 | PA      | $2872701.01   | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MKAE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777480 | PA      | $764577.17    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0YQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    768830 | PA      | $791596.73    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QADF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61323 | PA      | $61880.79     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1244063 | PA      | $1155290.56   | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940023 | PA      | $912165.13    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    209947 | PA      | $195615.94    | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5119029 | PA      | $4293956.15   | 0.07%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4493123 | PA      | $3977592.22   | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXN73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2381653 | PA      | $2171052.66   | 0.03%             | 2037-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRD28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554374 | PA      | $590867.05    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYS26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285407 | PA      | $266323.49    | 0.00%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10012051 | PA      | $8391335.39   | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EJ5S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35440 | PA      | $35005.67     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414116 | PA      | $414734.32    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178WGL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252001 | PA      | $237831.15    | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DU4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1140340 | PA      | $1187579.26   | 0.02%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719020 | PA      | $734000.86    | 0.01%             | 2045-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1546211 | PA      | $1516124.25   | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4129292 | PA      | $4088315.09   | 0.07%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53169 | PA      | $55507.06     | 0.00%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5446243 | PA      | $5049979.35   | 0.08%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5FW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420492 | PA      | $376609.57    | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y72T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4960892 | PA      | $5022685.21   | 0.08%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    473522 | PA      | $459096.03    | 0.01%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5407058 | PA      | $5555122.06   | 0.09%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133USJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1114653 | PA      | $942286.19    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7PY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54407 | PA      | $50139.42     | 0.00%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LVZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97992 | PA      | $97464.79     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380307 | PA      | $349528.20    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9755882 | PA      | $8123889.99   | 0.13%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11153350 | PA      | $8881954.67   | 0.14%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1373621 | PA      | $1243116.63   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    953394 | PA      | $887044.26    | 0.01%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7610088 | PA      | $7002176.13   | 0.11%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JM5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954477 | PA      | $936233.65    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XW4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338237 | PA      | $334880.86    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1257658 | PA      | $1176600.07   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YMN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2473078 | PA      | $2564118.06   | 0.04%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0ZH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1852891 | PA      | $1927869.94   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47548 | PA      | $46360.99     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2508664 | PA      | $2311796.81   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1989261 | PA      | $1795644.61   | 0.03%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3798812 | PA      | $3755128.33   | 0.06%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479922 | PA      | $474782.38    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259374 | PA      | $235511.36    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    651316 | PA      | $654584.55    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6517195 | PA      | $5839078.35   | 0.09%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N53Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1991837 | PA      | $2041696.99   | 0.03%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBSK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1463137 | PA      | $1293903.58   | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A1VN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803301 | PA      | $825870.68    | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HJ4N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89157 | PA      | $87570.07     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65199 | PA      | $64875.94     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3704835 | PA      | $3846427.73   | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157756 | PA      | $154755.10    | 0.00%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2611962 | PA      | $2413779.07   | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    698222 | PA      | $679929.11    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNQE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62911 | PA      | $59947.34     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LURR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483815 | PA      | $468377.22    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0ZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114092 | PA      | $112388.95    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7TL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5295755 | PA      | $4482171.41   | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MP62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6271631 | PA      | $5277095.02   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140M7CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955577 | PA      | $962681.21    | 0.02%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B5C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356523 | PA      | $342013.88    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164681 | PA      | $162465.17    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GR7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1469680 | PA      | $1546849.57   | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8UX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96587 | PA      | $89892.12     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296XUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58903 | PA      | $60999.38     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AGQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    222127 | PA      | $217733.17    | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405558 | PA      | $423677.75    | 0.01%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109271 | PA      | $112521.96    | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AAM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141850 | PA      | $143439.82    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP3N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    666013 | PA      | $680484.37    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370055 | PA      | $355399.59    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2644878 | PA      | $2719175.00   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8115660 | PA      | $7182987.00   | 0.11%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443962 | PA      | $386833.19    | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2691014 | PA      | $2557250.58   | 0.04%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MNJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2356133 | PA      | $2442671.92   | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161475 | PA      | $162683.64    | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4718050 | PA      | $4769654.91   | 0.08%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QNQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1261585 | PA      | $1314239.88   | 0.02%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LUB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58823 | PA      | $56945.74     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246310 | PA      | $1186509.01   | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1102604 | PA      | $999480.18    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQV86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554724 | PA      | $563280.34    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2266947 | PA      | $2010641.19   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1651366 | PA      | $1588238.28   | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1237947 | PA      | $1251755.01   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6523603 | PA      | $5453853.36   | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55401 | PA      | $57375.77     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1D75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1361509 | PA      | $1249735.72   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235841 | PA      | $244462.47    | 0.00%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36176XFN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156208 | PA      | $151630.96    | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316768 | PA      | $293621.27    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5036675 | PA      | $5171868.82   | 0.08%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9V85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1183596 | PA      | $1145830.18   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1731889 | PA      | $1451536.55   | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0GX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67909 | PA      | $68558.10     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118330 | PA      | $120191.07    | 0.00%             | 2042-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417DF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136974 | PA      | $129180.64    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225036 | PA      | $228635.95    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8SY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4748609.00   | 0.08%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140915 | PA      | $145668.15    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0GG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1853107 | PA      | $1705079.83   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ESBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409952 | PA      | $405883.76    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2522098 | PA      | $2218030.87   | 0.04%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942550 | PA      | $877291.70    | 0.01%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    435933 | PA      | $428097.29    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145264 | PA      | $150149.46    | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126451 | PA      | $128509.18    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982619 | PA      | $868076.98    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1338081 | PA      | $1349096.31   | 0.02%             | 2053-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNV92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877836 | PA      | $849825.72    | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KAYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2581761 | PA      | $2157497.99   | 0.03%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2239801 | PA      | $2196217.44   | 0.04%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1020996 | PA      | $983809.65    | 0.02%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KRCG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619302 | PA      | $645144.54    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832877 | PA      | $824115.56    | 0.01%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949843 | PA      | $988406.01    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4573301 | PA      | $4625230.45   | 0.07%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8250281 | PA      | $8450114.05   | 0.14%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525961 | PA      | $534231.28    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296781 | PA      | $288085.14    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395673 | PA      | $383073.42    | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0LL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1730135 | PA      | $1800987.78   | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101226 | PA      | $97106.09     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A2BN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72336 | PA      | $72026.77     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620A9S93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76157 | PA      | $75631.70     | 0.00%             | 2039-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406426 | PA      | $378253.40    | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3998989 | PA      | $3800829.16   | 0.06%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10924022 | PA      | $8699753.93   | 0.14%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442630 | PA      | $436106.33    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    458481 | PA      | $450737.80    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409036 | PA      | $389249.68    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWY57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2089016 | PA      | $1991998.71   | 0.03%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6MZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    789784 | PA      | $774874.46    | 0.01%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20657580 | PA      | $17306385.22  | 0.28%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GT2Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2702711 | PA      | $2823884.93   | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0MQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2307227 | PA      | $2372241.38   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334994 | PA      | $321181.94    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5285453 | PA      | $4763679.69   | 0.08%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781552 | PA      | $757199.29    | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D54D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385736 | PA      | $370057.59    | 0.01%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2828267 | PA      | $2633906.73   | 0.04%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQFT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1227333 | PA      | $1241590.81   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70835 | PA      | $70209.51     | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7LL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035112 | PA      | $1024619.92   | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    883275 | PA      | $917056.00    | 0.01%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471757 | PA      | $463277.45    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J7W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98904 | PA      | $96827.02     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577382 | PA      | $598104.73    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602531 | PA      | $604625.52    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J5EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373961 | PA      | $369881.36    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4805348 | PA      | $4195428.67   | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4825644 | PA      | $4261751.62   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445966 | PA      | $376072.84    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6ZN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100706 | PA      | $101011.11    | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A4FW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343332 | PA      | $322178.15    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481901 | PA      | $458684.78    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417CS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297046 | PA      | $287563.21    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KY4M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342839 | PA      | $346769.98    | 0.01%             | 2045-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GUKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293892 | PA      | $284835.53    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128Q0GE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39059 | PA      | $38789.66     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87106 | PA      | $89349.89     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KELM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1518089 | PA      | $1286573.29   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4417396 | PA      | $4460754.79   | 0.07%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391241 | PA      | $376284.66    | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5931811 | PA      | $4948739.37   | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D5F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4126894 | PA      | $3581389.54   | 0.06%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ZL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8407649 | PA      | $8532334.97   | 0.14%             | 2055-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68987 | PA      | $68167.64     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4585668 | PA      | $4403011.01   | 0.07%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312942NM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74406 | PA      | $75677.57     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W3MV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1266194 | PA      | $1115562.29   | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NL7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1357921 | PA      | $1384508.16   | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPYM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1532697 | PA      | $1563885.25   | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237872 | PA      | $189282.57    | 0.00%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826796 | PA      | $794891.43    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415989 | PA      | $408511.32    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    843775 | PA      | $782118.75    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5505458 | PA      | $5232648.69   | 0.08%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0ZM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2295519 | PA      | $2424439.59   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615037 | PA      | $622467.97    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417AEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184555 | PA      | $179641.41    | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LQ3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66756 | PA      | $66251.54     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6A91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5987079 | PA      | $5585175.63   | 0.09%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2022933 | PA      | $1939524.56   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1272468 | PA      | $1293670.35   | 0.02%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132FCBX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53184 | PA      | $53310.30     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3603310 | PA      | $3046362.43   | 0.05%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3854644 | PA      | $3420025.59   | 0.05%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493333 | PA      | $485001.33    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393537 | PA      | $375942.75    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329PS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239582 | PA      | $241763.21    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ATR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    601161 | PA      | $587516.97    | 0.01%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    797977 | PA      | $835097.23    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8CV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2982402 | PA      | $2528510.69   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTUJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1543911 | PA      | $1621372.23   | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358023 | PA      | $370247.37    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5913029 | PA      | $5804623.65   | 0.09%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1189341 | PA      | $1143875.23   | 0.02%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617JGHX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86212 | PA      | $85805.14     | 0.00%             | 2049-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJ4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892533 | PA      | $860246.91    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865247 | PA      | $887753.60    | 0.01%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703266 | PA      | $697905.45    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNZE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1055015 | PA      | $1122458.56   | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M1KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85827 | PA      | $83951.59     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2744548 | PA      | $2856774.97   | 0.05%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4804889 | PA      | $4219638.73   | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304615 | PA      | $310061.07    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3499287 | PA      | $3633024.22   | 0.06%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6648551 | PA      | $6918474.27   | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400711 | PA      | $421498.39    | 0.01%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QN6J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492512 | PA      | $429034.84    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292LW68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51673 | PA      | $48762.12     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QN40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2662515 | PA      | $2684455.47   | 0.04%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E9AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242020 | PA      | $240714.77    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A2BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120794 | PA      | $120277.97    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167987 | PA      | $175169.59    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5316565 | PA      | $5272030.12   | 0.08%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138223 | PA      | $142871.46    | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89752 | PA      | $89048.13     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3183403 | PA      | $3222929.78   | 0.05%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    911322 | PA      | $945517.36    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YKU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234196 | PA      | $244659.31    | 0.00%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8854890 | PA      | $8369415.24   | 0.13%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   2642444 | PA      | $2452094.88   | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MMZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306054 | PA      | $298151.15    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    878571 | PA      | $814372.31    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172941 | PA      | $167242.42    | 0.00%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    735235 | PA      | $728642.08    | 0.01%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QADK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238264 | PA      | $239035.41    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    577634 | PA      | $552427.08    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM5L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3004169 | PA      | $2636680.96   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYXE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367388 | PA      | $371139.95    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K3JV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102490 | PA      | $93752.85     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3060020 | PA      | $2913191.60   | 0.05%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149623 | PA      | $154784.53    | 0.00%             | 2054-01-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140BKZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4704558 | PA      | $4861104.69   | 0.08%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537355 | PA      | $525910.11    | 0.01%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXFJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650683 | PA      | $634439.88    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRB77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466078 | PA      | $486926.91    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140BFYQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1872903 | PA      | $1951614.98   | 0.03%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1845988 | PA      | $1779212.60   | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160208 | PA      | $155270.98    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397207 | PA      | $367082.52    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4XH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571350 | PA      | $563663.30    | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1498344 | PA      | $1425866.50   | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1042170 | PA      | $1023625.91   | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3356851 | PA      | $3438158.53   | 0.05%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511482 | PA      | $502641.54    | 0.01%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454534 | PA      | $464088.46    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145491 | PA      | $148884.59    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168305 | PA      | $175515.94    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKPY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1632074 | PA      | $1658642.43   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F2P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86896 | PA      | $89823.70     | 0.00%             | 2042-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1163890 | PA      | $1161997.04   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4172277 | PA      | $3831084.90   | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753048 | PA      | $1738089.05   | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5PF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1213764 | PA      | $1167747.76   | 0.02%             | 2055-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1714918 | PA      | $1494110.59   | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267350 | PA      | $1258582.83   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89999 | PA      | $92325.70     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LV6T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51096 | PA      | $50820.74     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4078158 | PA      | $3614544.19   | 0.06%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JANB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370471 | PA      | $355196.08    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2094164 | PA      | $1895456.98   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292LN76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55289 | PA      | $53582.75     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    664889 | PA      | $673190.59    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X75B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549440 | PA      | $511354.50    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62027 | PA      | $60584.77     | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YGXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148461 | PA      | $142339.40    | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675650 | PA      | $654630.09    | 0.01%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0WN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3309994 | PA      | $3407744.14   | 0.05%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BL38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    400006 | PA      | $395951.62    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    887943 | PA      | $870664.54    | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9C83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88457 | PA      | $94347.21     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3879751 | PA      | $3666138.23   | 0.06%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4518173 | PA      | $4625315.70   | 0.07%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGCP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1366694 | PA      | $1255342.81   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2946405 | PA      | $2712065.68   | 0.04%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6EV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213226 | PA      | $200088.47    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180871 | PA      | $178465.61    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133172 | PA      | $130640.64    | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQLM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1611361 | PA      | $1665187.42   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427NK32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2418987 | PA      | $2544405.76   | 0.04%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1474501 | PA      | $1499533.66   | 0.02%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2230292 | PA      | $2255863.99   | 0.04%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4220034 | PA      | $3577368.80   | 0.06%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1943776 | PA      | $1788333.25   | 0.03%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2639179 | PA      | $2518912.33   | 0.04%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312936Y27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69849 | PA      | $69631.52     | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482032 | PA      | $460481.81    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392780 | PA      | $1327115.02   | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0Z35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61138 | PA      | $60224.69     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2UM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3026309 | PA      | $3005937.72   | 0.05%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E6VH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    199159 | PA      | $199415.20    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1372949 | PA      | $1227520.36   | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3336997 | PA      | $2993950.33   | 0.05%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152962 | PA      | $153389.79    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11217841 | PA      | $9905374.50   | 0.16%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A27F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173578 | PA      | $166011.60    | 0.00%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X92F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295324 | PA      | $291862.65    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1356744 | PA      | $1231249.06   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    681533 | PA      | $651936.34    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1119928 | PA      | $1071456.21   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBWC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64438 | PA      | $62985.25     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1559932 | PA      | $1555131.21   | 0.02%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3941707 | PA      | $3627243.35   | 0.06%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1430383 | PA      | $1314928.69   | 0.02%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9053942 | PA      | $9291837.63   | 0.15%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118533 | PA      | $983966.03    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E7D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284997 | PA      | $1351036.11   | 0.02%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133GAZ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321146 | PA      | $295732.14    | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QE3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197961 | PA      | $189919.01    | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AFEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174295 | PA      | $180121.77    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1516369 | PA      | $1506161.48   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D53T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219371 | PA      | $210644.28    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS3D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    816862 | PA      | $854172.84    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1715570 | PA      | $1748895.77   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249232 | PA      | $237747.94    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FCR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24600 | PA      | $24881.98     | 0.00%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241KN61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52324 | PA      | $53871.57     | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453960 | PA      | $451515.66    | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    924007 | PA      | $890353.78    | 0.01%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410FSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52378 | PA      | $55580.12     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1120193 | PA      | $1154564.78   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNQ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1664525 | PA      | $1783029.37   | 0.03%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2445356 | PA      | $2491028.96   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMJ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5960771 | PA      | $5016488.18   | 0.08%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2336254 | PA      | $2435516.49   | 0.04%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140LTFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2331999 | PA      | $2036744.89   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    261871 | PA      | $256047.92    | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1YY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1938123 | PA      | $1891351.39   | 0.03%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2312669 | PA      | $2064810.90   | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W35A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738012 | PA      | $643312.15    | 0.01%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3618921 | PA      | $3679213.09   | 0.06%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ASZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97883 | PA      | $97397.79     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EBG90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25377 | PA      | $25194.09     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6505875 | PA      | $5711420.38   | 0.09%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1537479 | PA      | $1498238.31   | 0.02%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1803642 | PA      | $1673715.81   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284160 | PA      | $1129339.72   | 0.02%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMG58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2368123 | PA      | $1997625.17   | 0.03%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9A96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147094 | PA      | $153395.98    | 0.00%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPYF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1508606 | PA      | $1522051.71   | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    179773 | PA      | $184761.91    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016707 | PA      | $969223.31    | 0.02%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E0V48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59068 | PA      | $57886.46     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BTP20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    930184 | PA      | $950483.91    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1483556 | PA      | $1375149.98   | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36184BZL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103398 | PA      | $99915.56     | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753089 | PA      | $784286.25    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MADL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251859 | PA      | $268631.01    | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1972573 | PA      | $1958927.52   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUXJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    965874 | PA      | $984125.28    | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9NX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1719211 | PA      | $1613283.25   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    155588 | PA      | $148631.70    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1886649 | PA      | $1736158.53   | 0.03%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMUW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6647680 | PA      | $6832699.89   | 0.11%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVK46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3217741 | PA      | $2982852.11   | 0.05%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180770 | PA      | $176967.17    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423938 | PA      | $428486.74    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWPA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3631179 | PA      | $3768087.66   | 0.06%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81669 | PA      | $84420.77     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWEL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2977096 | PA      | $3011521.46   | 0.05%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456818 | PA      | $442606.07    | 0.01%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1677770 | PA      | $1602761.12   | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A2BM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139781 | PA      | $139184.56    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     54042 | PA      | $55541.99     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61115 | PA      | $60358.63     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTNT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1654535 | PA      | $1722292.42   | 0.03%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    524984 | PA      | $507088.85    | 0.01%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2060925 | PA      | $1959900.84   | 0.03%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UQ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    657622 | PA      | $631622.60    | 0.01%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VU73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104613 | PA      | $100429.70    | 0.00%             | 2035-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FCH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3784518 | PA      | $3885071.58   | 0.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCA34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2393603 | PA      | $2431225.84   | 0.04%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NABJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338770 | PA      | $346130.40    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131Y2SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53571 | PA      | $52617.96     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620AMLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44396 | PA      | $44006.66     | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M6LG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96320 | PA      | $100963.65    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1236312 | PA      | $1130773.48   | 0.02%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643586 | PA      | $542446.08    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WJZH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614126 | PA      | $594912.88    | 0.01%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    262024 | PA      | $264280.98    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAB40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62291 | PA      | $63049.14     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81041 | PA      | $82155.20     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550973 | PA      | $505468.64    | 0.01%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527491 | PA      | $508278.87    | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10824595 | PA      | $9038214.30   | 0.14%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    996542 | PA      | $1047332.55   | 0.02%             | 2055-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80554 | PA      | $81546.50     | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4700648 | PA      | $4814840.78   | 0.08%             | 2050-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2488577 | PA      | $2109057.06   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2347842 | PA      | $2419369.65   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHD20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2053051 | PA      | $1998290.12   | 0.03%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2682675 | PA      | $2531848.37   | 0.04%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRVJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1915663 | PA      | $1963769.30   | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ENR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93200 | PA      | $94915.24     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0WB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91027 | PA      | $81851.33     | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AEZA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133720 | PA      | $138364.65    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2491779 | PA      | $2516805.75   | 0.04%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQDL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1182311 | PA      | $998328.94    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1122203 | PA      | $985454.55    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SH26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49016 | PA      | $47677.30     | 0.00%             | 2031-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN3P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621983 | PA      | $627807.70    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180ACC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2825453 | PA      | $2942463.13   | 0.05%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137195 | PA      | $135984.96    | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5694510 | PA      | $5841186.95   | 0.09%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820004 | PA      | $790138.88    | 0.01%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2253581 | PA      | $1899749.37   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2907263 | PA      | $2464494.90   | 0.04%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1841739 | PA      | $1892535.32   | 0.03%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140600 | PA      | $137090.08    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EBRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27451 | PA      | $27252.19     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYSV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415020 | PA      | $387398.55    | 0.01%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2956946 | PA      | $2925840.12   | 0.05%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241K6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117475 | PA      | $121643.87    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDUG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234377 | PA      | $225815.67    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    926850 | PA      | $961882.32    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7YB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105064 | PA      | $102832.78    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330056 | PA      | $309648.86    | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HMK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    128763 | PA      | $124794.90    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WAXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    132582 | PA      | $134036.11    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    687716 | PA      | $557126.35    | 0.01%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3200032 | PA      | $3138867.24   | 0.05%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QT2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110076 | PA      | $113193.79    | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4358815 | PA      | $3838359.62   | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159279 | PA      | $161241.91    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579069 | PA      | $594998.73    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRNV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2241711 | PA      | $2324704.64   | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419B4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66704 | PA      | $66419.06     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3164504 | PA      | $3305888.53   | 0.05%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100945 | PA      | $103299.46    | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQW44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1616636 | PA      | $1640430.10   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95155 | PA      | $97097.64     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2033372 | PA      | $2059356.15   | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2077502 | PA      | $2157970.51   | 0.03%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198871 | PA      | $195682.73    | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9TL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147406 | PA      | $149967.45    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298050 | PA      | $277858.82    | 0.00%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHV38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    817797 | PA      | $833313.85    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292HXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     53323 | PA      | $55285.37     | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5TN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5901907 | PA      | $5983074.29   | 0.10%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HJJP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92609 | PA      | $94769.17     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133L8XH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1288331 | PA      | $1205775.14   | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVLC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1696157 | PA      | $1747710.09   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736575 | PA      | $761657.17    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    349901 | PA      | $355441.46    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946372 | PA      | $847310.46    | 0.01%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13218877 | PA      | $11684458.32  | 0.19%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KM5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106326 | PA      | $93122.51     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1310900 | PA      | $1324409.85   | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1381944 | PA      | $1219265.46   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GVYV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2575843 | PA      | $2611733.28   | 0.04%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ANZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198509 | PA      | $194246.76    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GWDQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4942642 | PA      | $4997471.21   | 0.08%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112614 | PA      | $107463.68    | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2210248 | PA      | $2250666.67   | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383157 | PA      | $395956.05    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EY87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282357 | PA      | $299453.81    | 0.00%             | 2053-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ALJ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1240019 | PA      | $1094424.59   | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7421815 | PA      | $7372220.12   | 0.12%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1083551 | PA      | $976447.40    | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1592031 | PA      | $1621338.01   | 0.03%             | 2037-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BD3B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1730490 | PA      | $1724837.18   | 0.03%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BTCH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3811207 | PA      | $3933294.63   | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2241418 | PA      | $1967233.89   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1455011 | PA      | $1514083.12   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    269119 | PA      | $258022.85    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292K4A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60804 | PA      | $61843.20     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7XZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181297 | PA      | $177564.83    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKNM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602152 | PA      | $630966.77    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366795 | PA      | $364616.01    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9S22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386823 | PA      | $1301375.44   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGQR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120918 | PA      | $115997.00    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     46583 | PA      | $48466.00     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66914 | PA      | $69383.12     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1467261 | PA      | $1335799.65   | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1607777 | PA      | $1633048.21   | 0.03%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3340619 | PA      | $2943204.35   | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3479666 | PA      | $3288621.51   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXCS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277214 | PA      | $281652.10    | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3277916 | PA      | $3306040.50   | 0.05%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1889179 | PA      | $1796004.89   | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065061 | PA      | $1088422.22   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1890801 | PA      | $1664447.45   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243826 | PA      | $206491.10    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140APZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122678 | PA      | $123350.63    | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487688 | PA      | $438017.04    | 0.01%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KTL99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    679608 | PA      | $596923.94    | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    544778 | PA      | $528277.59    | 0.01%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9484771 | PA      | $7946094.90   | 0.13%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQT98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498609 | PA      | $525805.86    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4EA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117661 | PA      | $112113.64    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1581630 | PA      | $1482865.12   | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    378582 | PA      | $363588.64    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580671 | PA      | $571893.69    | 0.01%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214736 | PA      | $201504.96    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151479 | PA      | $138762.30    | 0.00%             | 2043-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342797 | PA      | $347459.14    | 0.01%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X97K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168749 | PA      | $166927.13    | 0.00%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFG88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2726156 | PA      | $2364114.42   | 0.04%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49913 | PA      | $49461.33     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148905 | PA      | $147582.16    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1289390 | PA      | $1267844.83   | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694849 | PA      | $682485.23    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1274612 | PA      | $1125498.71   | 0.02%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L07H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816118 | PA      | $689859.78    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5771966 | PA      | $5891744.56   | 0.09%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0N65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89973 | PA      | $88061.77     | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105238 | PA      | $101770.28    | 0.00%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X45Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381690 | PA      | $365952.38    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1167507 | PA      | $1031774.77   | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71780 | PA      | $72924.74     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XX4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93118 | PA      | $88955.28     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2142050 | PA      | $1803180.73   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1702096 | PA      | $1553500.97   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36181GFT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426384 | PA      | $401779.32    | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPM54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528603 | PA      | $545735.52    | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341314 | PA      | $345194.67    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QL6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1567981 | PA      | $1307446.88   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490898 | PA      | $478350.51    | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1315336 | PA      | $1279632.61   | 0.02%             | 2053-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2285626 | PA      | $2350193.88   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    392400 | PA      | $388965.36    | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1636520 | PA      | $1569861.74   | 0.03%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWPP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2907782 | PA      | $2827738.97   | 0.05%             | 2055-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1975798 | PA      | $1770215.94   | 0.03%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31283HWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182404 | PA      | $189117.45    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92267 | PA      | $95872.39     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528179 | PA      | $486075.86    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6SS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2132978 | PA      | $2078608.81   | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8Z75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652562 | PA      | $550740.16    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2V24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4112017 | PA      | $4185630.48   | 0.07%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312939V73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45421 | PA      | $46197.21     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7066475 | PA      | $7248489.74   | 0.12%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXPN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2528245 | PA      | $2360867.33   | 0.04%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2768860 | PA      | $2438604.96   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1167739 | PA      | $1064924.45   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9XB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102207 | PA      | $103265.15    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75811 | PA      | $74489.92     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1628865 | PA      | $1637011.28   | 0.03%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516559 | PA      | $523296.86    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472894 | PA      | $453649.11    | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQNQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1339491 | PA      | $1362338.03   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312944FQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117278 | PA      | $116904.48    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETMU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716893 | PA      | $695284.59    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    648392 | PA      | $611938.30    | 0.01%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6EB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282254 | PA      | $286773.12    | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140H5KT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116838 | PA      | $111614.45    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3314404 | PA      | $3441075.43   | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53656 | PA      | $55228.37     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     93476 | PA      | $87094.90     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7197313 | PA      | $6281595.53   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1703440 | PA      | $1778497.42   | 0.03%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714475 | PA      | $606499.84    | 0.01%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    724363 | PA      | $735771.71    | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78520 | PA      | $70522.65     | 0.00%             | 2046-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1503218 | PA      | $1498824.30   | 0.02%             | 2053-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJ6T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1103680 | PA      | $1159307.73   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FGEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95314 | PA      | $88909.13     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2539550 | PA      | $2611922.04   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696353 | PA      | $685521.42    | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WT40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295382 | PA      | $296864.41    | 0.00%             | 2051-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385780 | PA      | $375520.58    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4280195 | PA      | $3407219.54   | 0.05%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    692573 | PA      | $638431.88    | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    287655 | PA      | $276103.58    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNMS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2897605 | PA      | $2953892.41   | 0.05%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129199 | PA      | $130945.08    | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPH91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4324116 | PA      | $4233580.84   | 0.07%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AXMG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1636510 | PA      | $1377045.95   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8V38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2671218 | PA      | $2635272.59   | 0.04%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219342 | PA      | $215038.14    | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WG5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321642 | PA      | $310209.74    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQPZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    904084 | PA      | $913947.15    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0JF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1094916 | PA      | $1129809.66   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJP53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95540 | PA      | $97052.72     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1110206 | PA      | $1067365.14   | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132J4KR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166877 | PA      | $158375.52    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2128064 | PA      | $1903979.77   | 0.03%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JADM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    913897 | PA      | $847116.91    | 0.01%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MNMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1464727 | PA      | $1328903.03   | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1605541 | PA      | $1398816.45   | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2076839 | PA      | $2144933.86   | 0.03%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358835 | PA      | $365348.90    | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AX2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5387463 | PA      | $5492137.02   | 0.09%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    791923 | PA      | $753615.76    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723622 | PA      | $704204.49    | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105056 | PA      | $105008.29    | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540702 | PA      | $516228.59    | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91309 | PA      | $90856.66     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ES76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164739 | PA      | $164000.52    | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1600570 | PA      | $1544464.74   | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BGDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336151 | PA      | $339237.17    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8MG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    728832 | PA      | $735467.14    | 0.01%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4619905 | PA      | $4065531.13   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510372 | PA      | $449748.90    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604262 | PA      | $579064.90    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181626 | PA      | $176092.98    | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194435 | PA      | $198521.45    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267191 | PA      | $263152.22    | 0.00%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149526 | PA      | $146385.00    | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239745 | PA      | $228697.80    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACS50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    719456 | PA      | $712316.43    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEPL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2211115 | PA      | $2171770.11   | 0.03%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A9Q34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158065 | PA      | $156015.14    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     89306 | PA      | $93612.71     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2225142 | PA      | $2120214.78   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YERQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443163 | PA      | $412444.52    | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107881 | PA      | $99889.44     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2046404 | PA      | $1917986.22   | 0.03%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E2A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82524 | PA      | $85283.60     | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FBMZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240812 | PA      | $232101.16    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213623 | PA      | $220764.67    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2412468 | PA      | $2389526.89   | 0.04%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239678 | PA      | $234122.63    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A1VL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025862 | PA      | $1052991.60   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189406 | PA      | $187760.87    | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362933 | PA      | $357287.78    | 0.01%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7S91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329004 | PA      | $320323.18    | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341282 | PA      | $316344.39    | 0.01%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMCB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113466 | PA      | $118302.66    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47619 | PA      | $46706.95     | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537248 | PA      | $453945.28    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1432239 | PA      | $1211261.32   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2706931 | PA      | $2657737.37   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SQU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820628 | PA      | $737047.29    | 0.01%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550210 | PA      | $1483282.51   | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    620024 | PA      | $625668.29    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601261 | PA      | $603207.41    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K0SQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149739 | PA      | $138808.79    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRBH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1587130 | PA      | $1614953.55   | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740229 | PA      | $705330.15    | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359349 | PA      | $348169.34    | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    988113 | PA      | $928263.09    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1054499 | PA      | $885881.98    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AYJL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1723236 | PA      | $1449420.55   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57792 | PA      | $58640.51     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132059 | PA      | $126614.05    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4158254 | PA      | $3888095.88   | 0.06%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3203887 | PA      | $3132387.68   | 0.05%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WF3L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135365 | PA      | $129783.77    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVWK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1937852 | PA      | $1959604.52   | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ADQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     88844 | PA      | $88096.02     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQP67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5017975 | PA      | $5204833.75   | 0.08%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KEM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1454465 | PA      | $1232144.67   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295984 | PA      | $265095.25    | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0JZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1449448 | PA      | $1496631.77   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70931 | PA      | $70004.46     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2179562 | PA      | $1831242.62   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQ2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1036884 | PA      | $1048929.78   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3836228 | PA      | $3390183.46   | 0.05%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7ZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1823027 | PA      | $1609855.90   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1601447 | PA      | $1407745.28   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1099308 | PA      | $1050878.89   | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QRP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2924921 | PA      | $2970069.37   | 0.05%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1313979 | PA      | $1263748.75   | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVAS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1931015 | PA      | $1997401.56   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E1M20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     50757 | PA      | $49405.77     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566846 | PA      | $552106.09    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2219771 | PA      | $2183115.17   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2447794 | PA      | $2509601.92   | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMPB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1342413 | PA      | $1295569.79   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2041973 | PA      | $1878062.40   | 0.03%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1978967 | PA      | $1755834.99   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WCAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165549 | PA      | $164067.46    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CYE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236874 | PA      | $235414.90    | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239697 | PA      | $230534.14    | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477286 | PA      | $468453.65    | 0.01%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71690 | PA      | $70139.46     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419AQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243009 | PA      | $241971.97    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106480 | PA      | $105046.70    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     77726 | PA      | $80380.25     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112372 | PA      | $114139.27    | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XYA72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168528 | PA      | $165711.69    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111284 | PA      | $92260.77     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1834120 | PA      | $1645570.76   | 0.03%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0DM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1373257 | PA      | $1408854.54   | 0.02%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3578431 | PA      | $3337112.61   | 0.05%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595688 | PA      | $605727.59    | 0.01%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417DSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189583 | PA      | $183534.08    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832395 | PA      | $792130.52    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6CN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7980976 | PA      | $8111568.56   | 0.13%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3275598 | PA      | $3247995.03   | 0.05%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8107552 | PA      | $8263798.19   | 0.13%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193166 | PA      | $189938.26    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ESM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959913 | PA      | $955608.60    | 0.02%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1472265 | PA      | $1451996.84   | 0.02%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6JJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3103940 | PA      | $3226456.19   | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9BD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226276 | PA      | $229883.93    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJ3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3270131 | PA      | $2990056.70   | 0.05%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69346 | PA      | $66604.53     | 0.00%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4138371 | PA      | $3593063.34   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0Y63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2359314 | PA      | $2465987.08   | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384379 | PA      | $368736.65    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MFSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78544 | PA      | $74142.06     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMHH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392996 | PA      | $361602.88    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312946AS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157524 | PA      | $160019.92    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140N26Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702810 | PA      | $697651.37    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116418 | PA      | $120631.13    | 0.00%             | 2053-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2858877 | PA      | $2276440.83   | 0.04%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5JB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    579153 | PA      | $535648.09    | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNQU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13528370 | PA      | $11261604.98  | 0.18%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1116842 | PA      | $1035232.76   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1478566 | PA      | $1496757.64   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    972786 | PA      | $932265.22    | 0.01%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101905 | PA      | $106457.45    | 0.00%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    119038 | PA      | $122526.45    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1392481 | PA      | $1345872.96   | 0.02%             | 2054-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9WX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158785 | PA      | $134398.15    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WPJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    228245 | PA      | $225105.55    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0X72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127976 | PA      | $134172.55    | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1564156 | PA      | $1572735.45   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    993920 | PA      | $949944.01    | 0.02%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2901761 | PA      | $2459830.99   | 0.04%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E5F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187525 | PA      | $190430.51    | 0.00%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4542316 | PA      | $3765851.02   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQB97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2342457 | PA      | $2451481.26   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QED41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561262 | PA      | $515197.41    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEKC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57218 | PA      | $55804.36     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6333500 | PA      | $6399596.27   | 0.10%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2323987 | PA      | $2413693.24   | 0.04%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252518 | PA      | $251809.44    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537524 | PA      | $513741.30    | 0.01%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30833 | PA      | $30620.70     | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ASYC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2088214 | PA      | $1840438.91   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M6SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51826 | PA      | $54324.94     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2292541 | PA      | $2305115.90   | 0.04%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M6EC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68406 | PA      | $70490.34     | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170916 | PA      | $169700.26    | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LTL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50966 | PA      | $49186.13     | 0.00%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629171 | PA      | $598981.52    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1564949 | PA      | $1453216.02   | 0.02%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    525299 | PA      | $538877.61    | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7231110 | PA      | $7397944.65   | 0.12%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LVMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108342 | PA      | $105974.44    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XTM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43774 | PA      | $45334.03     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352143 | PA      | $354817.74    | 0.01%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1935152 | PA      | $1728963.06   | 0.03%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133W6GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54904 | PA      | $57148.75     | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416WU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480845 | PA      | $478791.92    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296Q2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150335 | PA      | $152531.29    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHT28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86980 | PA      | $84664.47     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133L8SB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2360380 | PA      | $2208542.36   | 0.04%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRP53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    723659 | PA      | $755067.56    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397998 | PA      | $386583.14    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W36K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3925678 | PA      | $3997594.57   | 0.06%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4695604 | PA      | $4157429.06   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209247 | PA      | $177037.33    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6JP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1401960 | PA      | $1408648.02   | 0.02%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4L95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212167 | PA      | $199094.32    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0KW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1259339 | PA      | $1308439.17   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A8VX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240601 | PA      | $242469.97    | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GDHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70862 | PA      | $71984.37     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    943528 | PA      | $926739.06    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86329 | PA      | $85864.57     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438820 | PA      | $445593.09    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2259132 | PA      | $2309884.67   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJSG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166278 | PA      | $156794.87    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RTA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191159 | PA      | $188185.34    | 0.00%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GUPP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3314092 | PA      | $3460592.85   | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5XR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6319639 | PA      | $6461204.83   | 0.10%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795963 | PA      | $825331.14    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPVV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1773393 | PA      | $1700795.71   | 0.03%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530255 | PA      | $509793.46    | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11723242 | PA      | $11692608.34  | 0.19%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    166710 | PA      | $161256.68    | 0.00%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ4X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    926647 | PA      | $817142.16    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    938797 | PA      | $887834.04    | 0.01%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  91989713 | NS      | $91989712.87  | 1.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97099 | PA      | $91461.67     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2283188 | PA      | $2131330.07   | 0.03%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128PYYP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87777 | PA      | $86991.35     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2737286 | PA      | $2662104.26   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6740683 | PA      | $5714095.41   | 0.09%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605304 | PA      | $589675.65    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216527 | PA      | $212674.51    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5432147 | PA      | $4733142.99   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJQ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11447480 | PA      | $9586402.02   | 0.15%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321813 | PA      | $316806.72    | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNAL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    777810 | PA      | $686921.70    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146640 | PA      | $151865.97    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M0KE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69892 | PA      | $69516.44     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XTBN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717164 | PA      | $679377.52    | 0.01%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7442221 | PA      | $7567350.89   | 0.12%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11468141 | PA      | $11763532.78  | 0.19%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1348352 | PA      | $1377649.26   | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241L2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59874 | PA      | $58133.49     | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371LCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     88581 | PA      | $90870.32     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749656 | PA      | $719121.54    | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791805 | PA      | $716656.20    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1408213 | PA      | $1241439.21   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4176690 | PA      | $4334167.01   | 0.07%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1055234 | PA      | $955107.09    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57692 | PA      | $58533.24     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9EC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67483 | PA      | $67643.60     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353862 | PA      | $320285.54    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0BY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5660482 | PA      | $5800868.33   | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225411 | PA      | $207999.64    | 0.00%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195759 | PA      | $188006.18    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPHF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    524484 | PA      | $548228.16    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWN74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3600173 | PA      | $3619919.86   | 0.06%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8DM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    179741 | PA      | $173682.35    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496375 | PA      | $482455.84    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1824833 | PA      | $1699195.02   | 0.03%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3523506 | PA      | $3617393.70   | 0.06%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP2U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    659300 | PA      | $653400.43    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121191 | PA      | $1045235.91   | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DT6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871356 | PA      | $1966153.43   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10818100 | PA      | $9172445.93   | 0.15%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    571155 | PA      | $566116.95    | 0.01%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945DN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    340628 | PA      | $333186.42    | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J7UK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457571 | PA      | $452491.80    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48686 | PA      | $50771.32     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N53X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14937753 | PA      | $15000159.94  | 0.24%             | 2055-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2222350 | PA      | $2191792.16   | 0.04%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5VQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2773499 | PA      | $2785086.58   | 0.04%             | 2055-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1310830 | PA      | $1297972.37   | 0.02%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1027919 | PA      | $1033557.45   | 0.02%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126581 | PA      | $119379.12    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUUV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800796 | PA      | $841967.93    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1773356 | PA      | $1545162.28   | 0.02%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWVQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2280406 | PA      | $2178216.21   | 0.03%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140ABX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489775 | PA      | $484622.92    | 0.01%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5275963 | PA      | $5330332.43   | 0.09%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1402096 | PA      | $1279691.11   | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133A0DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2126270 | PA      | $1869924.48   | 0.03%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132J7YN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294269 | PA      | $276759.29    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     52540 | PA      | $50621.04     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8YP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325267 | PA      | $1119406.04   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    212361 | PA      | $205704.92    | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKC32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    843015 | PA      | $868331.04    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2X23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80167 | PA      | $78785.63     | 0.00%             | 2046-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D57E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3151385 | PA      | $2948586.63   | 0.05%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    899441 | PA      | $931272.38    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49897 | PA      | $50411.14     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6534472 | PA      | $6642236.74   | 0.11%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47357 | PA      | $49386.19     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    509872 | PA      | $496498.07    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1278418 | PA      | $1214969.74   | 0.02%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934806 | PA      | $825861.54    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMH90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1231427 | PA      | $1249052.50   | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104349 | PA      | $96619.18     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461738 | PA      | $431003.76    | 0.01%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3503875 | PA      | $3064600.71   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XK3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747151 | PA      | $737976.15    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218062 | PA      | $208027.71    | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    898965 | PA      | $889507.92    | 0.01%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6620363 | PA      | $6188202.20   | 0.10%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413413 | PA      | $396367.57    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5G90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634903 | PA      | $639654.95    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2218851 | PA      | $2302510.39   | 0.04%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375039 | PA      | $371756.66    | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QV4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1869517 | PA      | $1974765.05   | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSES7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2635900 | PA      | $2098289.53   | 0.03%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2123293 | PA      | $1773787.28   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKMB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1537153 | PA      | $1464648.65   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    618608 | PA      | $591237.42    | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6JG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2989700 | PA      | $3111776.40   | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5MN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3038632 | PA      | $3003828.81   | 0.05%             | 2055-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XM7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489616 | PA      | $511567.69    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MJ6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4539201 | PA      | $3954395.75   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BVH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    114525 | PA      | $112983.53    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AD3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268724 | PA      | $265207.91    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102130 | PA      | $99907.95     | 0.00%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1YT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    948008 | PA      | $827686.33    | 0.01%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672584 | PA      | $636072.10    | 0.01%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78452 | PA      | $79725.47     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFJN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874875 | PA      | $828537.29    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335CED2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143112 | PA      | $136869.02    | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2104641 | PA      | $2140002.17   | 0.03%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7780789 | PA      | $6786386.46   | 0.11%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5XQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8705151 | PA      | $8832916.12   | 0.14%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140LYM34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1612828 | PA      | $1353469.39   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97210 | PA      | $96931.53     | 0.00%             | 2038-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P75M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67910 | PA      | $67228.92     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1927900 | PA      | $1917190.20   | 0.03%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371MDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117925 | PA      | $122977.34    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72175 | PA      | $67324.71     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GDJ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78192 | PA      | $79432.61     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296Q6S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71035 | PA      | $72073.19     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X72M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373640 | PA      | $345137.42    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBM64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2356163 | PA      | $2260276.98   | 0.04%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186421 | PA      | $194616.57    | 0.00%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AAFC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194657 | PA      | $190438.28    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31334YPV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530107 | PA      | $493361.32    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0Q96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    929091 | PA      | $947282.42    | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133429 | PA      | $132623.84    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X42H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162425 | PA      | $148582.18    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86982 | PA      | $85465.90     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7M89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739017 | PA      | $705298.02    | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427PGU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6195714 | PA      | $6436522.39   | 0.10%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E4L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407812 | PA      | $403521.62    | 0.01%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SLT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98945 | PA      | $97220.69     | 0.00%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XA6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483562 | PA      | $490454.99    | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1095729 | PA      | $1072702.51   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6970577 | PA      | $6155032.53   | 0.10%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3589134 | PA      | $3007612.73   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681536 | PA      | $695259.52    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ARF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106960 | PA      | $106620.53    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1735607 | PA      | $1643574.74   | 0.03%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DU4Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2882233 | PA      | $2923567.28   | 0.05%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FE5W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342734 | PA      | $338525.08    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL3T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535330 | PA      | $567751.01    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2320876 | PA      | $2221729.42   | 0.04%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6408586 | PA      | $5658793.28   | 0.09%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    109465 | PA      | $108311.40    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTLY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66800 | PA      | $63348.38     | 0.00%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1414725 | PA      | $1450202.61   | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     70660 | PA      | $70233.55     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416CEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114851 | PA      | $118216.76    | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133C4RL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1331097 | PA      | $1344155.76   | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80162 | PA      | $70222.47     | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129366F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67031 | PA      | $68121.71     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AEKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89059 | PA      | $90366.82     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJVR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739807 | PA      | $642475.56    | 0.01%             | 2042-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1365283 | PA      | $1241310.14   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2683686 | PA      | $2731801.91   | 0.04%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KVFR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535848 | PA      | $452778.07    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HMK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60420 | PA      | $58557.69     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77318 | PA      | $78898.21     | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197478 | PA      | $194493.31    | 0.00%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XX2L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188850 | PA      | $180407.16    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPWL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1855420 | PA      | $1957314.97   | 0.03%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109701 | PA      | $112374.79    | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158603 | PA      | $153542.21    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483288 | PA      | $474344.32    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XM3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3382979 | PA      | $3478794.50   | 0.06%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYSP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113837 | PA      | $106331.27    | 0.00%             | 2039-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1307265 | PA      | $1333976.59   | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3023805 | PA      | $2778674.58   | 0.04%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152478 | PA      | $150105.91    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7814694 | PA      | $7854238.38   | 0.13%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3428087 | PA      | $3496810.22   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     82671 | PA      | $81049.17     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720782 | PA      | $636460.16    | 0.01%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMTZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1959367 | PA      | $1652389.73   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XJSY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    921295 | PA      | $900828.37    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727235 | PA      | $676825.50    | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3004952 | PA      | $2948022.27   | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XQDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252778 | PA      | $250617.85    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGVF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376215 | PA      | $335424.34    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296QUY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59299 | PA      | $60167.90     | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100179 | PA      | $101776.43    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N56J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6986025 | PA      | $7097193.49   | 0.11%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6QS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366502 | PA      | $350116.66    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36176W7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199608 | PA      | $193803.81    | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2619895 | PA      | $2552260.26   | 0.04%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4699318 | PA      | $4073778.14   | 0.07%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQ5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2706333 | PA      | $2772537.17   | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8QZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139331 | PA      | $134885.04    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122921 | PA      | $115042.22    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6DX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    558495 | PA      | $573510.27    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QDC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2907686 | PA      | $2747593.79   | 0.04%             | 2055-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7QN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030930 | PA      | $1015736.06   | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326597 | PA      | $313662.45    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1626542 | PA      | $1732089.43   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300790 | PA      | $1218760.43   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ATV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61646 | PA      | $63750.76     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179M5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46580 | PA      | $48146.20     | 0.00%             | 2043-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385543 | PA      | $375637.75    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9680427 | PA      | $8547941.83   | 0.14%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMYP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159778 | PA      | $160444.28    | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45949 | PA      | $48954.21     | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391015 | PA      | $415114.20    | 0.01%             | 2054-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120062 | PA      | $121694.97    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A3YM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550294 | PA      | $539285.89    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734524 | PA      | $688882.95    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ESAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1339941 | PA      | $1397346.83   | 0.02%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398005 | PA      | $399296.11    | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    192484 | PA      | $190747.75    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1607458 | PA      | $1413571.21   | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1104047 | PA      | $1069506.34   | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658054 | PA      | $645249.12    | 0.01%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110495 | PA      | $107481.61    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188876 | PA      | $175783.86    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291808 | PA      | $280090.03    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17817598 | PA      | $14920895.43  | 0.24%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133C7AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5335294 | PA      | $5440575.98   | 0.09%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3935936 | PA      | $3955621.21   | 0.06%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQAG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    636966 | PA      | $647237.42    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2360695 | PA      | $2403605.93   | 0.04%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1752269 | PA      | $1801038.48   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528765 | PA      | $542967.79    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9776446 | PA      | $8159624.75   | 0.13%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2422332 | PA      | $2414877.45   | 0.04%             | 2053-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    376949 | PA      | $354117.17    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QU2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4130514 | PA      | $4326097.61   | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723956 | PA      | $729340.36    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464175 | PA      | $488748.20    | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103955 | PA      | $104986.02    | 0.00%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521263 | PA      | $485576.15    | 0.01%             | 2040-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2853704 | PA      | $2932410.94   | 0.05%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102703 | PA      | $101200.62    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1703664 | PA      | $1584380.51   | 0.03%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107287 | PA      | $103949.52    | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427Q7G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2593585 | PA      | $2637704.10   | 0.04%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2198603 | PA      | $2324822.12   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622AADG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301678 | PA      | $292838.80    | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131Y3XK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112753 | PA      | $113915.30    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJRJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610718 | PA      | $602252.60    | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71886 | PA      | $73015.88     | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2270101 | PA      | $1968036.44   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MACH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115351 | PA      | $116753.09    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56001 | PA      | $56894.24     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22672653 | PA      | $18946836.79  | 0.30%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ECTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134400 | PA      | $133137.26    | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BXN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265880 | PA      | $262301.80    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022598 | PA      | $1050091.22   | 0.02%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    967544 | PA      | $840550.66    | 0.01%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133B6DS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1454464 | PA      | $1330096.18   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957157 | PA      | $932909.14    | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPCM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511218 | PA      | $522649.76    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31368HNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191525 | PA      | $194425.82    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370913 | PA      | $364049.16    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WB5K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    957215 | PA      | $982994.67    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNN25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2238991 | PA      | $1964409.90   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MNW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150391 | PA      | $145685.56    | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8300327 | PA      | $7262306.36   | 0.12%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311950 | PA      | $298207.57    | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJP49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    863283 | PA      | $851316.79    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    698236 | PA      | $728566.50    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A25S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171401 | PA      | $170181.95    | 0.00%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A9QX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53387 | PA      | $52691.53     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2439370 | PA      | $2244199.14   | 0.04%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699647 | PA      | $672648.57    | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62792 | PA      | $60447.12     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335B6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46064 | PA      | $46851.45     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378038 | PA      | $328536.91    | 0.01%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255192 | PA      | $248295.91    | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2539647 | PA      | $2637573.90   | 0.04%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MFSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153013 | PA      | $144307.20    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1631589 | PA      | $1663844.92   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94081 | PA      | $97234.68     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977804 | PA      | $988141.97    | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9ZS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74895 | PA      | $73355.85     | 0.00%             | 2028-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRS92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2798285 | PA      | $2926999.83   | 0.05%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1376164 | PA      | $1284191.29   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419AGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114609 | PA      | $114127.79    | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432860 | PA      | $402735.38    | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133A3PB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304451 | PA      | $280731.09    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1005475 | PA      | $884509.63    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EMY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    334316 | PA      | $339647.29    | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9530019 | PA      | $9775712.66   | 0.16%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6CR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1764299 | PA      | $1855207.56   | 0.03%             | 2055-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    166654 | PA      | $171278.67    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1651849 | PA      | $1511066.26   | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPDM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76994 | PA      | $80628.59     | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5385727 | PA      | $5528899.71   | 0.09%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335CGS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277242 | PA      | $268848.68    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429133 | PA      | $1484180.81   | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4188536 | PA      | $3335534.75   | 0.05%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638400 | PA      | $650074.01    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8LG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83490 | PA      | $82207.52     | 0.00%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRNB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2434199 | PA      | $2469949.29   | 0.04%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5A41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6625890 | PA      | $6733891.59   | 0.11%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D53K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131450 | PA      | $128080.16    | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186791 | PA      | $188193.64    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1796604 | PA      | $1643235.22   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140EVS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274316 | PA      | $263152.59    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96366 | PA      | $94959.89     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AQUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318444 | PA      | $330722.77    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6BL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5570844 | PA      | $5781420.18   | 0.09%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73848 | PA      | $73612.90     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0Y30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4438753 | PA      | $4608394.30   | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNNF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822116 | PA      | $817689.99    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409836 | PA      | $412685.48    | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1099860 | PA      | $1078458.12   | 0.02%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6TF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146038 | PA      | $134704.08    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53107 | PA      | $50915.80     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3083202 | PA      | $2455423.27   | 0.04%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1102315 | PA      | $1022908.99   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQ4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2416975 | PA      | $2514389.32   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301811 | PA      | $297713.63    | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132WEKW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143571 | PA      | $137884.87    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSF22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84528 | PA      | $86209.17     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1776171 | PA      | $1768588.45   | 0.03%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64978 | PA      | $66035.82     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    818461 | PA      | $774030.31    | 0.01%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XK3Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458702 | PA      | $465042.56    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3380210 | PA      | $3249773.92   | 0.05%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227891 | PA      | $223836.33    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416CCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    198760 | PA      | $201770.95    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544622 | PA      | $565931.10    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2671441 | PA      | $2740313.69   | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237993 | PA      | $225678.01    | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36752 | PA      | $36738.54     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8245728 | PA      | $8425431.64   | 0.13%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FPFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164508 | PA      | $157153.71    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AFCP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735206 | PA      | $749831.57    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QKFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950525 | PA      | $825040.92    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8XK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669017 | PA      | $592339.18    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63229 | PA      | $61390.68     | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7425795 | PA      | $7617064.95   | 0.12%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2646534 | PA      | $2242924.82   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ZM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4964206 | PA      | $5081360.96   | 0.08%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73909 | PA      | $74581.65     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555675 | PA      | $533667.53    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    574551 | PA      | $586417.27    | 0.01%             | 2054-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KTMA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537314 | PA      | $471942.02    | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171430 | PA      | $171650.34    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288458 | PA      | $284820.12    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974161 | PA      | $934516.82    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LTJQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205013 | PA      | $193109.89    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71809 | PA      | $71503.62     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1201278 | PA      | $1057469.58   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADWF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1089539 | PA      | $1093065.53   | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GU4P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     61844 | PA      | $59937.66     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1165273 | PA      | $1121155.32   | 0.02%             | 2055-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0Y69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150578 | PA      | $141300.40    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1508721 | PA      | $1583040.21   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVK87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2493454 | PA      | $2391379.61   | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ELV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5045763 | PA      | $4908824.73   | 0.08%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110518 | PA      | $103278.63    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11138926 | PA      | $9787702.60   | 0.16%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1709720 | PA      | $1441633.46   | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383554 | PA      | $353794.23    | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107608 | PA      | $102144.35    | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470025 | PA      | $443218.65    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501973 | PA      | $509344.95    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKW68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187107 | PA      | $183743.46    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSHF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1788436 | PA      | $1842760.26   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LUTA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174600 | PA      | $173659.93    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MTKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2166522 | PA      | $2143730.48   | 0.03%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5XP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2621741 | PA      | $2632693.78   | 0.04%             | 2055-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GE7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109413 | PA      | $111145.35    | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     73179 | PA      | $71943.08     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503372 | PA      | $483471.27    | 0.01%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPZM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1619497 | PA      | $1656532.32   | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    682412 | PA      | $627170.43    | 0.01%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74076 | PA      | $69851.70     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    630924 | PA      | $649500.82    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265369 | PA      | $258475.15    | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31294UAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     67663 | PA      | $66898.56     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73359 | PA      | $70759.91     | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFNK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2499774 | PA      | $2111470.75   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6N48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1028353 | PA      | $964579.78    | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309144 | PA      | $296397.30    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106310 | PA      | $113388.83    | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12744535 | PA      | $12610465.38  | 0.20%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363785 | PA      | $337471.83    | 0.01%             | 2041-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84124 | PA      | $83428.76     | 0.00%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1YS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2660978 | PA      | $2331491.90   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1380704 | PA      | $1373991.38   | 0.02%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13495020 | PA      | $11301062.68  | 0.18%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    504431 | PA      | $482419.00    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375285 | PA      | $381269.53    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2246515 | PA      | $1982551.75   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKKB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2372109 | PA      | $2007118.21   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJYQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4547613 | PA      | $4638264.53   | 0.07%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKG46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144979 | PA      | $1182050.82   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210437 | PA      | $208531.13    | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71748 | PA      | $74821.90     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815481 | PA      | $706971.20    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WA5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72144 | PA      | $71243.31     | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1427894 | PA      | $1310260.17   | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MDZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    158042 | PA      | $152999.16    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8841946 | PA      | $7807454.62   | 0.12%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M73U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231312 | PA      | $239115.10    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1145577 | PA      | $968872.32    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186074 | PA      | $178040.20    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    908379 | PA      | $872723.06    | 0.01%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1286983 | PA      | $1234561.55   | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1703031 | PA      | $1621314.72   | 0.03%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GJR27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139711 | PA      | $140041.73    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACS76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1143007 | PA      | $1128968.00   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6J92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2697443 | PA      | $2810152.07   | 0.04%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12412456 | PA      | $12386311.64  | 0.20%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X86W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214219 | PA      | $212926.22    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417F4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68872 | PA      | $64745.06     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ENWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141685 | PA      | $140830.65    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WF2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111113 | PA      | $103410.98    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AC2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291657 | PA      | $287383.50    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MFNA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307410 | PA      | $300744.76    | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941279 | PA      | $985094.26    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQYG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642530 | PA      | $682914.03    | 0.01%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPGF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1214247 | PA      | $1235816.02   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1737193 | PA      | $1696791.03   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5563033 | PA      | $5104374.54   | 0.08%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X72X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2071017 | PA      | $1970841.27   | 0.03%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180ACA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8749741 | PA      | $8893200.34   | 0.14%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLLM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786548 | PA      | $804715.88    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52542 | PA      | $54354.83     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1655899 | PA      | $1600474.09   | 0.03%             | 2054-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53659 | PA      | $52136.66     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQFU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1115869 | PA      | $1140378.90   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50696 | PA      | $52961.07     | 0.00%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2831588 | PA      | $2772082.99   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5MQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7840343 | PA      | $7949413.48   | 0.13%             | 2055-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441024 | PA      | $432101.30    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2422334 | PA      | $2535891.72   | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QD24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63579 | PA      | $64444.12     | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    656810 | PA      | $690652.72    | 0.01%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSQC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1162533 | PA      | $1185490.09   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4545637 | PA      | $4029721.35   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093567 | PA      | $1114110.29   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1248309 | PA      | $1189622.44   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N56K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1596643 | PA      | $1636072.53   | 0.03%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    789538 | PA      | $794522.44    | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371025 | PA      | $372887.09    | 0.01%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224231 | PA      | $219805.10    | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3147607 | PA      | $3164871.39   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    919746 | PA      | $938972.63    | 0.02%             | 2053-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K5D38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186318 | PA      | $171987.12    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119585 | PA      | $117682.07    | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8ER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194214 | PA      | $192402.21    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMUU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    643519 | PA      | $593191.74    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPQL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1018798 | PA      | $1000283.18   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2284073 | PA      | $2107669.80   | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1730492 | PA      | $1767956.46   | 0.03%             | 2044-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACMJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5560771 | PA      | $5343524.70   | 0.09%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112424 | PA      | $109018.66    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145656 | PA      | $143981.21    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81655 | PA      | $84565.65     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7021579 | PA      | $6200067.19   | 0.10%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJTQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945893 | PA      | $979607.01    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7956538 | PA      | $7419974.47   | 0.12%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKRT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3780474 | PA      | $3343721.06   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    170919 | PA      | $164055.67    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140E7FY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81110 | PA      | $80029.31     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    615513 | PA      | $605228.45    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQRH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946649 | PA      | $987769.74    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    586184 | PA      | $574114.25    | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2011929 | PA      | $1778310.94   | 0.03%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615607 | PA      | $622085.63    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9986284 | PA      | $10149690.22  | 0.16%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6AP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7203202 | PA      | $7321068.37   | 0.12%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444037 | PA      | $412777.92    | 0.01%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1042188 | PA      | $1098608.17   | 0.02%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5FL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1352841 | PA      | $1253986.41   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ECSX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84864 | PA      | $84407.46     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1288603 | PA      | $1338155.82   | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500361 | PA      | $2331364.55   | 0.04%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N53Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7264955 | PA      | $7378365.33   | 0.12%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1865196 | PA      | $1717681.42   | 0.03%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    732427 | PA      | $719261.94    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1414452 | PA      | $1306400.00   | 0.02%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2638121 | PA      | $2290397.07   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2553506 | PA      | $2348932.70   | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6055446 | PA      | $5836399.95   | 0.09%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954726 | PA      | $1005870.08   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887276 | PA      | $754591.15    | 0.01%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WBW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731899 | PA      | $592316.75    | 0.01%             | 2051-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4164961 | PA      | $4210515.66   | 0.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K4LM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334399 | PA      | $321376.46    | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329JPT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1117249 | PA      | $1081600.10   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    210904 | PA      | $208294.97    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2709518 | PA      | $2784248.96   | 0.04%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XBV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37571 | PA      | $37136.52     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMTJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77935 | PA      | $77013.50     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6HY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1114967 | PA      | $1107487.81   | 0.02%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169768 | PA      | $142983.51    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X97F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1454684 | PA      | $1322400.58   | 0.02%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141887 | PA      | $140076.50    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YXKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67707 | PA      | $66844.90     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10749162 | PA      | $10923341.78  | 0.17%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM2V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1931791 | PA      | $1635066.56   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1328008 | PA      | $1263770.02   | 0.02%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0BT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54816 | PA      | $53446.83     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN3E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1767790 | PA      | $1762801.45   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625573 | PA      | $644749.21    | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NQ68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149191 | PA      | $151220.22    | 0.00%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NTF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73996 | PA      | $75002.38     | 0.00%             | 2043-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W47J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11217238 | PA      | $11131784.75  | 0.18%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLJM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1656572 | PA      | $1466732.44   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479609 | PA      | $470988.12    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593812 | PA      | $582786.91    | 0.01%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694974 | PA      | $710361.08    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1779169 | PA      | $1810174.11   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764526 | PA      | $804186.04    | 0.01%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97105 | PA      | $95673.70     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597549 | PA      | $506165.05    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1503032 | PA      | $1489583.80   | 0.02%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246112 | PA      | $1259628.24   | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4XG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539503 | PA      | $532318.93    | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E2JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112605 | PA      | $109607.17    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226142 | PA      | $190856.04    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8WB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315316 | PA      | $311442.81    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3020121 | PA      | $2804492.89   | 0.04%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WG69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628856 | PA      | $615646.41    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9S70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254615 | PA      | $229126.47    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6851285 | PA      | $5777532.83   | 0.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6B44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1074196 | PA      | $1116139.61   | 0.02%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721321 | PA      | $729532.02    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222501 | PA      | $223905.60    | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUJM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1331724 | PA      | $1385196.83   | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DT5U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324276 | PA      | $318446.85    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8HQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    930449 | PA      | $912081.74    | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6YS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230923 | PA      | $223520.95    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550327 | PA      | $555160.17    | 0.01%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335AXD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208370 | PA      | $211176.04    | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8WB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462736 | PA      | $408783.03    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    276231 | PA      | $271266.05    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6BK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27487914 | PA      | $28202864.87  | 0.45%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417AJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62093 | PA      | $60761.00     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GSTW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     83084 | PA      | $80523.58     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562644 | PA      | $582758.20    | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6406710 | PA      | $6544637.64   | 0.10%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1638936 | PA      | $1671918.14   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8594548 | PA      | $7595578.83   | 0.12%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1826689 | PA      | $1583626.08   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QGD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204762 | PA      | $201666.77    | 0.00%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942613 | PA      | $817431.64    | 0.01%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429586 | PA      | $1442314.64   | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7YC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326466 | PA      | $306351.34    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95217 | PA      | $99054.43     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75815 | PA      | $70120.11     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2605543 | PA      | $2218250.77   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XYNZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315907 | PA      | $301783.93    | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4406638 | PA      | $4482418.34   | 0.07%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN4V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2619712 | PA      | $2615450.21   | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22151156 | PA      | $18471007.93  | 0.30%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMPU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519777 | PA      | $459657.05    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHWW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2883141 | PA      | $2660159.98   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81463 | PA      | $78085.13     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHAR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855963 | PA      | $850798.03    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QN3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437253 | PA      | $396671.80    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ZN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    694057 | PA      | $722799.01    | 0.01%             | 2055-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     93883 | PA      | $92721.65     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606918 | PA      | $590449.30    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2529867 | PA      | $2639237.46   | 0.04%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GVK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5814322 | PA      | $5962617.85   | 0.10%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427NWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2456665 | PA      | $2392845.20   | 0.04%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292HW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55314 | PA      | $56805.29     | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4427371 | PA      | $3702911.65   | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76939 | PA      | $73808.12     | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FE37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2657392 | PA      | $2702072.55   | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSR46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    826697 | PA      | $832879.39    | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQKE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1123185 | PA      | $994818.63    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361519 | PA      | $360366.06    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45582 | PA      | $46272.78     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ELKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74807 | PA      | $77307.64     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3678990 | PA      | $3308146.62   | 0.05%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMS61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85418 | PA      | $83856.75     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HQBE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383710 | PA      | $361826.22    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1619278 | PA      | $1481433.08   | 0.02%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10045944 | PA      | $9965676.35   | 0.16%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159949 | PA      | $148750.67    | 0.00%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430555 | PA      | $417438.20    | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321735 | PA      | $335518.32    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXG71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78433 | PA      | $76523.85     | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335A5Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     57163 | PA      | $57867.97     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297899 | PA      | $314461.27    | 0.01%             | 2054-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPT40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264451 | PA      | $258279.97    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    697100 | PA      | $663379.88    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1326179 | PA      | $1380020.27   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKRH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    117876 | PA      | $115757.36    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3321048 | PA      | $2902213.04   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70945 | PA      | $73330.71     | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2093063 | PA      | $2212817.25   | 0.04%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9UY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290080 | PA      | $297803.40    | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99419 | PA      | $101861.57    | 0.00%             | 2043-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2566711 | PA      | $2252484.58   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNND1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227735 | PA      | $222197.77    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130877 | PA      | $129001.66    | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8900459 | PA      | $9043828.94   | 0.14%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9P33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251439 | PA      | $253320.61    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFG39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2370933 | PA      | $2115349.47   | 0.03%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5149505 | PA      | $4811769.25   | 0.08%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1526053 | PA      | $1329708.76   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253832 | PA      | $240610.46    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLEJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346761 | PA      | $360594.37    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599182 | PA      | $579438.73    | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94396 | PA      | $93217.77     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105677 | PA      | $107228.85    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369023 | PA      | $312329.82    | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    896243 | PA      | $825772.95    | 0.01%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1106718 | PA      | $1020213.14   | 0.02%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348169 | PA      | $311834.49    | 0.00%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1234760 | PA      | $1281950.85   | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3972163 | PA      | $3490807.64   | 0.06%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y6NU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132552 | PA      | $128866.37    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329QH87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42053 | PA      | $43076.81     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1888228 | PA      | $1733084.57   | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170187 | PA      | $162760.69    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82684 | PA      | $85729.30     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9274851 | PA      | $9513748.51   | 0.15%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2613127 | PA      | $2395814.22   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8JD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188653 | PA      | $180219.16    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1702056 | PA      | $1590339.63   | 0.03%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448645 | PA      | $453199.18    | 0.01%             | 2037-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSGR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2081030 | PA      | $2126173.80   | 0.03%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570371 | PA      | $525261.18    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124042 | PA      | $118944.72    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2739063 | PA      | $2506528.18   | 0.04%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522833 | PA      | $501496.83    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5E84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368235 | PA      | $353249.85    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175787 | PA      | $165902.31    | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6729183 | PA      | $6178375.66   | 0.10%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58123 | PA      | $58760.19     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6306205 | PA      | $6351483.19   | 0.10%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1817515 | PA      | $1826605.16   | 0.03%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290234 | PA      | $270251.62    | 0.00%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2295849 | PA      | $1936838.56   | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246906 | PA      | $250560.02    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9KG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173295 | PA      | $176114.70    | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6DC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728106 | PA      | $735496.27    | 0.01%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13834206 | PA      | $11727294.51  | 0.19%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRDF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1010831 | PA      | $1028903.61   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ERNX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254883 | PA      | $248096.71    | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0K43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3845138 | PA      | $4020313.36   | 0.06%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTE44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2906687 | PA      | $2951860.57   | 0.05%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1420689 | PA      | $1390846.31   | 0.02%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    876954 | PA      | $784611.22    | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289758 | PA      | $288010.14    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1742055 | PA      | $1511244.96   | 0.02%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154692 | PA      | $153064.36    | 0.00%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8B34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78040 | PA      | $75719.36     | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402C4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162312 | PA      | $168096.95    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408077 | PA      | $416415.12    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292829 | PA      | $264327.31    | 0.00%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133B7FQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676043 | PA      | $595327.41    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5724913 | PA      | $5785406.78   | 0.09%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1114895 | PA      | $1135583.36   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6295483 | PA      | $6460470.10   | 0.10%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139608 | PA      | $141344.88    | 0.00%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QST92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1896977 | PA      | $1975780.77   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC4S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1909697 | PA      | $1899414.84   | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99911 | PA      | $103472.04    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501459 | PA      | $518224.59    | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2602344 | PA      | $2648662.08   | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244379 | PA      | $237272.72    | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700303 | PA      | $682396.27    | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1229450 | PA      | $1159661.06   | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2946323 | PA      | $2816524.80   | 0.05%             | 2053-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417G4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242130 | PA      | $234540.96    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKNG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745325 | PA      | $753652.14    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     77397 | PA      | $78350.51     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31426LNC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2335447 | PA      | $2429287.73   | 0.04%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AAF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405091 | PA      | $416001.40    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91730 | PA      | $93297.56     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XG2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632112 | PA      | $623605.53    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X66C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328767 | PA      | $324465.48    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6285300 | PA      | $6449450.90   | 0.10%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LWKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53497 | PA      | $53208.69     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDHC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570303 | PA      | $528180.16    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592404 | PA      | $615044.81    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220233 | PA      | $221960.40    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    115722 | PA      | $107266.11    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1459291 | PA      | $1527701.40   | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3313431 | PA      | $3187983.60   | 0.05%             | 2054-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPYN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2079479 | PA      | $1964986.56   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1499233 | PA      | $1561048.04   | 0.02%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177977 | PA      | $164607.82    | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QL58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343644 | PA      | $332320.96    | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2403222 | PA      | $2249816.09   | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4443219 | PA      | $4465440.78   | 0.07%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256695 | PA      | $226858.75    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    923825 | PA      | $956248.11    | 0.02%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250243 | PA      | $252987.47    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    360343 | PA      | $350443.49    | 0.01%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ASSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193468 | PA      | $196309.44    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300206 | PA      | $287827.97    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31426LZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2359165 | PA      | $2410475.78   | 0.04%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   2575638 | PA      | $2463242.11   | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRVV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6377777 | PA      | $6565688.13   | 0.10%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165007 | PA      | $167563.60    | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427P4F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6822814 | PA      | $5915368.08   | 0.09%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271754 | PA      | $247995.62    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312936NA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     49828 | PA      | $50639.24     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294914 | PA      | $289612.75    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3230542 | PA      | $2727625.39   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7344910 | PA      | $6376510.44   | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1862207 | PA      | $1673097.19   | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPV88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797940 | PA      | $672822.05    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MDMH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40415 | PA      | $39757.48     | 0.00%             | 2028-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1539511 | PA      | $1432370.84   | 0.02%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2746195 | PA      | $2860297.49   | 0.05%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2159854 | PA      | $1800050.52   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AD2M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334026 | PA      | $335843.50    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2604227 | PA      | $2669108.85   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1338379 | PA      | $1177741.95   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5RH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1896603 | PA      | $1971330.29   | 0.03%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1596025 | PA      | $1461018.80   | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2613982 | PA      | $2383308.25   | 0.04%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106340 | PA      | $101585.87    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    978047 | PA      | $860658.09    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204411 | PA      | $202621.80    | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528898 | PA      | $512784.78    | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    236561 | PA      | $228179.45    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815147 | PA      | $685161.20    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1001226 | PA      | $1021836.04   | 0.02%             | 2045-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8G99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59453 | PA      | $58153.65     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313843 | PA      | $287095.07    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    863962 | PA      | $795245.80    | 0.01%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384206 | PA      | $383173.20    | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3019385 | PA      | $2886368.19   | 0.05%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79130 | PA      | $82719.57     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9918524 | PA      | $8323344.98   | 0.13%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5489789 | PA      | $5635154.05   | 0.09%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265863 | PA      | $255986.47    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417WTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54602 | PA      | $55428.60     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    563314 | PA      | $520522.30    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94660 | PA      | $96049.75     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNQY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2011289 | PA      | $1820200.55   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FQT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124066 | PA      | $115466.31    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468509 | PA      | $476010.64    | 0.01%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2021004 | PA      | $1999161.87   | 0.03%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54135 | PA      | $52726.87     | 0.00%             | 2035-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0C59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    990459 | PA      | $1043748.57   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128ME5D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    175620 | PA      | $171078.98    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1817641 | PA      | $1896640.00   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1428761 | PA      | $1459925.09   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5649882 | PA      | $5281071.45   | 0.08%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M8B51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66714 | PA      | $62840.38     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1600775 | PA      | $1609555.38   | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    536250 | PA      | $503768.76    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98124 | PA      | $102090.90    | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRFD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405778 | PA      | $387771.51    | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5XT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394255 | PA      | $409492.18    | 0.01%             | 2055-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8G68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1175820 | PA      | $1082744.11   | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9ME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139395 | PA      | $137874.92    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206209 | PA      | $208334.94    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109484 | PA      | $107053.45    | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2483522 | PA      | $2458607.84   | 0.04%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TNT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89170 | PA      | $89733.32     | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTWF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797395 | PA      | $829641.43    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NTE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196348 | PA      | $194587.05    | 0.00%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417BPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139755 | PA      | $136403.26    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1059134 | PA      | $1102442.51   | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWRA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640702 | PA      | $624708.36    | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KNLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164886 | PA      | $139439.72    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2929012 | PA      | $2696704.88   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRHR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1648028 | PA      | $1666406.85   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103522 | PA      | $107003.49    | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1948296 | PA      | $2022756.78   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931041 | PA      | $893355.38    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6732337 | PA      | $6790281.97   | 0.11%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XM3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876810 | PA      | $910407.52    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1628043 | PA      | $1455593.63   | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140B7C43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2104061 | PA      | $2171612.06   | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8364327 | PA      | $8590746.58   | 0.14%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N53W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3986819 | PA      | $3941155.93   | 0.06%             | 2055-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2097276 | PA      | $1880363.88   | 0.03%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    779824 | PA      | $772998.37    | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151814 | PA      | $156928.94    | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    986812 | PA      | $996982.49    | 0.02%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLHY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3341187 | PA      | $3061843.36   | 0.05%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6300059 | PA      | $6255304.70   | 0.10%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QANJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580684 | PA      | $585970.12    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8DX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988649 | PA      | $956960.45    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459347 | PA      | $451090.05    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2AN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54116 | PA      | $54908.77     | 0.00%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6397243 | PA      | $5589275.24   | 0.09%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6502055 | PA      | $5748318.79   | 0.09%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDQW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157458 | PA      | $138873.82    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7XM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1104058 | PA      | $1035455.20   | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36230UEJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120744 | PA      | $119884.99    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417BDP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120417 | PA      | $119768.84    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66703 | PA      | $65341.29     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329KYU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132437 | PA      | $132064.81    | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPMH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    955750 | PA      | $986727.86    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ARL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116980 | PA      | $117259.21    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2562466 | PA      | $2615126.55   | 0.04%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679842 | PA      | $659130.28    | 0.01%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1304762 | PA      | $1210434.69   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65081 | PA      | $67869.09     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1286742 | PA      | $1233687.59   | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QP4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1923675 | PA      | $1975277.60   | 0.03%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10891639 | PA      | $11172181.26  | 0.18%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64055 | PA      | $65598.06     | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WFCE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728860 | PA      | $752245.65    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494256 | PA      | $452911.02    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1856785 | PA      | $1742660.56   | 0.03%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M5VT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     63247 | PA      | $67458.93     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5083780 | PA      | $4475836.70   | 0.07%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9909995 | PA      | $8400730.23   | 0.13%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133CDFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365644 | PA      | $372690.47    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ7D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1545097 | PA      | $1584331.83   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161235 | PA      | $152241.05    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1034017 | PA      | $993065.27    | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131761 | PA      | $133206.22    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4288869 | PA      | $4377008.07   | 0.07%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1673118 | PA      | $1543895.74   | 0.02%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8PS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185568 | PA      | $178731.55    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1860193 | PA      | $1896023.04   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    369968 | PA      | $361926.69    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330368 | PA      | $322114.52    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GR6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2629803 | PA      | $2777852.43   | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DT4G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    794032 | PA      | $826268.97    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113312 | PA      | $112311.99    | 0.00%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GQ6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221766 | PA      | $211851.20    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9AN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502061 | PA      | $481359.77    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WQAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    942220 | PA      | $884165.48    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241K5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128681 | PA      | $133248.60    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9KS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    802912 | PA      | $779526.46    | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1074488 | PA      | $1079880.89   | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331122 | PA      | $267939.28    | 0.00%             | 2051-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A4XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408388 | PA      | $416132.14    | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882277 | PA      | $814653.50    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    129716 | PA      | $128439.08    | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYV63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100492 | PA      | $954343.65    | 0.02%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YMM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5516330 | PA      | $5762789.63   | 0.09%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7258155 | PA      | $6330190.18   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KY5Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1346551 | PA      | $1374607.25   | 0.02%             | 2045-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    212968 | PA      | $208467.91    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJHE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778809 | PA      | $776744.25    | 0.01%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4814884 | PA      | $4477765.14   | 0.07%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6505017 | PA      | $6680288.63   | 0.11%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9423053 | PA      | $8551730.74   | 0.14%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140H1VX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341963 | PA      | $337763.24    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254485 | PA      | $250638.19    | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9VH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63266 | PA      | $63739.93     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14972790 | PA      | $12693397.92  | 0.20%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8H83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901878 | PA      | $873100.83    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53848 | PA      | $53376.32     | 0.00%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140U37G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2497223 | PA      | $2513820.37   | 0.04%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSUK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237753 | PA      | $244330.99    | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBLL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590851 | PA      | $545404.99    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0AY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642257 | PA      | $659599.66    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    530175 | PA      | $507039.63    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5AZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243055 | PA      | $233852.98    | 0.00%             | 2054-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8820610 | PA      | $7477254.95   | 0.12%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4301409 | PA      | $3799062.51   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54504 | PA      | $52285.80     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A5FX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     52262 | PA      | $52039.23     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610389 | PA      | $640089.74    | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534623 | PA      | $489058.76    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671764 | PA      | $568144.27    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1405052 | PA      | $1456775.66   | 0.02%             | 2053-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    998255 | PA      | $959734.23    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKG74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    634819 | PA      | $619909.14    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWMC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202232 | PA      | $199019.95    | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59378 | PA      | $59878.28     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3829612 | PA      | $3448900.19   | 0.06%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5514354 | PA      | $5059709.01   | 0.08%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896904 | PA      | $849397.32    | 0.01%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61015 | PA      | $56785.23     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1507151 | PA      | $1433391.44   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS7G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1318752 | PA      | $1353989.34   | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1925383 | PA      | $1758360.67   | 0.03%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145081 | PA      | $143138.85    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648609 | PA      | $667389.27    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1327571 | PA      | $1272832.65   | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1993668 | PA      | $2010080.24   | 0.03%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109615 | PA      | $102860.78    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103283 | PA      | $107635.41    | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NX78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69070 | PA      | $70009.51     | 0.00%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FMQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1822472 | PA      | $1843443.76   | 0.03%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNEN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1367535 | PA      | $1256952.53   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6017421 | PA      | $5313460.70   | 0.08%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0XN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570032 | PA      | $587120.34    | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     87623 | PA      | $86539.07     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6768981 | PA      | $6751293.04   | 0.11%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5679787 | PA      | $5780207.88   | 0.09%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    225860 | PA      | $222705.59    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSGC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764272 | PA      | $804886.61    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1177478 | PA      | $1155687.54   | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570278 | PA      | $586570.32    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A16C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217706 | PA      | $227767.27    | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRKR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1518880 | PA      | $1590184.48   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QB7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537302 | PA      | $516306.62    | 0.01%             | 2034-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    406557 | PA      | $398153.21    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    198259 | PA      | $191017.48    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103012 | PA      | $108494.80    | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31426RAD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5789804 | PA      | $5944732.70   | 0.10%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750618 | PA      | $734850.76    | 0.01%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1418737 | PA      | $1363990.65   | 0.02%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6C24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1110413 | PA      | $1107469.42   | 0.02%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133CHNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96170 | PA      | $97001.95     | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98268 | PA      | $97408.43     | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852036 | PA      | $816000.12    | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817247 | PA      | $769137.57    | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNZM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117369 | PA      | $125283.51    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5337400 | PA      | $5484609.04   | 0.09%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133GFBY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    674566 | PA      | $616573.07    | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248439 | PA      | $240782.87    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335AR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402772 | PA      | $390291.28    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FNM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2062820 | PA      | $2167955.23   | 0.03%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6009124 | PA      | $5242714.57   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    151078 | PA      | $149085.44    | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5HF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168144 | PA      | $160626.53    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2723099 | PA      | $2404501.22   | 0.04%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1266732 | PA      | $1167050.02   | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DR95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397570 | PA      | $366722.20    | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2517617 | PA      | $2621992.89   | 0.04%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQQC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111455 | PA      | $116788.77    | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79337 | PA      | $73837.30     | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    856380 | PA      | $903600.59    | 0.01%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61411 | PA      | $62907.90     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2428381 | PA      | $2138424.86   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6095889 | PA      | $6161291.56   | 0.10%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071435 | PA      | $940370.51    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1875340 | PA      | $1690209.25   | 0.03%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6SW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3397630 | PA      | $3509333.46   | 0.06%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPSQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1369128 | PA      | $1374269.27   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1878751 | PA      | $1950553.50   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417655 | PA      | $398553.39    | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512232 | PA      | $480403.37    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5TK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3704006 | PA      | $3563579.10   | 0.06%             | 2055-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2433047 | PA      | $2359709.49   | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2ZW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7578945 | PA      | $6933010.96   | 0.11%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419ADT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240433 | PA      | $239423.12    | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1099597 | PA      | $1027876.16   | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5CZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2594479 | PA      | $2380570.64   | 0.04%             | 2054-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351483 | PA      | $308846.00    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6T68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623594 | PA      | $598769.29    | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205855 | PA      | $197343.25    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158276 | PA      | $156204.44    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    623525 | PA      | $647567.28    | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    808279 | PA      | $727926.15    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ERQX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94254 | PA      | $93006.97     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3060595 | PA      | $3182165.60   | 0.05%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    405800 | PA      | $394947.67    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6810065 | PA      | $6013300.11   | 0.10%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5098211 | PA      | $4680509.48   | 0.07%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMHC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886139 | PA      | $783965.35    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    760405 | PA      | $780061.33    | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    109965 | PA      | $106437.01    | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188504 | PA      | $187699.34    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2063552 | PA      | $1821803.81   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134139 | PA      | $122370.26    | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRJ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831502 | PA      | $863944.36    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544484 | PA      | $521814.02    | 0.01%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2042746 | PA      | $1794043.11   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4H90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648189 | PA      | $632509.38    | 0.01%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1147395 | PA      | $1185984.55   | 0.02%             | 2039-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59549 | PA      | $62026.26     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2111778 | PA      | $2081094.49   | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q2A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52106 | PA      | $51364.89     | 0.00%             | 2030-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3349164 | PA      | $3104434.68   | 0.05%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KK5P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226594 | PA      | $191017.03    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2049213 | PA      | $2119170.71   | 0.03%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38614 | PA      | $38121.07     | 0.00%             | 2028-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12692929 | PA      | $12756726.23  | 0.20%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    462617 | PA      | $444932.14    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M5NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69890 | PA      | $73194.68     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1089215 | PA      | $1137208.43   | 0.02%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370402 | PA      | $325893.35    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7581076 | PA      | $6426233.91   | 0.10%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2298191 | PA      | $2183953.87   | 0.03%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312941NL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53834 | PA      | $54754.11     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2WK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1917609 | PA      | $1621818.01   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJX54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    363651 | PA      | $358686.90    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601536 | PA      | $633900.39    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290610 | PA      | $300866.67    | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QN6U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1475220 | PA      | $1340922.64   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XHTE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229506 | PA      | $224914.50    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2862060 | PA      | $2890094.69   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2759308 | PA      | $2838347.81   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3677865 | PA      | $3695411.26   | 0.06%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358604 | PA      | $343225.74    | 0.01%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NH92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375726 | PA      | $354601.70    | 0.01%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315389 | PA      | $311261.84    | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBYS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1890112 | PA      | $1752137.75   | 0.03%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2382578 | PA      | $2378495.80   | 0.04%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301114 | PA      | $302089.08    | 0.00%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3684411 | PA      | $2932663.29   | 0.05%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2212853 | PA      | $1919665.99   | 0.03%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1204350 | PA      | $1120535.47   | 0.02%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMLE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3776265 | PA      | $3443780.75   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NF60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346908 | PA      | $327403.65    | 0.01%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4510540 | PA      | $4584346.25   | 0.07%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL6L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1890069 | PA      | $1607149.66   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4PF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161578 | PA      | $159911.17    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371426 | PA      | $375645.70    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D54U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1135995 | PA      | $1091821.17   | 0.02%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427NHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1733994 | PA      | $1779594.88   | 0.03%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12657747 | PA      | $10562521.10  | 0.17%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517962 | PA      | $503313.73    | 0.01%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D53H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156178 | PA      | $152214.08    | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    446897 | PA      | $425965.34    | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y8AH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1995310 | PA      | $1987366.09   | 0.03%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552201 | PA      | $488502.44    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    878169 | PA      | $818225.46    | 0.01%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7105696 | PA      | $6519848.70   | 0.10%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156607 | PA      | $154469.00    | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMCC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150969 | PA      | $157405.02    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    914414 | PA      | $899134.99    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336985 | PA      | $326442.72    | 0.01%             | 2038-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6A83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3075495 | PA      | $2804010.29   | 0.04%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WEBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172310 | PA      | $166898.78    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122670 | PA      | $121019.03    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238108 | PA      | $218943.19    | 0.00%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SKZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119179 | PA      | $115871.52    | 0.00%             | 2031-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KRMX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112450 | PA      | $115881.37    | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAEN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46606 | PA      | $47327.63     | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LTJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104616 | PA      | $102159.29    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620AAT81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52680 | PA      | $54557.99     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67226 | PA      | $65242.78     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3883163 | PA      | $3291767.53   | 0.05%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99458 | PA      | $106079.49    | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLR24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1934046 | PA      | $1789096.97   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHCK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118409 | PA      | $1024092.18   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XYRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    151845 | PA      | $150183.73    | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8Z72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189343 | PA      | $195880.24    | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    407778 | PA      | $379942.81    | 0.01%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACS27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1394692 | PA      | $1341140.05   | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YWKG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    140239 | PA      | $138375.33    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259048 | PA      | $241019.84    | 0.00%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1LE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9062634 | PA      | $8491564.01   | 0.14%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6DZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5689472 | PA      | $5930653.48   | 0.09%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    379129 | PA      | $371339.83    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63641 | PA      | $62994.52     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785990 | PA      | $753975.72    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423584 | PA      | $434602.59    | 0.01%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585640 | PA      | $598736.69    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140B56D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1689851 | PA      | $1753196.04   | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3771999 | PA      | $3195142.79   | 0.05%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MAV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3541135 | PA      | $3600945.31   | 0.06%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13111149 | PA      | $10947418.66  | 0.17%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFNQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4604784 | PA      | $4081801.57   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AMZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423826 | PA      | $414828.88    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5991683 | PA      | $6183439.06   | 0.10%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104532 | PA      | $101575.89    | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96550 | PA      | $97657.21     | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KHSV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138944 | PA      | $127845.01    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2462840 | PA      | $2514630.38   | 0.04%             | 2053-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WBZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3029609 | PA      | $2785133.67   | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419AGU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80747 | PA      | $83409.88     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XBXV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117367 | PA      | $116658.76    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653648 | PA      | $678073.44    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    891969 | PA      | $937623.57    | 0.01%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31426CNY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2421240 | PA      | $2466728.22   | 0.04%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NX60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206154 | PA      | $204305.43    | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5MM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522313 | PA      | $502511.08    | 0.01%             | 2055-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MGHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3149317 | PA      | $2624682.28   | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUTB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1491298 | PA      | $1559894.77   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1517799 | PA      | $1459230.30   | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTWP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1915450 | PA      | $1985238.19   | 0.03%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMH58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177021 | PA      | $188147.11    | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15667291 | PA      | $13283707.38  | 0.21%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822602 | PA      | $756935.28    | 0.01%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAAE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218215 | PA      | $221670.55    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417D2J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524355 | PA      | $493910.03    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2237358 | PA      | $2130838.48   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XWEZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513122 | PA      | $490730.71    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4285320 | PA      | $4404199.34   | 0.07%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230103 | PA      | $208268.98    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3667183 | PA      | $3236630.62   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1YU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3106794 | PA      | $2718265.56   | 0.04%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XA5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134481 | PA      | $134915.86    | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    450846 | PA      | $440439.31    | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJX98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    931109 | PA      | $790748.38    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BXB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168591 | PA      | $166248.36    | 0.00%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3458610 | PA      | $3191026.35   | 0.05%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58065 | PA      | $57187.75     | 0.00%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0DS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7199969 | PA      | $6851692.13   | 0.11%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    825223 | PA      | $697671.65    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NBPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753293 | PA      | $774739.61    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219282 | PA      | $225226.23    | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBB23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164712 | PA      | $157559.43    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJGC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709296 | PA      | $707240.52    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133308 | PA      | $129160.94    | 0.00%             | 2044-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN5J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749365 | PA      | $661547.63    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9YB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1057608 | PA      | $935096.17    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XXG62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100088 | PA      | $99094.65     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    760899 | PA      | $705298.88    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KR5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78464 | PA      | $81648.71     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SEK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99618 | PA      | $100972.74    | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580019 | PA      | $511147.82    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2MM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3179493 | PA      | $3335040.34   | 0.05%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QAVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498363 | PA      | $476377.51    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4298460 | PA      | $3972313.07   | 0.06%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ERN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1151415 | PA      | $1169850.28   | 0.02%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178GJ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61534 | PA      | $60773.69     | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7JP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418957 | PA      | $407716.12    | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31412RMM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141918 | PA      | $141312.63    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427NUE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2131466 | PA      | $2194143.32   | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1181492 | PA      | $1201404.73   | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LUSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    101153 | PA      | $98777.07     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92755 | PA      | $89366.63     | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066441 | PA      | $941078.03    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6GC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427631 | PA      | $442639.82    | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BPG51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1082412 | PA      | $1097816.98   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MAX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370195 | PA      | $358917.12    | 0.01%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    180202 | PA      | $169738.80    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138289 | PA      | $132669.32    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHWX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2134705 | PA      | $1967143.56   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65388 | PA      | $63570.41     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310750 | PA      | $296537.85    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2427925 | PA      | $2401308.10   | 0.04%             | 2055-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1212232 | PA      | $1104748.62   | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    737592 | PA      | $675890.87    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688463 | PA      | $667284.35    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77171 | PA      | $76489.96     | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294625 | PA      | $270780.71    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3477890 | PA      | $3572908.14   | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LVLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108401 | PA      | $106032.50    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174712 | PA      | $170464.06    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MR37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3255874 | PA      | $2747849.12   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    888053 | PA      | $825874.82    | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SA67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    322521 | PA      | $304126.68    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247020 | PA      | $242624.24    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    250856 | PA      | $247752.87    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511134 | PA      | $488829.44    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FG84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476322 | PA      | $481783.23    | 0.01%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51618 | PA      | $47740.84     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0NM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    679546 | PA      | $708546.56    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A3C24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202954 | PA      | $209550.69    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1512772 | PA      | $1597731.45   | 0.03%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCST6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761671 | PA      | $606263.93    | 0.01%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRLE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296758 | PA      | $279527.66    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8320178 | PA      | $7053037.35   | 0.11%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1006073 | PA      | $962169.61    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133314 | PA      | $113029.87    | 0.00%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QP2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52284 | PA      | $50967.57     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EXT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108436 | PA      | $109344.19    | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60739 | PA      | $62424.68     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5NT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285987 | PA      | $280846.62    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QD5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1938282 | PA      | $1819130.78   | 0.03%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KHS36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481039 | PA      | $417745.96    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5RB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2363505 | PA      | $2217929.14   | 0.04%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7674805 | PA      | $6112416.25   | 0.10%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1263504 | PA      | $1279109.14   | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64708 | PA      | $62074.74     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8P68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199353 | PA      | $194376.43    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6410975 | PA      | $5607242.82   | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882903 | PA      | $899192.46    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9916235 | PA      | $10090326.85  | 0.16%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MF4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175069 | PA      | $170548.28    | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XM2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588765 | PA      | $550654.80    | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1458710 | PA      | $1466031.42   | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226168 | PA      | $180013.07    | 0.00%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6HX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1416785 | PA      | $1407281.21   | 0.02%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1M75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6630203 | PA      | $5583633.96   | 0.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WRS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288310 | PA      | $281106.62    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528914 | PA      | $520686.47    | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2227884 | PA      | $2241306.54   | 0.04%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4V94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100011 | PA      | $100395.27    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1167967 | PA      | $988532.56    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90647 | PA      | $94647.81     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1667722 | PA      | $1469322.00   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CHG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370396 | PA      | $363738.43    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617170 | PA      | $643246.27    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6TX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3991632 | PA      | $4111319.97   | 0.07%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124590 | PA      | $122000.88    | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57085 | PA      | $58715.57     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588619 | PA      | $611316.06    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11694022 | PA      | $9741898.90   | 0.16%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    623776 | PA      | $618026.93    | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q7HV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54653 | PA      | $55063.29     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ZJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3580868 | PA      | $3539854.62   | 0.06%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWK85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2639087 | PA      | $2653562.33   | 0.04%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEJ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    695149 | PA      | $697403.93    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427NKD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3137716 | PA      | $3253524.15   | 0.05%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521608 | PA      | $529809.66    | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335AGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59018 | PA      | $57729.12     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2118178 | PA      | $1862808.04   | 0.03%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225919 | PA      | $183078.02    | 0.00%             | 2051-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E03P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1641210 | PA      | $1749251.37   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JAD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061586 | PA      | $1017815.46   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    865192 | PA      | $857956.93    | 0.01%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337166 | PA      | $323264.40    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427PWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5703773 | PA      | $5863560.17   | 0.09%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4619925 | PA      | $4624273.02   | 0.07%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167779 | PA      | $174757.98    | 0.00%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2700492 | PA      | $2511414.37   | 0.04%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33884 | PA      | $35095.03     | 0.00%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4380333 | PA      | $3860619.04   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417FL22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124815 | PA      | $123131.86    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192333 | PA      | $196748.49    | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1533537 | PA      | $1407100.91   | 0.02%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QK3R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    840833 | PA      | $671981.02    | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KY4H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332762 | PA      | $336577.61    | 0.01%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108910 | PA      | $107572.33    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2689859 | PA      | $2743766.27   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5A66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52751 | PA      | $54935.12     | 0.00%             | 2054-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y7D96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4278747 | PA      | $4499898.60   | 0.07%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10457588 | PA      | $10631813.15  | 0.17%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2302654 | PA      | $2425019.72   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6853442 | PA      | $5455102.89   | 0.09%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W06W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2575809 | PA      | $2663358.18   | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1EF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4656870 | PA      | $4421192.88   | 0.07%             | 2053-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    658881 | PA      | $613906.25    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSZ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934770 | PA      | $961409.29    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2182373 | PA      | $2200338.61   | 0.04%             | 2054-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85732 | PA      | $78791.48     | 0.00%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    346472 | PA      | $330626.34    | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719605 | PA      | $731079.21    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2285250 | PA      | $1983715.24   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341878 | PA      | $344823.27    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129413E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54715 | PA      | $55649.73     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870454 | PA      | $766271.83    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EBPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161595 | PA      | $152212.90    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1268406 | PA      | $1312012.00   | 0.02%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10442352 | PA      | $9220616.12   | 0.15%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2975850 | PA      | $2582876.60   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0EQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2227426 | PA      | $2345794.01   | 0.04%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102733 | PA      | $98671.49     | 0.00%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224320 | PA      | $225301.60    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WET66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    315065 | PA      | $293225.32    | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1310853 | PA      | $1271150.21   | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP4C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1152475 | PA      | $1177275.67   | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YHU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188289 | PA      | $175237.16    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1628960 | PA      | $1678897.44   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQUE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434796 | PA      | $421910.55    | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122932 | PA      | $120504.97    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112248 | PA      | $94780.57     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990068 | PA      | $972450.89    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377284 | PA      | $387689.63    | 0.01%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     60418 | PA      | $59539.35     | 0.00%             | 2036-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1688163 | PA      | $1751812.63   | 0.03%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1147042 | PA      | $1086902.81   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GSFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2228084 | PA      | $2293730.71   | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46402 | PA      | $47962.62     | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8642310 | PA      | $7631175.14   | 0.12%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1417552 | PA      | $1355692.53   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6470496 | PA      | $6614572.91   | 0.11%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EJEW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154172 | PA      | $154370.59    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635464 | PA      | $668738.74    | 0.01%             | 2053-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QS3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1083120 | PA      | $1104510.92   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127179 | PA      | $130851.31    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6060790 | PA      | $5955790.32   | 0.10%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5367637 | PA      | $4930771.20   | 0.08%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2175606 | PA      | $2058249.09   | 0.03%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8408725 | PA      | $8546317.48   | 0.14%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4JH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288133 | PA      | $281661.65    | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KHFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519972 | PA      | $477889.06    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7YS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471094 | PA      | $456062.43    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9C29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1140025 | PA      | $1119738.98   | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1525986 | PA      | $1484582.15   | 0.02%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5VM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2079232 | PA      | $1951166.28   | 0.03%             | 2055-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4126868 | PA      | $4076193.66   | 0.07%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3903208 | PA      | $3279075.21   | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4721884 | PA      | $4183694.53   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E0RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299489 | PA      | $291515.26    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608867 | PA      | $585783.12    | 0.01%             | 2055-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151977 | PA      | $145791.85    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457971 | PA      | $1446607.20   | 0.02%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FKP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45120 | PA      | $46640.22     | 0.00%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1569338 | PA      | $1538800.67   | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4222753 | PA      | $4265716.80   | 0.07%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    215091 | PA      | $203958.93    | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768700 | PA      | $808309.00    | 0.01%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPF37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1678361 | PA      | $1728762.74   | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQJ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125631 | PA      | $128344.42    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1663373 | PA      | $1602790.71   | 0.03%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1070893 | PA      | $1119311.25   | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2149623 | PA      | $2043104.16   | 0.03%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4091902 | PA      | $4105147.65   | 0.07%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417DZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71745 | PA      | $65744.89     | 0.00%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPY36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90795 | PA      | $89074.86     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88132 | PA      | $87755.62     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM3V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3279366 | PA      | $3005041.34   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5294958 | PA      | $5423209.42   | 0.09%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MLVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34230 | PA      | $33795.00     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188505 | PA      | $188001.44    | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427M4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3230124 | PA      | $3350762.01   | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5678873 | PA      | $5212717.74   | 0.08%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1640770 | PA      | $1657472.07   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ALT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75466 | PA      | $73882.05     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4040078 | PA      | $4106186.05   | 0.07%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8BC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822635 | PA      | $752523.63    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3051460 | PA      | $3019454.46   | 0.05%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98193 | PA      | $92593.09     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82472 | PA      | $83376.50     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419AG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193317 | PA      | $196399.73    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2027854 | PA      | $1790621.31   | 0.03%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7576852 | PA      | $7653941.84   | 0.12%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443488 | PA      | $429821.20    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJNJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56781 | PA      | $57750.63     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119668 | PA      | $111336.62    | 0.00%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GUPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2534660 | PA      | $2604335.68   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EUJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150362 | PA      | $158141.49    | 0.00%             | 2053-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    107132 | PA      | $110664.51    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7443585 | PA      | $5927110.45   | 0.09%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617KJKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108656 | PA      | $103859.97    | 0.00%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLEG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104041 | PA      | $106256.24    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9NY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727669 | PA      | $677229.50    | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ6V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1710454 | PA      | $1788378.45   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1646966 | PA      | $1569827.09   | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90699 | PA      | $79764.55     | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417WKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52620 | PA      | $54379.72     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQGP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4142235 | PA      | $3839555.08   | 0.06%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6187272 | PA      | $6237851.50   | 0.10%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2594016 | PA      | $2637829.30   | 0.04%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69023 | PA      | $73536.82     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUK30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1655615 | PA      | $1759875.45   | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XJ4Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1548883 | PA      | $1514474.56   | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360809 | PA      | $303592.82    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127206 | PA      | $128008.93    | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75526 | PA      | $78668.15     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2545338 | PA      | $2545097.73   | 0.04%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140346 | PA      | $135267.37    | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489930 | PA      | $509051.55    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010737 | PA      | $893452.00    | 0.01%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176041 | PA      | $183688.09    | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCAY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2773889 | PA      | $2643109.42   | 0.04%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D57M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562546 | PA      | $501328.46    | 0.01%             | 2036-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    694237 | PA      | $674603.25    | 0.01%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2429207 | PA      | $2412798.71   | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660771 | PA      | $665603.30    | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804837 | PA      | $823607.41    | 0.01%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507697 | PA      | $521003.66    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36230UDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98351 | PA      | $95496.62     | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NLUF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208604 | PA      | $210602.13    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215350 | PA      | $212371.62    | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106631 | PA      | $112396.50    | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178990 | PA      | $174947.15    | 0.00%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KXQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317783 | PA      | $280936.38    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16617098 | PA      | $13898011.09  | 0.22%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799158 | PA      | $793957.69    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50615 | PA      | $50022.85     | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1776225 | PA      | $1764103.16   | 0.03%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354065 | PA      | $312782.38    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSZR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1972528 | PA      | $2006903.24   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4720005 | PA      | $4821030.93   | 0.08%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373071 | PA      | $366569.84    | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9YF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1525968 | PA      | $1346586.63   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQD38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1517366 | PA      | $1581005.67   | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XWZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369385 | PA      | $365719.79    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500955 | PA      | $443546.56    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5XL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1686397 | PA      | $1582526.59   | 0.03%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EJ3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70133 | PA      | $69289.81     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GKZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1565181 | PA      | $1568880.44   | 0.03%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13568789 | PA      | $13813747.44  | 0.22%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85168 | PA      | $82991.25     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458292 | PA      | $434123.67    | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GDCR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50867 | PA      | $50986.90     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQSX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1028405 | PA      | $1097477.78   | 0.02%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625085 | PA      | $587231.18    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65369 | PA      | $62476.39     | 0.00%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJU81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    105214 | PA      | $104261.14    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M8J87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202329 | PA      | $190581.43    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQEW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445544 | PA      | $455552.97    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292JBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194928 | PA      | $203037.02    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438114 | PA      | $408208.29    | 0.01%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M76A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212061 | PA      | $215683.68    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRKH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3437853 | PA      | $3504726.52   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417VQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192868 | PA      | $195789.81    | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6DW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608546 | PA      | $618289.91    | 0.01%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1282810 | PA      | $1326696.98   | 0.02%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGT66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4128040 | PA      | $3923501.15   | 0.06%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4579935 | PA      | $3812537.54   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTBE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1363971 | PA      | $1386959.44   | 0.02%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FP83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57647 | PA      | $59589.56     | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16439612 | PA      | $13091023.67  | 0.21%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95287 | PA      | $90592.87     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705535 | PA      | $651048.93    | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246843 | PA      | $1188444.32   | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDJE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56371 | PA      | $54312.41     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8ZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106664 | PA      | $98870.19     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2205947 | PA      | $2029538.51   | 0.03%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4868287 | PA      | $4256448.04   | 0.07%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2049347 | PA      | $1727291.23   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158486 | PA      | $153900.75    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766007 | PA      | $710827.35    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPTZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69329 | PA      | $68520.25     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882736 | PA      | $891640.31    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2999916 | PA      | $3050610.66   | 0.05%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2526686 | PA      | $2216575.41   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3952934 | PA      | $3987450.95   | 0.06%             | 2053-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543571 | PA      | $538776.13    | 0.01%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y73L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496760 | PA      | $509734.19    | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148281 | PA      | $147387.96    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5345784 | PA      | $4776195.16   | 0.08%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2659141 | PA      | $2714062.51   | 0.04%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1231845 | PA      | $1184754.89   | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTM80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1251909 | PA      | $1249971.93   | 0.02%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAFS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79052 | PA      | $80334.34     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98008 | PA      | $101749.05    | 0.00%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    196207 | PA      | $193384.13    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6FA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211737 | PA      | $217430.04    | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171432 | PA      | $164455.52    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197656 | PA      | $1014394.90   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3674962 | PA      | $3745219.17   | 0.06%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NATX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251666 | PA      | $262856.98    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58520 | PA      | $53653.22     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555638 | PA      | $566827.10    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1819722 | PA      | $1535149.34   | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDT27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324647 | PA      | $321359.35    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FH26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2241579 | PA      | $2326095.28   | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40399 | PA      | $39626.17     | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6G46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    941671 | PA      | $966080.70    | 0.02%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450266 | PA      | $1412476.95   | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X74Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2823558 | PA      | $2617235.77   | 0.04%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    220005 | PA      | $204156.56    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9005579 | PA      | $9253959.29   | 0.15%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2455910 | PA      | $2390380.24   | 0.04%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137482 | PA      | $135160.34    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108797 | PA      | $102207.73    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262741 | PA      | $256181.96    | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641399 | PA      | $591264.76    | 0.01%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMMZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629202 | PA      | $654739.49    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4851993 | PA      | $4983943.50   | 0.08%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57102 | PA      | $53786.18     | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313658 | PA      | $299635.61    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57654 | PA      | $58438.45     | 0.00%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1354604 | PA      | $1257889.49   | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1457490 | PA      | $1393191.87   | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140E2FY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232369 | PA      | $229266.14    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KY4L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1302863 | PA      | $1303373.58   | 0.02%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLYR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1658441 | PA      | $1390676.99   | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4897739 | PA      | $4288252.62   | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9T20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292562 | PA      | $254344.01    | 0.00%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XB4Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1288870 | PA      | $1178959.61   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10269504 | PA      | $9317215.46   | 0.15%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371LCE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112265 | PA      | $116266.55    | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55976 | PA      | $53396.54     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861354 | PA      | $859108.71    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4568975 | PA      | $4269314.22   | 0.07%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTAF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388446 | PA      | $410061.53    | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132QWMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132798 | PA      | $127538.49    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427P4U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2382970 | PA      | $1896668.75   | 0.03%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    452336 | PA      | $443965.09    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382014 | PA      | $378644.57    | 0.01%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0KS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2356682 | PA      | $2347311.60   | 0.04%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KSDC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797979 | PA      | $836787.44    | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385240 | PA      | $373004.41    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636533 | PA      | $617141.14    | 0.01%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1991034 | PA      | $1686629.36   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642375 | PA      | $651891.77    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VSK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1009351 | PA      | $988148.94    | 0.02%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QW40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4926786 | PA      | $4468206.74   | 0.07%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ES35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791848 | PA      | $785214.91    | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2956811 | PA      | $3071917.43   | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471890 | PA      | $438121.95    | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442230 | PA      | $416846.63    | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1646035 | PA      | $1503887.97   | 0.02%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7NS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790197 | PA      | $775993.16    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1269743 | PA      | $1283078.57   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6493531 | PA      | $5963018.15   | 0.10%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1855983 | PA      | $1623877.69   | 0.03%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUZ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1933709 | PA      | $1946313.31   | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DT4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3299274 | PA      | $3432248.38   | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1789481 | PA      | $1836377.93   | 0.03%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5DK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386365 | PA      | $359583.82    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236494 | PA      | $237131.47    | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDV65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    121875 | PA      | $117423.50    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13965334 | PA      | $11685155.32  | 0.19%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016351 | PA      | $970912.24    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188600 | PA      | $173967.15    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5929326 | PA      | $5968420.13   | 0.10%             | 2054-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8DJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542011 | PA      | $524006.40    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63552 | PA      | $66349.11     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3351606 | PA      | $3523368.20   | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1652985 | PA      | $1433975.91   | 0.02%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8L96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946717 | PA      | $933699.23    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRH55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827916 | PA      | $857516.40    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    150974 | PA      | $160847.09    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5EU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80306 | PA      | $76995.31     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQLB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1177151 | PA      | $1215127.35   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9AL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190746 | PA      | $158148.42    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    664668 | PA      | $635259.99    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64673 | PA      | $65994.79     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XASU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541342 | PA      | $549973.53    | 0.01%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1775209 | PA      | $1697595.86   | 0.03%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5PK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5423437 | PA      | $5537910.67   | 0.09%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76112 | PA      | $74647.31     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6130883 | PA      | $5142722.00   | 0.08%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2259016 | PA      | $2215059.38   | 0.04%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M3SP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66260 | PA      | $64145.93     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2355608 | PA      | $2402817.04   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    979251 | PA      | $1018851.93   | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    135193 | PA      | $133968.54    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5409574 | PA      | $5058118.80   | 0.08%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1659114 | PA      | $1608829.16   | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8GX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78888 | PA      | $83785.36     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327512 | PA      | $289316.78    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293101 | PA      | $281512.91    | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2712031 | PA      | $2159722.23   | 0.03%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2492904 | PA      | $2325559.48   | 0.04%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKYK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3955957 | PA      | $3337038.74   | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3823597 | PA      | $3608971.52   | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ENQ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218972 | PA      | $218011.96    | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1734623 | PA      | $1460951.28   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5RF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5475482 | PA      | $5548656.95   | 0.09%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E6VF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92688 | PA      | $92807.14     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L4GT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275200 | PA      | $232240.46    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67637 | PA      | $66717.55     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140E9KR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83616 | PA      | $82445.27     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XM6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2086410 | PA      | $1772792.89   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMWR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224470 | PA      | $220280.58    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CKS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     50585 | PA      | $50583.35     | 0.00%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147074 | PA      | $145776.36    | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7740551 | PA      | $7859514.18   | 0.13%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4471910 | PA      | $3748098.22   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2704050 | PA      | $2514723.01   | 0.04%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1181226 | PA      | $1185049.63   | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ETS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703296 | PA      | $714943.71    | 0.01%             | 2043-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCBC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1107751 | PA      | $1025239.07   | 0.02%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6511730 | PA      | $6563659.26   | 0.10%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M8J61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71161 | PA      | $67029.21     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104885 | PA      | $103453.32    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRKQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305585 | PA      | $295829.77    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93616 | PA      | $96214.34     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     72144 | PA      | $67774.24     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XK2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149047 | PA      | $1170201.75   | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EH3V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217922 | PA      | $221190.40    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50496 | PA      | $48916.29     | 0.00%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116166 | PA      | $114739.82    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344120 | PA      | $357472.86    | 0.01%             | 2054-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257660 | PA      | $259588.21    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    165768 | PA      | $159830.41    | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1346259 | PA      | $1361566.52   | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2612900 | PA      | $2585728.32   | 0.04%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    836729 | PA      | $822747.87    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102039 | PA      | $100665.97    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MTHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178780 | PA      | $171232.41    | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1572960 | PA      | $1326441.43   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QF4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517446 | PA      | $449242.81    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904260 | PA      | $909219.58    | 0.01%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWME0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230230 | PA      | $242944.99    | 0.00%             | 2054-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7276500 | PA      | $6918574.71   | 0.11%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166006 | PA      | $1210568.54   | 0.02%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271337 | PA      | $277951.02    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KHW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146587 | PA      | $139898.54    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DLL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180709 | PA      | $173234.11    | 0.00%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTTL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2695418 | PA      | $2769338.71   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292HX41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59386 | PA      | $61572.06     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    885791 | PA      | $881518.28    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AA4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    653415 | PA      | $609507.56    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2902704 | PA      | $2710536.01   | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    698414 | PA      | $612911.26    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5CK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1396515 | PA      | $1284960.35   | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2411367 | PA      | $2495174.72   | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304335 | PA      | $256426.24    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1455321 | PA      | $1486626.45   | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    968498 | PA      | $959920.69    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4078487 | PA      | $3854248.94   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GSPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1782992 | PA      | $1880246.07   | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9N34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1714737 | PA      | $1593360.20   | 0.03%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669835 | PA      | $659348.92    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241KYZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113548 | PA      | $117412.64    | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8HD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155190 | PA      | $152055.97    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1754526 | PA      | $1566486.41   | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPM62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1130852 | PA      | $1164031.78   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92049 | PA      | $90289.40     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2328561 | PA      | $2379823.87   | 0.04%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    736940 | PA      | $727823.02    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYW47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824563 | PA      | $801176.48    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140EUDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2042419 | PA      | $1980855.99   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1327619 | PA      | $1334282.26   | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1626430 | PA      | $1482611.19   | 0.02%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125432 | PA      | $122915.23    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2625493 | PA      | $2397737.20   | 0.04%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2288687 | PA      | $2189876.76   | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3545329 | PA      | $3478435.91   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D54K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663972 | PA      | $636562.17    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2178528 | PA      | $2218578.67   | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VTY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632827 | PA      | $604827.81    | 0.01%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1445975 | PA      | $1490300.62   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167026 | PA      | $144917.36    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419545 | PA      | $354976.90    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142783 | PA      | $140680.11    | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1618034 | PA      | $1287710.23   | 0.02%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8UB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246988 | PA      | $228940.51    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5MP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3314779 | PA      | $3328627.70   | 0.05%             | 2055-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2019396 | PA      | $1784754.08   | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371469 | PA      | $388557.95    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454979 | PA      | $368758.30    | 0.01%             | 2051-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1326218 | PA      | $1289784.46   | 0.02%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715796 | PA      | $1532127.98   | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2493853 | PA      | $2275803.55   | 0.04%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146998 | PA      | $149325.21    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEJ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1356231 | PA      | $1290627.08   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TPU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78625 | PA      | $76907.85     | 0.00%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QCF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    675033 | PA      | $714785.38    | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329PZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78980 | PA      | $79613.43     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    103130 | PA      | $97262.27     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280859 | PA      | $1288710.08   | 0.02%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133CELZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1469090 | PA      | $1510111.74   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSQW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3389009 | PA      | $2993957.41   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2476050 | PA      | $2413123.04   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45615 | PA      | $44693.94     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119172 | PA      | $123648.80    | 0.00%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMW41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    419133 | PA      | $411047.39    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48110 | PA      | $48838.33     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QJM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4911128 | PA      | $4877154.44   | 0.08%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2PU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75828 | PA      | $74521.01     | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5TM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1974592 | PA      | $1982841.83   | 0.03%             | 2055-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3930259 | PA      | $3962387.55   | 0.06%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398072 | PA      | $370368.70    | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2295715 | PA      | $2100057.35   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2107891 | PA      | $2137192.05   | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4847002 | PA      | $4713847.15   | 0.08%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3179789 | PA      | $3194958.48   | 0.05%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1125240 | PA      | $1181982.74   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6BS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15563188 | PA      | $15641024.96  | 0.25%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531364 | PA      | $555229.75    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BGC71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433953 | PA      | $438374.70    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P74B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124559 | PA      | $121790.99    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2115967 | PA      | $2034315.19   | 0.03%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BD3H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581227 | PA      | $579479.98    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNBC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106621 | PA      | $104012.07    | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746448 | PA      | $648937.14    | 0.01%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102051 | PA      | $100669.01    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6VH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709744 | PA      | $748241.93    | 0.01%             | 2055-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCTX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1103719 | PA      | $1035714.79   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMJC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4741482 | PA      | $3961670.84   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417CDJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663062 | PA      | $648574.39    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1968966 | PA      | $1885054.22   | 0.03%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    427218 | PA      | $410062.03    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95138 | PA      | $95850.45     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61114 | PA      | $59100.69     | 0.00%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497499 | PA      | $489760.71    | 0.01%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPUP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641319 | PA      | $650882.61    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167996 | PA      | $159403.63    | 0.00%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    522447 | PA      | $508502.98    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410KP65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44195 | PA      | $45981.70     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2909002 | PA      | $2885813.57   | 0.05%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622AAQH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99522 | PA      | $97806.84     | 0.00%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093876 | PA      | $1112872.28   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456675 | PA      | $438588.63    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75704 | PA      | $76733.36     | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2081914 | PA      | $2127429.82   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68410 | PA      | $66543.81     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2012746 | PA      | $1992242.66   | 0.03%             | 2054-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMRU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159146 | PA      | $146819.77    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6B93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5221982 | PA      | $5248099.27   | 0.08%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FE78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1617336 | PA      | $1625548.72   | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BM78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778008 | PA      | $722186.84    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5JN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105172 | PA      | $103300.77    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ADV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86545 | PA      | $81519.93     | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2671920 | PA      | $2347301.70   | 0.04%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81635 | PA      | $82444.53     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334021 | PA      | $349813.48    | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3024864 | PA      | $3143216.31   | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1953223 | PA      | $1924435.64   | 0.03%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFSN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1790476 | PA      | $1620584.63   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5510455 | PA      | $5538014.92   | 0.09%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5336231 | PA      | $4686262.41   | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2712373 | PA      | $2743737.84   | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    124634 | PA      | $126463.54    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3275843 | PA      | $3014921.59   | 0.05%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266225 | PA      | $259992.22    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74854 | PA      | $67723.78     | 0.00%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625311 | PA      | $579618.74    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XB7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323332 | PA      | $302503.01    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QML69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4878844 | PA      | $4076441.12   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS6X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    863680 | PA      | $888685.34    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8TX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329866 | PA      | $316442.33    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12609676 | PA      | $12669159.14  | 0.20%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X42R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85403 | PA      | $82798.25     | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2876052 | PA      | $2751883.37   | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285444 | PA      | $241736.01    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JAAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53907 | PA      | $54520.16     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111238 | PA      | $107617.48    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    711563 | PA      | $651372.68    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    712878 | PA      | $626932.94    | 0.01%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EEPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54357 | PA      | $52622.19     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394628 | PA      | $375615.78    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JXRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112913 | PA      | $103289.96    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3844302 | PA      | $3589797.74   | 0.06%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283766 | PA      | $271079.89    | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152867 | PA      | $141855.54    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N56G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4691914 | PA      | $4638175.05   | 0.07%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1990076 | PA      | $2049006.09   | 0.03%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L0EX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5012049 | PA      | $4155358.30   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4065643 | PA      | $4185430.72   | 0.07%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010625 | PA      | $1052570.04   | 0.02%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427QAQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12395602 | PA      | $12617509.82  | 0.20%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FR41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2165888 | PA      | $2042324.23   | 0.03%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620ASPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59117 | PA      | $58652.84     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAX31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2198881 | PA      | $1867409.87   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187525 | PA      | $193832.01    | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQ3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3329562 | PA      | $3072413.89   | 0.05%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YR6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114165 | PA      | $111828.44    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1062946 | PA      | $1082338.01   | 0.02%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362436 | PA      | $371830.61    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6DZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508704 | PA      | $523666.39    | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1344460 | PA      | $1382726.37   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KR5X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560615 | PA      | $590964.82    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479015 | PA      | $471010.91    | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524764 | PA      | $510803.70    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1032154 | PA      | $993076.79    | 0.02%             | 2055-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYNJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550151 | PA      | $525555.37    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402CVN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166571 | PA      | $172507.49    | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8430666 | PA      | $7425101.54   | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1638254 | PA      | $1453334.09   | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63708 | PA      | $62529.09     | 0.00%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10199631 | PA      | $9006293.16   | 0.14%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ESX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700733 | PA      | $660047.74    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169911 | PA      | $169068.61    | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89893 | PA      | $96716.55     | 0.00%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308911 | PA      | $316717.09    | 0.01%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3666526 | PA      | $3349311.39   | 0.05%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AFB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76926 | PA      | $78055.83     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNRX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    874904 | PA      | $696461.22    | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326407 | PA      | $347975.48    | 0.01%             | 2053-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132WJUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    160288 | PA      | $148741.92    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55449 | PA      | $54004.02     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1192007 | PA      | $1244414.11   | 0.02%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    395436 | PA      | $381425.06    | 0.01%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AA5F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373576 | PA      | $315676.66    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79604 | PA      | $78882.79     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1186276 | PA      | $1076549.24   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1247148 | PA      | $1262719.86   | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2471848 | PA      | $2262570.79   | 0.04%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419BBM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60835 | PA      | $63097.05     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587414 | PA      | $585541.50    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13692885 | PA      | $12571139.54  | 0.20%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQS45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    892493 | PA      | $939692.89    | 0.02%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MSW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570026 | PA      | $539081.61    | 0.01%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2300274 | PA      | $2104227.94   | 0.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167668 | PA      | $166765.79    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12989333 | PA      | $13209721.38  | 0.21%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMTX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127151 | PA      | $125582.67    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2645589 | PA      | $2339947.49   | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68037 | PA      | $70453.76     | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2571402 | PA      | $2478388.67   | 0.04%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5JW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128392 | PA      | $122338.94    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435779 | PA      | $453491.85    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1689832 | PA      | $1519496.20   | 0.02%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132FCJN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6192884 | PA      | $5839772.57   | 0.09%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D57A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2980920 | PA      | $2790638.19   | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195258 | PA      | $193176.22    | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACSZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4272985 | PA      | $4106049.53   | 0.07%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X72F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1798140 | PA      | $1771792.92   | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90250 | PA      | $91922.25     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1872613 | PA      | $1870088.38   | 0.03%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183626 | PA      | $186318.69    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q7X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46195 | PA      | $45699.56     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1289261 | PA      | $1335812.64   | 0.02%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M96Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404276 | PA      | $401259.88    | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127587 | PA      | $129995.00    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2834476 | PA      | $2607935.76   | 0.04%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1372125 | PA      | $1311677.47   | 0.02%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8154730 | PA      | $8224918.03   | 0.13%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1348019 | PA      | $1373601.57   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHLA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246217 | PA      | $240509.32    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFJ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757336 | PA      | $636733.49    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNT85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696017 | PA      | $679202.02    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6JZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346561 | PA      | $340331.65    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1466149 | PA      | $1272875.55   | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SNT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42650 | PA      | $38305.81     | 0.00%             | 2046-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9RL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957190 | PA      | $918236.91    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1018904 | PA      | $1058770.30   | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187310 | PA      | $180468.59    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999785 | PA      | $911448.10    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166411 | PA      | $169119.14    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4242071 | PA      | $4232956.50   | 0.07%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLW38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    818870 | PA      | $834232.66    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M6NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184716 | PA      | $193448.96    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6496287 | PA      | $6560684.18   | 0.10%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8410432 | PA      | $7051919.16   | 0.11%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4181522 | PA      | $3715427.87   | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110843 | PA      | $106272.38    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    929498 | PA      | $954916.56    | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378351 | PA      | $362953.72    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3441735 | PA      | $2917448.06   | 0.05%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285598 | PA      | $289150.80    | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1516112 | PA      | $1341692.37   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8JS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519008 | PA      | $526629.97    | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7GW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335317 | PA      | $324617.69    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209299 | PA      | $203950.91    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30525 | PA      | $27081.85     | 0.00%             | 2036-08-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37432 | PA      | $36990.32     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5038358 | PA      | $5144937.96   | 0.08%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3390084 | PA      | $3096346.91   | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530899 | PA      | $497419.75    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617K7KJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56855 | PA      | $55598.95     | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6BM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624790 | PA      | $612553.80    | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107824 | PA      | $109399.63    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331905 | PA      | $311801.43    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WCXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137515 | PA      | $142291.50    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    183553 | PA      | $181890.15    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1661474 | PA      | $1712117.88   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358944 | PA      | $345222.52    | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430938 | PA      | $417657.64    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204847 | PA      | $201277.35    | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467301 | PA      | $411998.38    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54597 | PA      | $54725.74     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2900936 | PA      | $2604528.96   | 0.04%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5079863 | PA      | $4246860.10   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233778 | PA      | $225953.33    | 0.00%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AJK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1051332 | PA      | $1029715.80   | 0.02%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250008 | PA      | $239097.90    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427M7D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13987222 | PA      | $11713244.14  | 0.19%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1869102 | PA      | $1583338.61   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566518 | PA      | $585807.10    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3661766 | PA      | $3703345.24   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQLA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72472 | PA      | $71977.17     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8CQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124481 | PA      | $123504.42    | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1280428 | PA      | $1201535.92   | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8919096 | PA      | $7560742.47   | 0.12%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9AS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     84581 | PA      | $79369.49     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2622950 | PA      | $2667453.28   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201094 | PA      | $197101.44    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGRH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6362833 | PA      | $5275462.29   | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDW36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1575183 | PA      | $1324892.62   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUNR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1826433 | PA      | $1878482.99   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3042650 | PA      | $2665904.19   | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272440 | PA      | $260385.96    | 0.00%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2136708 | PA      | $1968565.40   | 0.03%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730093 | PA      | $737027.77    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MLU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36565 | PA      | $35976.27     | 0.00%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BJQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    985628 | PA      | $982048.42    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWMJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472902 | PA      | $461058.25    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7119932 | PA      | $6211849.32   | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2588675 | PA      | $2629446.29   | 0.04%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    328742 | PA      | $315187.61    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    544708 | PA      | $561865.71    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653634 | PA      | $643466.97    | 0.01%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152545 | PA      | $154619.07    | 0.00%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3465423 | PA      | $3166378.06   | 0.05%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777989 | PA      | $763591.24    | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FEJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183083 | PA      | $189239.97    | 0.00%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1321001 | PA      | $1380021.17   | 0.02%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127394 | PA      | $121825.59    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WKLB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174052 | PA      | $173271.38    | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279839 | PA      | $281933.46    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XG3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4096956 | PA      | $3936383.13   | 0.06%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X6Y66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383951 | PA      | $381635.32    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQMW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    936830 | PA      | $959321.92    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12222324 | PA      | $10663113.93  | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8AC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1567161 | PA      | $1328107.66   | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VV23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115679 | PA      | $110582.98    | 0.00%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4XF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535988 | PA      | $528996.27    | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3458688 | PA      | $3475188.01   | 0.06%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    645957 | PA      | $626059.46    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1278925 | PA      | $1239962.27   | 0.02%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188637 | PA      | $195585.51    | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133C7AF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8216160 | PA      | $8294859.31   | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7FZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1104632 | PA      | $1087707.21   | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FLN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    866007 | PA      | $842168.07    | 0.01%             | 2055-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J5ER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50009 | PA      | $50784.97     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    799428 | PA      | $784633.72    | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114553 | PA      | $96106.99     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661837 | PA      | $632955.37    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3937870 | PA      | $3290225.19   | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8SC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649186 | PA      | $651286.34    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92973 | PA      | $91988.83     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    859688 | PA      | $806719.31    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ2V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2064407 | PA      | $1736380.58   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUH41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2947689 | PA      | $3034537.34   | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WAF77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80869 | PA      | $80382.16     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4974727 | PA      | $4920923.21   | 0.08%             | 2055-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71669 | PA      | $76050.21     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3FX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52194 | PA      | $51395.28     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUNS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2261873 | PA      | $2360323.27   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KELL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931882 | PA      | $790384.64    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    604725 | PA      | $562856.64    | 0.01%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6BF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2643486 | PA      | $2570717.92   | 0.04%             | 2055-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4494783 | PA      | $4572423.53   | 0.07%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EK2S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246436 | PA      | $250052.24    | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QU2N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2625426 | PA      | $2799938.21   | 0.04%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CHH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72071 | PA      | $70722.57     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2336914 | PA      | $2422754.88   | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159970 | PA      | $157619.66    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378175 | PA      | $371788.84    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635449 | PA      | $614339.92    | 0.01%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2543874 | PA      | $2253583.59   | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKFB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150624 | PA      | $147086.29    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312442 | PA      | $298807.58    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6EV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384506 | PA      | $408011.98    | 0.01%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4902054 | PA      | $3902055.62   | 0.06%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6883721 | PA      | $6051294.24   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138NXKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192723 | PA      | $181533.66    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150907 | PA      | $148277.32    | 0.00%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406346 | PA      | $398070.61    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663880 | PA      | $636635.12    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557310 | PA      | $538126.42    | 0.01%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUWX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113591 | PA      | $115665.14    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3072685 | PA      | $3105651.72   | 0.05%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308351 | PA      | $302864.53    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B5D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1355560 | PA      | $1312374.47   | 0.02%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133964 | PA      | $132606.57    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140M2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1275259 | PA      | $1076812.90   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X86V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360881 | PA      | $358938.08    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q75V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149609 | PA      | $142919.55    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2602305 | PA      | $2420102.03   | 0.04%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1298678 | PA      | $1241218.09   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145363 | PA      | $142938.91    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M83X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148245 | PA      | $147772.54    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427Q2V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4983465 | PA      | $5075616.89   | 0.08%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327782 | PA      | $274513.67    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940909 | PA      | $903163.00    | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6EA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62637 | PA      | $63112.41     | 0.00%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89658 | PA      | $92852.98     | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6UC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346740 | PA      | $331237.82    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1211415 | PA      | $1158046.64   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427N4H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1807467 | PA      | $1517721.81   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018782 | PA      | $981677.13    | 0.02%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W2R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    872838 | PA      | $903471.43    | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72459 | PA      | $75388.26     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36184BZ67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97578 | PA      | $94291.43     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452401 | PA      | $413843.84    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1826518 | PA      | $1585768.88   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528279 | PA      | $509502.27    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102352 | PA      | $99167.62     | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68081 | PA      | $72243.21     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5ET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320015 | PA      | $297832.21    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3888610 | PA      | $3622622.97   | 0.06%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAEL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125072 | PA      | $126594.22    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132FCEB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1362078 | PA      | $1283407.95   | 0.02%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142J6B85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2768333 | PA      | $2738551.95   | 0.04%             | 2055-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6436126 | PA      | $6571469.92   | 0.11%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10326792 | PA      | $8754049.49   | 0.14%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417GT55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166540 | PA      | $161320.99    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14239967 | PA      | $12520136.64  | 0.20%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7883015 | PA      | $6598676.83   | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WKMY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    835385 | PA      | $831638.44    | 0.01%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889276 | PA      | $752416.04    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5686705 | PA      | $5633187.81   | 0.09%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3465120 | PA      | $3560690.21   | 0.06%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WK3G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550222 | PA      | $544761.97    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LQZS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60175 | PA      | $56680.97     | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2371249 | PA      | $2419452.76   | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1772490 | PA      | $1613681.88   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4742650 | PA      | $4586380.70   | 0.07%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1FQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727349 | PA      | $746203.90    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LXCU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139234 | PA      | $136191.60    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W26W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3677446 | PA      | $3852883.63   | 0.06%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101441 | PA      | $104860.85    | 0.00%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EU73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2430664 | PA      | $2411017.06   | 0.04%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1999461 | PA      | $1685402.01   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VDQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1112256 | PA      | $1088892.39   | 0.02%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTMY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3401939 | PA      | $3566653.57   | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W3XM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2431069 | PA      | $2049873.86   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X6PZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70566 | PA      | $68354.16     | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KDQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4971153 | PA      | $4364108.32   | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306123 | PA      | $300675.73    | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3869200 | PA      | $3856909.30   | 0.06%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608621 | PA      | $1491075.97   | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M87E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63546 | PA      | $63695.97     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1816164 | PA      | $1759660.86   | 0.03%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    117865 | PA      | $125573.08    | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJL24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46935 | PA      | $47698.84     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68347 | PA      | $70113.40     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    893320 | PA      | $878233.53    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRSW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    865129 | PA      | $894329.07    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X86H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344851 | PA      | $318487.89    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297802 | PA      | $285682.91    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A9MQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109285 | PA      | $108043.94    | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M86U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55205 | PA      | $57110.61     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPYQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287220 | PA      | $280495.86    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X82Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2842393 | PA      | $2626725.49   | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44948 | PA      | $46463.87     | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138210 | PA      | $136784.41    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5149314 | PA      | $5208195.85   | 0.08%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714066 | PA      | $751012.37    | 0.01%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDMP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246847 | PA      | $244345.11    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBPH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1789378 | PA      | $1575212.89   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173697 | PA      | $168415.18    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410GYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33460 | PA      | $35648.55     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833236 | PA      | $843181.89    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2306711 | PA      | $1963837.51   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCRF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3003036 | PA      | $2870555.47   | 0.05%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1170132 | PA      | $1177759.78   | 0.02%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345807 | PA      | $347542.92    | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    725760 | PA      | $611706.88    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2373126 | PA      | $2199717.87   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1154952 | PA      | $1186567.90   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LYR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95759 | PA      | $95243.76     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CW5Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445309 | PA      | $450421.56    | 0.01%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320271 | PA      | $339494.79    | 0.01%             | 2054-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1852644 | PA      | $1727135.79   | 0.03%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRBE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1210745 | PA      | $1233349.59   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KH5M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343927 | PA      | $304833.66    | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3111941 | PA      | $2845287.66   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108812 | PA      | $114904.95    | 0.00%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191687 | PA      | $194472.95    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8970790 | PA      | $8948738.02   | 0.14%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329MUT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139316 | PA      | $131114.82    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTEN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1256871 | PA      | $1294089.66   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197381 | PA      | $193427.67    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347024 | PA      | $331880.41    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552274 | PA      | $547878.32    | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89356 | PA      | $86776.37     | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3169833 | PA      | $3202522.93   | 0.05%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405138 | PA      | $397053.18    | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXP97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3936722 | PA      | $3597953.87   | 0.06%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101383 | PA      | $104311.82    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1439334 | PA      | $1382142.42   | 0.02%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    783020 | PA      | $763860.37    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36210B4E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71617 | PA      | $74118.91     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191345 | PA      | $183455.14    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553896 | PA      | $560584.80    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    302071 | PA      | $298334.03    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1080942 | PA      | $1115390.79   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416RRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     75814 | PA      | $76962.62     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132J62G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    139872 | PA      | $131892.21    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335111 | PA      | $317441.52    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5868878 | PA      | $5606495.22   | 0.09%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725496 | PA      | $747161.60    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    833494 | PA      | $820895.93    | 0.01%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292HZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102783 | PA      | $105554.75    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSZV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1571901 | PA      | $1599173.50   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QAJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223545 | PA      | $230170.29    | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8EH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215323 | PA      | $181875.45    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262801 | PA      | $1317613.67   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1882302 | PA      | $1637578.34   | 0.03%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJR38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396770 | PA      | $336399.08    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375727 | PA      | $343704.36    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308302 | PA      | $296516.66    | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222071 | PA      | $220587.83    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5VP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2428198 | PA      | $2400386.19   | 0.04%             | 2055-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    316754 | PA      | $327198.27    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325868 | PA      | $287103.86    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1670358 | PA      | $1713982.09   | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270090 | PA      | $251653.64    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KY6P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1672293 | PA      | $1690559.01   | 0.03%             | 2045-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95955 | PA      | $96078.47     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954053 | PA      | $984286.35    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132JNPC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409873 | PA      | $397459.08    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    759458 | PA      | $705112.64    | 0.01%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103598 | PA      | $100405.33    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239188 | PA      | $246197.91    | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ASYB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    695222 | PA      | $613382.98    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M8HU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96960 | PA      | $95859.65     | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKY86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2424374 | PA      | $2051260.83   | 0.03%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1279763 | PA      | $1190158.62   | 0.02%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQFM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    576614 | PA      | $583218.69    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A1AN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512538 | PA      | $534402.21    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482804 | PA      | $473869.78    | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1389363 | PA      | $1336250.76   | 0.02%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    414276 | PA      | $428234.80    | 0.01%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4652788 | PA      | $4731866.37   | 0.08%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767998 | PA      | $691116.44    | 0.01%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423759 | PA      | $425613.85    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3794275 | PA      | $3590051.13   | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3069036 | PA      | $3113049.62   | 0.05%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12124315 | PA      | $10277814.98  | 0.16%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417AVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    140339 | PA      | $137370.66    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2122790 | PA      | $1866863.71   | 0.03%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4275943 | PA      | $3944190.33   | 0.06%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CU85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730556 | PA      | $717424.68    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118739 | PA      | $119627.42    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    369201 | PA      | $343999.35    | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292LGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53024 | PA      | $51942.99     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46465 | PA      | $48031.88     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2DX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120566 | PA      | $119619.32    | 0.00%             | 2042-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131815 | PA      | $129921.77    | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2143909 | PA      | $2253176.98   | 0.04%             | 2055-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5TP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2056107 | PA      | $2099855.51   | 0.03%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GWBX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5901138 | PA      | $5993275.96   | 0.10%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    783814 | PA      | $766435.01    | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621635 | PA      | $526841.96    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72147 | PA      | $67145.78     | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147922 | PA      | $139604.85    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3073278 | PA      | $2830077.29   | 0.05%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227677 | PA      | $231257.33    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876509 | PA      | $774040.52    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637778 | PA      | $625213.47    | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61773 | PA      | $56838.79     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WPGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54178 | PA      | $50839.92     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETHC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196131 | PA      | $198906.50    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9398130 | PA      | $9551911.88   | 0.15%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2390654 | PA      | $2102301.17   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QS2R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997179 | PA      | $989012.67    | 0.02%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141632 | PA      | $134174.12    | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ARY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94936 | PA      | $92408.21     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8GM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341902 | PA      | $341367.46    | 0.01%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1785180 | PA      | $1833927.67   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    695692 | PA      | $656015.59    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836022 | PA      | $872916.97    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245131 | PA      | $235523.44    | 0.00%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20016838 | PA      | $16682295.64  | 0.27%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    977644 | PA      | $969301.84    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUEA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5134591 | PA      | $5236710.16   | 0.08%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267087 | PA      | $248491.12    | 0.00%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1534434 | PA      | $1398749.47   | 0.02%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRBV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647364 | PA      | $673306.94    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NCPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341969 | PA      | $344566.03    | 0.01%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    736944 | PA      | $721457.75    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3859720 | PA      | $3941849.46   | 0.06%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6C40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644433 | PA      | $650973.91    | 0.01%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1416445 | PA      | $1297069.43   | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4651265 | PA      | $4722749.21   | 0.08%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337525 | PA      | $308758.45    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNBK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669959 | PA      | $590262.12    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKDN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979686 | PA      | $990401.56    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2298404 | PA      | $2157135.88   | 0.03%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548797 | PA      | $461595.45    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417CJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406265 | PA      | $393295.90    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261427 | PA      | $250018.72    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRVN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2320838 | PA      | $2424883.62   | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464130 | PA      | $472059.26    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402077 | PA      | $398327.08    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5TQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2334498 | PA      | $2424913.40   | 0.04%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QHKB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943142 | PA      | $818669.39    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253575 | PA      | $250808.88    | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468869 | PA      | $493128.45    | 0.01%             | 2054-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4437590 | PA      | $4315681.51   | 0.07%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10619395 | PA      | $8887964.11   | 0.14%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255234 | PA      | $243822.74    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2152221 | PA      | $2096144.00   | 0.03%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530980 | PA      | $484390.32    | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861321 | PA      | $898519.99    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVGP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3521394 | PA      | $3557897.32   | 0.06%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3052474 | PA      | $2801463.33   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XB4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734931 | PA      | $704628.62    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9ZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469837 | PA      | $429794.10    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8349530 | PA      | $7372650.45   | 0.12%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484908 | PA      | $488287.73    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146674 | PA      | $147937.92    | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2746237 | PA      | $2670793.14   | 0.04%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0GM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3089661 | PA      | $3127000.76   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722794 | PA      | $694902.97    | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246951 | PA      | $207554.18    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10501400 | PA      | $10545272.60  | 0.17%             | 2055-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    346671 | PA      | $342173.79    | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1620987 | PA      | $1363418.34   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170555 | PA      | $171836.33    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71629 | PA      | $73728.44     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037034 | PA      | $1072512.67   | 0.02%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7UG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646128 | PA      | $642649.07    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80541 | PA      | $79908.12     | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS6T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    731267 | PA      | $760740.63    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039865 | PA      | $1060455.69   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8870916 | PA      | $8627216.90   | 0.14%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    562019 | PA      | $522905.89    | 0.01%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MTBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271272 | PA      | $273332.08    | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLKE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808023 | PA      | $736572.88    | 0.01%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPMB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676812 | PA      | $646482.48    | 0.01%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8QY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454539 | PA      | $469315.79    | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMU92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344160 | PA      | $335835.56    | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1158848 | PA      | $1197229.31   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4258319 | PA      | $3755693.45   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70957 | PA      | $70183.25     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPAL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    779032 | PA      | $761034.29    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1251638 | PA      | $1144403.00   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317639 | PA      | $329887.18    | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEE36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80742 | PA      | $82300.78     | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316653 | PA      | $278785.77    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CSD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    469639 | PA      | $460397.10    | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31368HNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303677 | PA      | $317956.50    | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKSA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3802326 | PA      | $3526850.49   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPSS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1062073 | PA      | $1057147.79   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206561 | PA      | $209594.21    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QAS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58668 | PA      | $60095.63     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78002 | PA      | $74828.08     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3468471 | PA      | $3599908.85   | 0.06%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372441 | PA      | $363078.97    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3062230 | PA      | $2595753.66   | 0.04%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4028281 | PA      | $3571586.04   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329MVA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350643 | PA      | $329223.03    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410366 | PA      | $418750.92    | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1737403 | PA      | $1784038.31   | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31346YXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218070 | PA      | $191779.50    | 0.00%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209231 | PA      | $207399.66    | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145712 | PA      | $139341.56    | 0.00%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2099124 | PA      | $2018879.31   | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    634155 | PA      | $644126.70    | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1210896 | PA      | $1066842.63   | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253780 | PA      | $246602.51    | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132024 | PA      | $137951.60    | 0.00%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472968 | PA      | $460283.51    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2003156 | PA      | $1685125.21   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50498 | PA      | $53860.31     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170553 | PA      | $156246.66    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329KXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317346 | PA      | $305007.79    | 0.00%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1090053 | PA      | $1109827.84   | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312946PK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     80218 | PA      | $82988.10     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952629 | PA      | $900914.86    | 0.01%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1211179 | PA      | $1225437.16   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54478 | PA      | $55269.30     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y7LC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4697331 | PA      | $4820890.16   | 0.08%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106365 | PA      | $113321.30    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2121545 | PA      | $2163194.31   | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5817868 | PA      | $5159362.80   | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    370495 | PA      | $380776.97    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    235741 | PA      | $233754.76    | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQWN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411348 | PA      | $417691.42    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394778 | PA      | $399266.41    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189630 | PA      | $181913.24    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2224694 | PA      | $2262671.31   | 0.04%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139198 | PA      | $133608.19    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178WDK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317424 | PA      | $299575.38    | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4762657 | PA      | $4401289.06   | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6892920 | PA      | $5742771.36   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1303724 | PA      | $1223592.42   | 0.02%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171870 | PA      | $164783.12    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSQQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2344019 | PA      | $2410985.28   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X62P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4364533 | PA      | $3872423.61   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285628 | PA      | $251903.41    | 0.00%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140EU6X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    519067 | PA      | $481137.76    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    636654 | PA      | $611087.69    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BDK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56585 | PA      | $56304.89     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133C66R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8036432 | PA      | $8113410.02   | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    117246 | PA      | $114008.35    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7R92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387892 | PA      | $371898.97    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51517 | PA      | $52273.95     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3388524 | PA      | $2986461.32   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XR3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4847037 | PA      | $4936708.21   | 0.08%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EK82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775338 | PA      | $799105.80    | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLX45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867609 | PA      | $899917.30    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202EZ93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146655 | PA      | $148927.87    | 0.00%             | 2039-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1845707 | PA      | $1690270.99   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620A6DN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81669 | PA      | $82740.24     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117544 | PA      | $119945.85    | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5984666 | PA      | $4765648.52   | 0.08%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X73H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858699 | PA      | $728954.20    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129325J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55907 | PA      | $56815.42     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V7C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113178 | PA      | $91567.24     | 0.00%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76231 | PA      | $77429.45     | 0.00%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    966141 | PA      | $905810.19    | 0.01%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    743378 | PA      | $769072.42    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292LGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243004 | PA      | $238128.10    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUTB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2157750 | PA      | $1821977.61   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJWW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1423437 | PA      | $1469629.59   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1430242 | PA      | $1210126.48   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3104646 | PA      | $2602301.01   | 0.04%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7WS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129927 | PA      | $127340.07    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ2U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1857022 | PA      | $1563892.76   | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MAYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326238 | PA      | $284207.74    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ERUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236582 | PA      | $232810.75    | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ATSK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6804447 | PA      | $5940825.37   | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2082185 | PA      | $2139744.01   | 0.03%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1153172 | PA      | $1191831.44   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246389 | PA      | $235637.52    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0EN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1149313 | PA      | $1213860.38   | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1486363 | PA      | $1432227.79   | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJLD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55482 | PA      | $57353.35     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3945429 | PA      | $4037340.84   | 0.06%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6S43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3747926 | PA      | $3873046.47   | 0.06%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQGV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1388583 | PA      | $1463029.01   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMQ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8764167 | PA      | $7266422.40   | 0.12%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4007969 | PA      | $3500520.81   | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9JM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045825 | PA      | $1013045.69   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65536 | PA      | $67428.11     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    680361 | PA      | $659193.82    | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1YV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5648313 | PA      | $4966138.57   | 0.08%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XEBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3727753 | PA      | $3374040.72   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320637 | PA      | $315790.84    | 0.01%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31374CNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73986 | PA      | $76977.03     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1342823 | PA      | $1228377.41   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175644 | PA      | $179232.71    | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6XB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337595 | PA      | $333995.52    | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQEP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2855886 | PA      | $2611684.89   | 0.04%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283241 | PA      | $281226.66    | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A7FQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169202 | PA      | $168479.40    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541058 | PA      | $570349.53    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88279 | PA      | $87136.45     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9SD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232630 | PA      | $239815.09    | 0.00%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N56H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15672514 | PA      | $15736732.23  | 0.25%             | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133722 | PA      | $138227.85    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371M3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90752 | PA      | $96299.61     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487695 | PA      | $476761.31    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381455 | PA      | $381946.81    | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140N7T34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1801265 | PA      | $1788468.84   | 0.03%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349193 | PA      | $344277.46    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    849367 | PA      | $859141.41    | 0.01%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2415908 | PA      | $2125605.81   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67861 | PA      | $70126.17     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTL79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1473907 | PA      | $1542507.14   | 0.02%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103451 | PA      | $104923.63    | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    450403 | PA      | $440459.56    | 0.01%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65423 | PA      | $66384.14     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9795788 | PA      | $8157119.87   | 0.13%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3106559 | PA      | $2751471.55   | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X97J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218709 | PA      | $214609.87    | 0.00%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WXEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611637 | PA      | $596354.27    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M4FW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72866 | PA      | $75085.49     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207751 | PA      | $208059.36    | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4191760 | PA      | $4353390.85   | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9GP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2182728 | PA      | $2036057.15   | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TXU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1269932 | PA      | $1220927.52   | 0.02%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75842 | PA      | $78997.62     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUKL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2208500 | PA      | $2273407.91   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YKT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5993009 | PA      | $6158300.83   | 0.10%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142JCAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2329972 | PA      | $2366595.07   | 0.04%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276534 | PA      | $272458.15    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182222 | PA      | $154689.47    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194156 | PA      | $173893.74    | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJ6L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1046870 | PA      | $884619.83    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M83R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1048772 | PA      | $1051265.47   | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871906 | PA      | $1912285.11   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143989 | PA      | $138744.77    | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ETT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313142 | PA      | $321560.88    | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4180542 | PA      | $3472447.56   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47614 | PA      | $47755.24     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XTBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4891461 | PA      | $4135058.16   | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1083909 | PA      | $1132501.86   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5EX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1619572 | PA      | $1686422.18   | 0.03%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GWPW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2286591 | PA      | $2300654.43   | 0.04%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVGW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2051024 | PA      | $2078749.14   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176736 | PA      | $172323.90    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9145625 | PA      | $9354537.97   | 0.15%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2147116 | PA      | $1956739.53   | 0.03%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396646 | PA      | $391559.69    | 0.01%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1253605 | PA      | $1213604.87   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E07E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4640178 | PA      | $4851573.19   | 0.08%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X72B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185168 | PA      | $1110795.12   | 0.02%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93799 | PA      | $87459.51     | 0.00%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182549 | PA      | $180911.99    | 0.00%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182030 | PA      | $184703.13    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671022 | PA      | $674389.60    | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321925 | PA      | $324534.47    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRLL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324578 | PA      | $314221.59    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140M5P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3331558 | PA      | $3397812.73   | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WNG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    935332 | PA      | $890451.84    | 0.01%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639213 | PA      | $598606.71    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QK83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42225 | PA      | $41686.42     | 0.00%             | 2029-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WR42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    953983 | PA      | $908208.32    | 0.01%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492079 | PA      | $491324.12    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2089755 | PA      | $2130840.84   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0H96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1102321 | PA      | $1157880.50   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393355 | PA      | $396331.64    | 0.01%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337976 | PA      | $325137.40    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQHA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764917 | PA      | $725393.88    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QREQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921582 | PA      | $942035.77    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5199224 | PA      | $4797677.82   | 0.08%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NRM86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260751 | PA      | $262416.22    | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    796691 | PA      | $840424.37    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335761 | PA      | $1220416.99   | 0.02%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A9SE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676849 | PA      | $659831.07    | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288287 | PA      | $282394.97    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91316 | PA      | $93393.94     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335A7L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49137 | PA      | $49937.15     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFCM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55063 | PA      | $54322.52     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0FQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4275045 | PA      | $4358748.04   | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2280521 | PA      | $1927777.67   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E7G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105524 | PA      | $107159.20    | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138NYWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    131863 | PA      | $124207.17    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1569915 | PA      | $1577794.64   | 0.03%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DLV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800051 | PA      | $761351.28    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KRUF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395692 | PA      | $411703.42    | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A4GH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1329784 | PA      | $1288104.76   | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    623414 | PA      | $557069.59    | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QS4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1896941 | PA      | $1976879.99   | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471318 | PA      | $462595.86    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163164 | PA      | $149667.63    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1685049 | PA      | $1363119.33   | 0.02%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66715 | PA      | $67697.04     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y3Z87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138735 | PA      | $134951.22    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429840 | PA      | $422580.42    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419ANJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     93397 | PA      | $97789.06     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129602 | PA      | $125937.19    | 0.00%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97922 | PA      | $99439.52     | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59000 | PA      | $57527.19     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1634268 | PA      | $1673852.55   | 0.03%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316018 | PA      | $314452.30    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    285286 | PA      | $278755.41    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TZ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1271008 | PA      | $1221961.70   | 0.02%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31426TWB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4326586 | PA      | $4423090.09   | 0.07%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FPC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190602 | PA      | $182080.95    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140APBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78120 | PA      | $80421.89     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169907 | PA      | $144024.62    | 0.00%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2224033 | PA      | $2298069.34   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16312634 | PA      | $16399663.33  | 0.26%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QASR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67655 | PA      | $67930.53     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WAEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128474 | PA      | $127698.85    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4761893 | PA      | $3790116.81   | 0.06%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140M7SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3943542 | PA      | $3473205.12   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9GM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900140 | PA      | $840225.02    | 0.01%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112062 | PA      | $109374.29    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7364883 | PA      | $7401716.97   | 0.12%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC7K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673997 | PA      | $1472084.48   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121172 | PA      | $126504.56    | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5MR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2918059 | PA      | $2978997.30   | 0.05%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214947 | PA      | $211778.80    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13325904 | PA      | $12959818.80  | 0.21%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFZ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125841 | PA      | $111417.92    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241K4M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122462 | PA      | $121523.98    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509551 | PA      | $501625.00    | 0.01%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622502 | PA      | $611312.15    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8474702 | PA      | $7192642.92   | 0.11%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    305356 | PA      | $294536.67    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463384 | PA      | $486180.95    | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2909285 | PA      | $2578593.83   | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358358 | PA      | $356584.99    | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404655 | PA      | $407828.72    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1041858 | PA      | $1095184.83   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8482620 | PA      | $8463081.16   | 0.14%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-26

**Name of Applicant:** SCHWAB STRATEGIC TRUST

**Signature:** Dana Smith

**Name of Signer:** Dana Smith

**Title:** CFO