# EDGAR Filing Document

**Accession Number:** 0000225030
**File Stem:** 0002000324-26-000597
**Filing Date:** 2026-2
**Character Count:** 328918
**Document Hash:** db83255f7210b50065d49df6c3e33504
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002000324-26-000597.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0002000324-26-000597

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AFL CIO HOUSING INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0000225030

**ORGANIZATION NAME:**
- **EIN:** 526220193
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03493
- **FILM NUMBER:** 26671210

**BUSINESS ADDRESS:**
- **STREET 1:** 1227 25TH STREET, NW
- **STREET 2:** SUITE 500
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20037
- **BUSINESS PHONE:** (202) 331-8055

**MAIL ADDRESS:**
- **STREET 1:** 1227 25TH STREET, NW
- **STREET 2:** SUITE 500
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20037

## Series and Classes Contracts Data

### AFL CIO HOUSING INVESTMENT TRUST (Series ID: S000009768)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000026832 | AFL CIO HOUSING INVESTMENT TRUST |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AFL CIO Housing Investment Trust

- **b. Investment Company Act file number:** 811-03493

- **c. CIK number of Registrant:** 0000225030

- **d. LEI of Registrant:** 549300VD1CNIEZWGKO35

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

  - **Street Address 1:** 1227 25th Street, NW

  - **City:** Washington

  - **State:** DC

  - **Foreign country:** US

  - **Zip / Postal Code:** 20037

  - **Telephone number:** 202-331-8055

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

- **a. Name of Series:** AFL CIO Housing Investment Trust

- **b. EDGAR series identifier (if any):** S000009768

- **c. LEI of Series:** 549300RFU4BMM7Q31B86

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7435504210.00

**Total Liabilities:** $115931598.00

**Net Assets:** $7319572612.00

**Delayed Delivery Securities:** $95630654.00

**Cash Not Reported:** $799260.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2195.66 | **1-Year:** 153395.84 | **5-Year:** 1440805.66 | **10-Year:** 1540581.62 | **30-Year:** 322479.48

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

- **3-Month:** 0 | **1-Year:** 41920.12 | **5-Year:** 14220.21 | **10-Year:** 0 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026832 | 0.73%                | 0.71%                | -0.12%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-292372.41              | $30347395.86                               |
| Month 2  | $-1331201.35             | $32400815.88                               |
| Month 3  | $-2643091.04             | $-28261827.88                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Blackrock Liquidity Funds                     | Blackrock Liquidity FedFund   | CUSIP: N/A<br>LEI: 549300LRIF3NWCU26A80       | Long             | STIV             | RF                | US        | 145208460 | NS      | $145208459.54 | 1.98%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 31396P5W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75137 | PA      | $74219.55     | 0.00%             | 2037-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 31396VRS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159459 | PA      | $157833.61    | 0.00%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 3136A4TC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118089 | PA      | $1109820.65   | 0.02%             | 2042-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 3136A6PG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2291854 | PA      | $2268998.46   | 0.03%             | 2042-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 3136A9HU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009992 | PA      | $997934.96    | 0.01%             | 2042-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 3136AGXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2446647 | PA      | $2429423.78   | 0.03%             | 2043-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 31396V4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326896 | PA      | $323713.34    | 0.00%             | 2037-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31396HUT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102747 | PA      | $102094.59    | 0.00%             | 2036-02-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31396JYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147334 | PA      | $145832.55    | 0.00%             | 2036-04-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137A3CK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1380455 | PA      | $1373792.55   | 0.02%             | 2040-11-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137AXXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1309123 | PA      | $1287431.25   | 0.02%             | 2043-01-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137GAPT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    558747 | PA      | $552513.06    | 0.01%             | 2040-10-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137B3PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1434559 | PA      | $1414079.67   | 0.02%             | 2043-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31398QUV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040772 | PA      | $1031888.91   | 0.01%             | 2040-10-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137BBHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1516627 | PA      | $1499309.10   | 0.02%             | 2044-06-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137B6NX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381315 | PA      | $376989.74    | 0.01%             | 2043-12-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31397KE23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1066497 | PA      | $1064977.62   | 0.01%             | 2037-08-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137A3L31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945431 | PA      | $936103.76    | 0.01%             | 2040-11-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31397GWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58917 | PA      | $58298.69     | 0.00%             | 2037-05-15      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 3128PUPG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       620 | PA      | $619.34       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 3128MMNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       856 | PA      | $855.16       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 3128PUWW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       267 | PA      | $266.76       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 31306XNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9485 | PA      | $9459.08      | 0.00%             | 2027-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 3128PT7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $60.23        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 31306XCR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11737 | PA      | $11692.10     | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 31306XND1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19990 | PA      | $19911.08     | 0.00%             | 2027-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 31306XKM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7279 | PA      | $7258.27      | 0.00%             | 2027-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 3128PTSP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2323 | PA      | $2319.08      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 31306YB75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7434 | PA      | $7405.28      | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 3128MMRC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114760 | PA      | $114249.42    | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 3128PT4D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2942 | PA      | $2937.38      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 15 YR SINGLE FAMILY MBS       | CUSIP: 3128MDVC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12457 | PA      | $12439.76     | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS       | CUSIP: 3138AR5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9191 | PA      | $9154.49      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS       | CUSIP: 3138AAGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       207 | PA      | $206.64       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 15 YR SINGLE FAMILY MBS       | CUSIP: 3140EY4P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260539 | PA      | $1237885.83   | 0.02%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292GUZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       195 | PA      | $205.31       | 0.00%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292GU20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        74 | PA      | $77.15        | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292G7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3158 | PA      | $3285.63      | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292G6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       668 | PA      | $701.84       | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292HAV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       227 | PA      | $238.61       | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292HAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       986 | PA      | $1027.61      | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292HA95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4546 | PA      | $4777.52      | 0.00%             | 2030-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292HAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       166 | PA      | $173.35       | 0.00%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31293T4W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1543 | PA      | $1575.43      | 0.00%             | 2029-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292HFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       149 | PA      | $156.40       | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292HH56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       234 | PA      | $244.84       | 0.00%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292HJJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       121 | PA      | $128.03       | 0.00%             | 2031-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31298PZK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3317 | PA      | $3445.04      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292HVU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $8.70         | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31287VXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1940 | PA      | $2035.25      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2521 | PA      | $2641.87      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31296SUF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92820 | PA      | $97387.09     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292H4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118740 | PA      | $124169.75    | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297B6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1102 | PA      | $1155.76      | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297DTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225886 | PA      | $236870.08    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297DTB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57241 | PA      | $60150.87     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297CZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27125 | PA      | $27848.05     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297DJN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39310 | PA      | $41298.12     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297DAH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14193 | PA      | $14894.43     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297F5W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34668 | PA      | $36413.02     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297GDF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24589 | PA      | $25856.53     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297HLJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48214 | PA      | $50020.21     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297HY86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129667 | PA      | $136040.81    | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297HR68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146268 | PA      | $151681.04    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297HR50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84376 | PA      | $87368.08     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297HAE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138376 | PA      | $143376.62    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297LBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88216 | PA      | $91072.24     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297MR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127878 | PA      | $134557.47    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297MR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26550 | PA      | $27257.93     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297NB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186049 | PA      | $195190.97    | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297QRZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130795 | PA      | $137597.11    | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128K66R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43774 | PA      | $44664.83     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128K7RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64471 | PA      | $67870.90     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297V5R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103020 | PA      | $109827.61    | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128K7HL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21288 | PA      | $21727.26     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KGD70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201531 | PA      | $209415.51    | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KHSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39621 | PA      | $41179.49     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KCG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36967 | PA      | $37737.24     | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128LXS76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141892 | PA      | $144833.15    | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128LXRR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26059 | PA      | $26592.19     | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KL4H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14006 | PA      | $14548.70     | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KLRU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96390 | PA      | $100196.59    | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128M4FX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24586 | PA      | $25526.48     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KR6X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27362 | PA      | $27925.84     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KSER9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126152 | PA      | $128693.92    | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KR7M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61901 | PA      | $63149.92     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KTKF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3329 | PA      | $3379.58      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128L04M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85456 | PA      | $91452.22     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128M5NV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61695 | PA      | $64125.10     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128M5BA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159211 | PA      | $167997.53    | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128M5DW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4070 | PA      | $4303.79      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128LDNF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80254 | PA      | $83502.60     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128LCQ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10222 | PA      | $10433.29     | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJLD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164182 | PA      | $167611.96    | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312932H41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71617 | PA      | $70445.49     | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128KXPZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2571 | PA      | $2751.00      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312938FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2213 | PA      | $2225.93      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312938CG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168374 | PA      | $168960.62    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312941SC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306038 | PA      | $312514.62    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312941WB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140903 | PA      | $138758.12    | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312942AD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64018 | PA      | $62717.30     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312942KX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    505249 | PA      | $506872.86    | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJQX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1083795 | PA      | $1039603.48   | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3129447K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9664 | PA      | $9482.72      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJQ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1332598 | PA      | $1277436.72   | 0.02%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GKF43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649233 | PA      | $622948.15    | 0.01%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132HLM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1750533 | PA      | $1621648.42   | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292SAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2717963 | PA      | $2513936.02   | 0.03%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132HNTY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213348 | PA      | $197418.38    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132HQBE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1563444 | PA      | $1446692.65   | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292SAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2404840 | PA      | $2222055.75   | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132HP4F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1174235 | PA      | $1083649.55   | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132HRH45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2297188 | PA      | $2127141.49   | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132HPN42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1531730 | PA      | $1458349.27   | 0.02%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GRKD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2127910 | PA      | $2040368.92   | 0.03%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GRKB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1805271 | PA      | $1729780.90   | 0.02%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GTYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1371117 | PA      | $1311089.95   | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312934SC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    731831 | PA      | $734107.55    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GEZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285687 | PA      | $286126.98    | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GRTL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165126 | PA      | $165425.72    | 0.00%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186174 | PA      | $187009.99    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128M6T73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127520 | PA      | $128232.21    | 0.00%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312942U78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    529931 | PA      | $530971.69    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312936FJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    851542 | PA      | $854114.31    | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312933RC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    630724 | PA      | $632706.68    | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132L5TQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177892 | PA      | $178625.08    | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GFVU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149664 | PA      | $149932.42    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312944Q95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140605 | PA      | $141029.04    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GDJ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353588 | PA      | $354336.65    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1132477 | PA      | $1131331.50   | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312938GE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310984 | PA      | $311924.57    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 312945RT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127737 | PA      | $128199.20    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132M3DF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397554 | PA      | $397333.85    | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJTN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1134761 | PA      | $1045310.33   | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31292SCB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    680146 | PA      | $644531.97    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132M9PA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    517576 | PA      | $492619.77    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132M9Y73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471832 | PA      | $446458.54    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132MAAK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57844 | PA      | $55271.05     | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1572784 | PA      | $1528152.55   | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QLTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174126 | PA      | $169012.02    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QLSJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393403 | PA      | $381977.25    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348137 | PA      | $338099.74    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132JNQ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    566309 | PA      | $551591.06    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132M92L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329949 | PA      | $321642.72    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132M75X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625165 | PA      | $608412.39    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QNE62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1171701 | PA      | $1137671.12   | 0.02%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJVL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397074 | PA      | $385749.31    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1378560 | PA      | $1305818.36   | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJVV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1898851 | PA      | $1798227.42   | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132M8F68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313950 | PA      | $305779.86    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132L6ST9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1276851 | PA      | $1241212.76   | 0.02%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348746 | PA      | $338797.86    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QRA26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873758 | PA      | $824911.76    | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJWQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1070239 | PA      | $1011732.53   | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJVP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125618 | PA      | $126054.74    | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1377790 | PA      | $1306394.12   | 0.02%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132MAVQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    970569 | PA      | $973943.74    | 0.01%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132GGHN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148603 | PA      | $148866.20    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QLEX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50211 | PA      | $50385.79     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2195086 | PA      | $2072825.06   | 0.03%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJYR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2790525 | PA      | $2431189.72   | 0.03%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJYF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628247 | PA      | $547347.79    | 0.01%             | 2046-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJSJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    949213 | PA      | $845605.20    | 0.01%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QRC40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628226 | PA      | $575880.07    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJVQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    458760 | PA      | $419432.55    | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795075 | PA      | $722202.47    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1228458 | PA      | $1120367.74   | 0.02%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WGQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1732188 | PA      | $1573423.92   | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3300486 | PA      | $3115750.26   | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822279 | PA      | $774519.49    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WGFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1508498 | PA      | $1420882.44   | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WEKW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4039349 | PA      | $3804737.15   | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WFFT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    662845 | PA      | $643109.12    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QREU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    604804 | PA      | $586148.88    | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1222053 | PA      | $1152601.90   | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379423 | PA      | $357385.56    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WJEB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379855 | PA      | $357436.71    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QQHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322733 | PA      | $312932.62    | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QVPU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128054 | PA      | $124401.82    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QWS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445862 | PA      | $432865.63    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QVPP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1318079 | PA      | $1280482.26   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    645936 | PA      | $627107.31    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WDGM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267898 | PA      | $260842.91    | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WECW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615068 | PA      | $596755.21    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QXA49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    719767 | PA      | $698786.85    | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJU81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2448003 | PA      | $2380634.41   | 0.03%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3213937 | PA      | $3118944.84   | 0.04%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJXY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509956 | PA      | $495410.42    | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WGUH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    836429 | PA      | $811525.06    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WJP54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485289 | PA      | $470233.21    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WJFB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1575772 | PA      | $1528855.14   | 0.02%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132WJLF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466810 | PA      | $452327.88    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QS4X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4267926 | PA      | $4143504.63   | 0.06%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJX54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3218 | PA      | $3123.89      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31335AWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3303 | PA      | $3204.36      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJ2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45616 | PA      | $44086.81     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132QVJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62328 | PA      | $60550.57     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3128MJ2D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2665265 | PA      | $2575914.48   | 0.04%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31378FZ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2436 | PA      | $2451.50      | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371GVF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       123 | PA      | $129.68       | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371GX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108 | PA      | $112.99       | 0.00%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31380LFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4104 | PA      | $4262.67      | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31379YRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7485 | PA      | $7774.32      | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371HDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6401 | PA      | $6465.45      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371HFM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6651 | PA      | $6720.07      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31378QD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3634 | PA      | $3671.71      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371JDS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1577 | PA      | $1651.13      | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371J3C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $50.19        | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371J3W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45 | PA      | $47.64        | 0.00%             | 2031-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31387JEM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29757 | PA      | $31275.50     | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31387JTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45313 | PA      | $47761.77     | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31388KPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15794 | PA      | $16639.03     | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31385H3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3953 | PA      | $4164.72      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31388XSQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2900 | PA      | $3011.86      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31389F6R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41112 | PA      | $43329.34     | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31385H6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        98 | PA      | $103.32       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371JSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1777 | PA      | $1867.41      | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31389NR23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37007 | PA      | $39058.13     | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31390FSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35821 | PA      | $38007.29     | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31390FE54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12640 | PA      | $13356.56     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31385WT33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $587.24       | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31401NXX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70089 | PA      | $70901.85     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31403NFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95380 | PA      | $98825.59     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31403YNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31927 | PA      | $32987.31     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31404EQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9544 | PA      | $9875.76      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405JZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16952 | PA      | $17546.89     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31404X3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126279 | PA      | $128475.46    | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405PAT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57539 | PA      | $59545.94     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405JA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57543 | PA      | $59581.54     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405PBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32478 | PA      | $33518.48     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405KFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42098 | PA      | $43613.78     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405NDX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64048 | PA      | $66310.16     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405NDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81469 | PA      | $84374.24     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405QRG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166928 | PA      | $175283.78    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31406GMH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76407 | PA      | $79212.58     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31405TP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12277 | PA      | $12604.62     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31406S6D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38392 | PA      | $40365.64     | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31406PRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1178 | PA      | $1209.17      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31407D4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48610 | PA      | $49548.87     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31407BTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68985 | PA      | $70296.69     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31407C6H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109244 | PA      | $113344.44    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31407JLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72452 | PA      | $75076.70     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31407JMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30871 | PA      | $32465.79     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31407G5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50811 | PA      | $53242.63     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31406UKE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52064 | PA      | $54033.35     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29582 | PA      | $31065.74     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31407XRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125827 | PA      | $132459.07    | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31409T5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19122 | PA      | $19813.72     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371MQC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16560 | PA      | $17166.90     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31408JCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $90.81        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31408W4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88225 | PA      | $92715.03     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31408BYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125970 | PA      | $132785.36    | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31410R5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101069 | PA      | $104734.45    | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31410MDY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121656 | PA      | $126156.29    | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31408ERU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30968 | PA      | $32120.64     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31409X3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35294 | PA      | $37612.02     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31412BWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15131 | PA      | $15903.41     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31411WGA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42622 | PA      | $43442.74     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31412XMY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80268 | PA      | $84801.21     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371NEU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39387 | PA      | $40159.16     | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31411WFV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        89 | PA      | $92.22        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31411X2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       209 | PA      | $217.02       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31413HJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6324 | PA      | $6557.79      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31414LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        98 | PA      | $101.44       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31411FHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2015 | PA      | $2092.69      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31412SGP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4782 | PA      | $4963.89      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31413DD61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3946 | PA      | $4097.57      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31413UR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4117 | PA      | $4275.35      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31413YTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70340 | PA      | $72970.22     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31414AW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43663 | PA      | $45364.49     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31414SYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14141 | PA      | $14413.53     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31414CU97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11199 | PA      | $11237.52     | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31414AHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12053 | PA      | $12698.61     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31368HMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93078 | PA      | $98971.86     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31416TDZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33797 | PA      | $33844.37     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31416TED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187569 | PA      | $187952.89    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31416TE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494763 | PA      | $496159.99    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31412UY79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631311 | PA      | $633559.96    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417YNE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224746 | PA      | $229188.14    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31416A4V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21432 | PA      | $21844.60     | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418RBS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15934 | PA      | $16234.40     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31416J5H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89072 | PA      | $89255.16     | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418X2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479531 | PA      | $480458.07    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418U3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556434 | PA      | $567424.97    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418XDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81699 | PA      | $81832.52     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31419ADT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        74 | PA      | $72.37        | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31419GRA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86026 | PA      | $84332.43     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31419E3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763172 | PA      | $749202.43    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31419E3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589820 | PA      | $578403.60    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31416WJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94844 | PA      | $95005.57     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138A4RP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218465 | PA      | $1194860.09   | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31412RHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108064 | PA      | $108227.05    | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417MTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67974 | PA      | $68108.78     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31419B5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72784 | PA      | $72860.58     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31416WSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740422 | PA      | $755067.87    | 0.01%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138A9AL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409419 | PA      | $417457.76    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417YXL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606898 | PA      | $618910.28    | 0.01%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31416YDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380664 | PA      | $388173.51    | 0.01%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138A8G83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39208 | PA      | $38429.20     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138AX4P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420536 | PA      | $402159.66    | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138E6EK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440777 | PA      | $421635.00    | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138E3AA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75564 | PA      | $72369.76     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138E57H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272510 | PA      | $260940.32    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418AF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406433 | PA      | $388550.91    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138EAMS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52319 | PA      | $48366.68     | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418AFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160810 | PA      | $149154.52    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138AT4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1084546 | PA      | $1037697.45   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138LX5Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357518 | PA      | $331493.98    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138LQPC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240485 | PA      | $222473.86    | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138LUDV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197788 | PA      | $183283.81    | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138M1K31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277004 | PA      | $259683.51    | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138LWEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197738 | PA      | $182716.08    | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138LWD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164226 | PA      | $152205.48    | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138M53S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268767 | PA      | $248679.41    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138LW6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303552 | PA      | $279825.00    | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418AHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104358 | PA      | $96496.08     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138MQWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304835 | PA      | $281305.54    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417DKR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1837978 | PA      | $1754437.67   | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138MPP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89057 | PA      | $84904.78     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417CNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1952834 | PA      | $1864905.46   | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138LWDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20494 | PA      | $19560.51     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417CCF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21623 | PA      | $20641.13     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138EKD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34567 | PA      | $33019.12     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417DK77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153938 | PA      | $146851.24    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138EKG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1974514 | PA      | $1975787.69   | 0.03%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1279448 | PA      | $1281623.86   | 0.02%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138X0C55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65954 | PA      | $65930.19     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31412PR60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129792 | PA      | $130028.98    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31417MZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160121 | PA      | $160365.32    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31419AG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547761 | PA      | $548592.34    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138XQ5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1557639 | PA      | $1514088.20   | 0.02%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138YBPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170655 | PA      | $165733.66    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138YEVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472496 | PA      | $459236.20    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138YEV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377931 | PA      | $367694.46    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138YENY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2591587 | PA      | $2450125.69   | 0.03%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138YTQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044036 | PA      | $987040.50    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138ELYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358149 | PA      | $358002.41    | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WBSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296238 | PA      | $295626.67    | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140EW5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3652025 | PA      | $3451813.70   | 0.05%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140E9JX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2044914 | PA      | $1937920.20   | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140F76S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3010230 | PA      | $2731062.21   | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140F8D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168176 | PA      | $1059839.29   | 0.01%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140E7FG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4515569 | PA      | $4096796.30   | 0.06%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WJBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1470747 | PA      | $1425259.16   | 0.02%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140EW6Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082117 | PA      | $1050001.29   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140E12T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3255749 | PA      | $3151979.95   | 0.04%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1017423 | PA      | $958466.61    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WJQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4322133 | PA      | $4183052.85   | 0.06%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FNJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2833906 | PA      | $2663490.91   | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FMLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1638210 | PA      | $1539697.46   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FRAX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1279459 | PA      | $1202519.90   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138ERU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593572 | PA      | $557878.05    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FP4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873008 | PA      | $820510.56    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140E4WF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535603 | PA      | $505439.75    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WE4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346431 | PA      | $327165.88    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140GS7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1216363 | PA      | $1140557.32   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WKRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544422 | PA      | $510492.15    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WKRC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552069 | PA      | $517662.95    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FQWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1434103 | PA      | $1347864.07   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FTRN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150409 | PA      | $1078713.63   | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FQY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623164 | PA      | $585690.13    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FUKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499416 | PA      | $468291.43    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WJBN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2551016 | PA      | $2472116.50   | 0.03%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2126533 | PA      | $2054780.98   | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418CCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    973939 | PA      | $916284.55    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140F4A22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664947 | PA      | $625584.35    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418CBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727574 | PA      | $684504.10    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FHSV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899684 | PA      | $845582.47    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WJZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1324266 | PA      | $1244631.70   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3138WKRK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2459503 | PA      | $2374210.23   | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2950530 | PA      | $2762959.03   | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140FFMG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003520 | PA      | $1001429.59   | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140GR3C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157755 | PA      | $156735.79    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140Q7HV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1560196 | PA      | $1552557.51   | 0.02%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140HFGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313800 | PA      | $311577.22    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140HFG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218867 | PA      | $1210233.52   | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140H7LL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2663672 | PA      | $2646469.13   | 0.04%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418CXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29166 | PA      | $28959.13     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94252 | PA      | $93702.54     | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1776521 | PA      | $1712137.96   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140JLP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    864088 | PA      | $857157.17    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1388549 | PA      | $1378279.71   | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140JSZQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488490 | PA      | $457282.77    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140JXKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37563 | PA      | $33868.26     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3133KHGV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3579835 | PA      | $3343308.93   | 0.05%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3133A4PK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10699750 | PA      | $9149845.00   | 0.13%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140X6R52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8916506 | PA      | $8053367.95   | 0.11%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QEBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11679152 | PA      | $10009275.02  | 0.14%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3133KGK23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4463974 | PA      | $4173215.83   | 0.06%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3133A9ZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5902584 | PA      | $5040191.45   | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3133A8LC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8119011 | PA      | $6932788.61   | 0.09%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140X8KN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10066418 | PA      | $8595670.91   | 0.12%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3133AB2K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10961377 | PA      | $9353021.88   | 0.13%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XAEY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9796648 | PA      | $8756466.74   | 0.12%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QGE94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3744642 | PA      | $3349386.79   | 0.05%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140KEHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4287330 | PA      | $3832113.15   | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XAYT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4166607 | PA      | $3890008.92   | 0.05%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XCZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24730761 | PA      | $21040207.20  | 0.29%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XDNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12986878 | PA      | $11660725.80  | 0.16%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XDWE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8005484 | PA      | $7177998.67   | 0.10%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QL3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4107401 | PA      | $3825748.90   | 0.05%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XD3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17700123 | PA      | $15743333.77  | 0.22%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140MBCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10085510 | PA      | $8665553.13   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XFJA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38665926 | PA      | $33222080.95  | 0.45%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XF4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19228438 | PA      | $17240894.21  | 0.24%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XHL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28214123 | PA      | $26953552.48  | 0.37%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140MWHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9700974 | PA      | $9547375.87   | 0.13%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140MUW63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9354073 | PA      | $9205967.43   | 0.13%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140MSU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21457781 | PA      | $21566332.12  | 0.29%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XHVJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16731998 | PA      | $16498447.96  | 0.23%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140MRAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11458284 | PA      | $10939181.65  | 0.15%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140MXZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17205485 | PA      | $17292523.67  | 0.24%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DNYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15426426 | PA      | $15591238.65  | 0.21%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XJBV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19523207 | PA      | $19311705.79  | 0.26%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DN3T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14490703 | PA      | $14545894.75  | 0.20%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3133BKB99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13512361 | PA      | $13306860.59  | 0.18%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DQCE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15697092 | PA      | $15780424.55  | 0.22%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DQFS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19509184 | PA      | $19612754.36  | 0.27%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DQFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17860640 | PA      | $18267762.61  | 0.25%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XMAX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13075924 | PA      | $13498019.74  | 0.18%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DQXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13928788 | PA      | $14275448.57  | 0.20%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QSUC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7537740 | PA      | $7771639.29   | 0.11%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QTH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13228904 | PA      | $13838753.83  | 0.19%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3142GQW65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12399088 | PA      | $12778993.63  | 0.17%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3142GQRA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7840272 | PA      | $8122760.24   | 0.11%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XN5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17006200 | PA      | $17424137.77  | 0.24%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QT2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20833062 | PA      | $21214840.11  | 0.29%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3142GRLL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13251896 | PA      | $13707626.18  | 0.19%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3142GRP20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19049688 | PA      | $19404738.13  | 0.27%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DSYJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20220543 | PA      | $21053358.09  | 0.29%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140ABBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11081586 | PA      | $11487786.22  | 0.16%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3142GRBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21257822 | PA      | $21988874.68  | 0.30%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XPXX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22774019 | PA      | $23497392.44  | 0.32%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3142GS6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15187200 | PA      | $15869528.49  | 0.22%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3142GTBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13767779 | PA      | $14153456.81  | 0.19%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QVP65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13081520 | PA      | $13478246.87  | 0.18%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QVWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26457769 | PA      | $27322953.51  | 0.37%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DUWS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22798352 | PA      | $23558120.74  | 0.32%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 3132DVG25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22301978 | PA      | $22989450.11  | 0.31%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140QVXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17766191 | PA      | $18058455.39  | 0.25%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140W1M67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14267662 | PA      | $14442387.66  | 0.20%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140XNG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17098272 | PA      | $16838236.70  | 0.23%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36202CNT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       210 | PA      | $209.97       | 0.00%             | 2026-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36206JAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1938 | PA      | $1963.91      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208HST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12424 | PA      | $12605.03     | 0.00%             | 2027-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36207NEN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1662 | PA      | $1678.63      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208UYA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3425 | PA      | $3481.88      | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36207FFF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       283 | PA      | $283.74       | 0.00%             | 2026-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36207MRY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       986 | PA      | $1000.49      | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36225ART9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       648 | PA      | $651.55       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36209HMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15782 | PA      | $16074.22     | 0.00%             | 2028-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36209AR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       883 | PA      | $896.83       | 0.00%             | 2028-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208VS22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5905 | PA      | $6009.77      | 0.00%             | 2028-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36207MT48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1680 | PA      | $1710.01      | 0.00%             | 2028-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208VSH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6623 | PA      | $6740.97      | 0.00%             | 2028-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36209NFE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2869 | PA      | $2895.25      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208PT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11486 | PA      | $11624.07     | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36209HJ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17364 | PA      | $17952.73     | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36202C4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       277 | PA      | $284.58       | 0.00%             | 2028-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208CFF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11725 | PA      | $11907.09     | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36207SQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1465 | PA      | $1466.45      | 0.00%             | 2027-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36209RLJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5171 | PA      | $5328.13      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208EXT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5995 | PA      | $6082.12      | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36212AXC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12171 | PA      | $12405.02     | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36207FD40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       472 | PA      | $472.76       | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36225A7H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3269 | PA      | $3319.32      | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208YLW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18114 | PA      | $18394.83     | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36208DB46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2060 | PA      | $2067.80      | 0.00%             | 2027-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36207BBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52196 | PA      | $53425.79     | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36225BHF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17909 | PA      | $18292.37     | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36225BKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2337 | PA      | $2431.69      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36225BKC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5342 | PA      | $5523.23      | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36211FQZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1549 | PA      | $1601.82      | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36200KKH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28832 | PA      | $29497.75     | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36212M7L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16799 | PA      | $17368.25     | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36202SWK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    266867 | PA      | $273368.52    | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36200MN33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26494 | PA      | $27566.84     | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36200MNC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12331 | PA      | $12843.97     | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36200MHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6160 | PA      | $6425.53      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36201F6T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38529 | PA      | $40132.35     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36295LKA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25032 | PA      | $26191.56     | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36294RB73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    216055 | PA      | $225656.07    | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36295FKM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    105821 | PA      | $108835.57    | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36241KLQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    112458 | PA      | $115627.83    | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36294SKJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25644 | PA      | $26390.61     | 0.00%             | 2037-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 3620AECZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    198345 | PA      | $193241.48    | 0.00%             | 2040-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 3620C0YW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    350295 | PA      | $340880.25    | 0.00%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 3620C0YX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    160546 | PA      | $156467.32    | 0.00%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 3620A7ZP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    406532 | PA      | $406933.07    | 0.01%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31383R6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29127 | PA      | $29819.46     | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31371JL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57 | PA      | $59.54        | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31383WPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21929 | PA      | $23118.12     | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 31389MUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88513 | PA      | $89686.77     | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3617U7V89<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  36467985 | PA      | $30433517.45  | 0.42%             | 2064-08-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618FUEJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3545184 | PA      | $3859773.88   | 0.05%             | 2065-08-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618G92C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15145107 | PA      | $16408934.97  | 0.22%             | 2066-02-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618G92E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5048738 | PA      | $5481386.29   | 0.07%             | 2066-03-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3617FTE53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16836000 | PA      | $18475169.80  | 0.25%             | 2065-08-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618G92G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1540990 | PA      | $1744371.45   | 0.02%             | 2065-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618F8Z62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20897592 | PA      | $21671262.65  | 0.30%             | 2065-08-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618F82D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16024523 | PA      | $17419902.12  | 0.24%             | 2066-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618JUCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15485241 | PA      | $15878710.82  | 0.22%             | 2066-12-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3617FR7H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19281220 | PA      | $19238315.20  | 0.26%             | 2067-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618F82S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    940217 | PA      | $2378203.01   | 0.03%             | 2067-04-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618LFYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13300923 | PA      | $20448427.25  | 0.28%             | 2057-12-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618KRFV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  28798093 | PA      | $22845597.76  | 0.31%             | 2068-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: 3618JS5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1607164 | PA      | $1612553.00   | 0.02%             | 2068-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY CONSTRUCTION MBS  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $138159.07    | 0.00%             | 2067-09-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |  13670000 | PA      | $13685624.81  | 0.19%             | 2037-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36184QBX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2350636 | PA      | $2351771.05   | 0.03%             | 2055-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36193CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3537692 | PA      | $3537047.76   | 0.05%             | 2051-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617A45T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10554076 | PA      | $10538603.86  | 0.14%             | 2035-11-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36180CVN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  34402766 | PA      | $34366539.50  | 0.47%             | 2039-08-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36193DFR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  26830099 | PA      | $26615914.67  | 0.36%             | 2057-12-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36186PSX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12800774 | PA      | $12746870.44  | 0.17%             | 2057-06-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36189YXT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13842827 | PA      | $13752489.13  | 0.19%             | 2042-04-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36197CYB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  56089023 | PA      | $54691284.67  | 0.75%             | 2060-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36196BLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9685749 | PA      | $9568958.29   | 0.13%             | 2058-10-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617MRWR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  28157123 | PA      | $26869976.11  | 0.37%             | 2056-01-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617G0RF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14768660 | PA      | $14633571.53  | 0.20%             | 2059-08-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617G0QU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15933843 | PA      | $15440148.61  | 0.21%             | 2059-09-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617ATJK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13413419 | PA      | $13113964.84  | 0.18%             | 2059-02-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617MRW26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25520756 | PA      | $23345622.23  | 0.32%             | 2060-09-15      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617QRG87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22448348 | PA      | $20979216.02  | 0.29%             | 2057-04-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617QCSM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9966352 | PA      | $9330349.29   | 0.13%             | 2058-08-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617HVYX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6374887 | PA      | $6143262.09   | 0.08%             | 2060-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617GCDB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22058176 | PA      | $20506317.41  | 0.28%             | 2046-04-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617URRH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  32627463 | PA      | $30728969.27  | 0.42%             | 2059-08-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617JMZP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10729254 | PA      | $10451913.06  | 0.14%             | 2060-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617AU3D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6796820 | PA      | $6837669.05   | 0.09%             | 2061-01-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617AU3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7443171 | PA      | $7487904.70   | 0.10%             | 2061-01-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617W6V97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  48771038 | PA      | $43430902.38  | 0.59%             | 2056-11-15      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617W9QW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  44581078 | PA      | $41075980.29  | 0.56%             | 2059-11-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617XJD31<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  49174504 | PA      | $46454367.34  | 0.63%             | 2061-05-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 36197JZS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18925842 | PA      | $18897661.21  | 0.26%             | 2034-02-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617JMZM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  32346624 | PA      | $31147049.88  | 0.43%             | 2061-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617H4UZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  37549377 | PA      | $36502500.12  | 0.50%             | 2060-08-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617H3KC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2187475 | PA      | $2195170.32   | 0.03%             | 2060-12-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617JMZW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  39731160 | PA      | $37575347.31  | 0.51%             | 2061-09-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618AGQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23497024 | PA      | $22895711.20  | 0.31%             | 2057-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617JMZU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50428401 | PA      | $47674052.45  | 0.65%             | 2061-11-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617NM4P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  33584411 | PA      | $30529102.41  | 0.42%             | 2062-03-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617VBM55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6066619 | PA      | $5459301.88   | 0.07%             | 2062-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617VBMZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27470787 | PA      | $23957658.36  | 0.33%             | 2063-05-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617QLXN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13958077 | PA      | $12410503.49  | 0.17%             | 2062-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617V3VM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14248889 | PA      | $12763755.73  | 0.17%             | 2063-06-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617W6VR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4890811 | PA      | $4322097.80   | 0.06%             | 2063-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618ACYJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20105046 | PA      | $21476532.12  | 0.29%             | 2058-12-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618BKVN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6409506 | PA      | $6813798.20   | 0.09%             | 2058-10-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618BNEG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5458431 | PA      | $5845040.56   | 0.08%             | 2058-11-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618FJBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16091440 | PA      | $17063024.92  | 0.23%             | 2058-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618FTCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12684722 | PA      | $13404808.44  | 0.18%             | 2058-10-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618ABSC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5890751 | PA      | $6246428.37   | 0.09%             | 2058-12-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617YXDJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2225176 | PA      | $2355451.12   | 0.03%             | 2058-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617YXCT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10903180 | PA      | $10524185.83  | 0.14%             | 2063-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617YPFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15066466 | PA      | $14459513.70  | 0.20%             | 2064-02-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617YXDL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10638814 | PA      | $10945797.49  | 0.15%             | 2064-07-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618ABXJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  39395768 | PA      | $41131033.32  | 0.56%             | 2059-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618HJ3S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10893165 | PA      | $11553334.79  | 0.16%             | 2059-08-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617V84Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 102137329 | PA      | $100471264.65 | 1.37%             | 2063-12-15      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617F2DM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  49005170 | PA      | $40870900.00  | 0.56%             | 2065-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618KUZ83<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  31988338 | PA      | $33872835.00  | 0.46%             | 2060-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617FTE46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17472058 | PA      | $19099771.98  | 0.26%             | 2065-04-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Federal Housing Administration                | MF CONSTRUCTION RISK-SHARE PC | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $696539.00    | 0.01%             | 2068-03-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   1732555 | PA      | $1649377.06   | 0.02%             | 2038-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   1464506 | PA      | $1467046.83   | 0.02%             | 2044-06-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   3010296 | PA      | $3015398.53   | 0.04%             | 2050-01-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   1844046 | PA      | $1883368.69   | 0.03%             | 2053-01-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |  57105000 | PA      | $56565928.80  | 0.77%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   6312048 | PA      | $6299903.64   | 0.09%             | 2037-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   6986048 | PA      | $6971021.31   | 0.10%             | 2050-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   4283635 | PA      | $3999968.75   | 0.05%             | 2062-02-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   2996412 | PA      | $2821564.99   | 0.04%             | 2062-09-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |   5487779 | PA      | $4684587.26   | 0.06%             | 2063-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOUSING ADMINISTRATION                | MF PERMANENT RISK-SHARE PC    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |  20771160 | PA      | $19811615.86  | 0.27%             | 2060-12-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 31377TT48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119910 | PA      | $120211.69    | 0.00%             | 2029-01-01      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 31381RK78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3830556 | PA      | $3841730.55   | 0.05%             | 2041-06-01      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 31381RK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861868 | PA      | $1871441.45   | 0.03%             | 2041-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 31381SN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427559 | PA      | $429779.21    | 0.01%             | 2035-06-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 31381U2P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2200407 | PA      | $2255423.37   | 0.03%             | 2029-08-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138L7T48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9587867 | PA      | $9381795.16   | 0.13%             | 2029-10-01      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138L9FR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23444503 | PA      | $22549436.28  | 0.31%             | 2030-04-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138L9JU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4660204 | PA      | $4286900.42   | 0.06%             | 2035-04-01      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138L9J29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23686252 | PA      | $22776550.22  | 0.31%             | 2030-04-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138L9LM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11703342 | PA      | $11208116.66  | 0.15%             | 2030-04-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138L9XT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5884673 | PA      | $5653607.45   | 0.08%             | 2030-05-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138L92T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7376348 | PA      | $6983789.56   | 0.10%             | 2035-05-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138L9XB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3309950 | PA      | $3272651.22   | 0.04%             | 2027-06-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LAPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20087136 | PA      | $18628890.17  | 0.25%             | 2035-07-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LCBV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14017644 | PA      | $13898237.12  | 0.19%             | 2027-10-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LD6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $23484625.00  | 0.32%             | 2031-06-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LGKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13924857 | PA      | $13744089.11  | 0.19%             | 2026-12-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LJCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26156054 | PA      | $25831082.86  | 0.35%             | 2027-06-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LKHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5948041 | PA      | $5872324.57   | 0.08%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HT3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16910959 | PA      | $16921239.17  | 0.23%             | 2029-05-01      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HUEF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40148600 | PA      | $40175940.74  | 0.55%             | 2029-06-01      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140JAWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3404906 | PA      | $3333178.48   | 0.05%             | 2029-05-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HVJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13334619 | PA      | $13197495.21  | 0.18%             | 2026-09-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HU4N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36734885 | PA      | $35134842.24  | 0.48%             | 2029-08-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LM4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11395210 | PA      | $11283990.90  | 0.15%             | 2028-07-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HVDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8549960 | PA      | $7974357.82   | 0.11%             | 2031-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HVQ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $17640048.00  | 0.24%             | 2034-09-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HWBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9428935 | PA      | $9322628.98   | 0.13%             | 2026-11-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HWJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11975000 | PA      | $10837935.43  | 0.15%             | 2031-11-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HWZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20550000 | PA      | $19238823.69  | 0.26%             | 2030-01-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HXPN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11130392 | PA      | $10421650.00  | 0.14%             | 2030-03-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0FZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6876270 | PA      | $6179209.23   | 0.08%             | 2030-07-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0GW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3018669 | PA      | $2705257.98   | 0.04%             | 2030-07-01      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0K74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1159454 | PA      | $1049699.17   | 0.01%             | 2030-07-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0K66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3025000 | PA      | $2698426.14   | 0.04%             | 2030-07-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0MQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25387569 | PA      | $22529019.85  | 0.31%             | 2030-07-01      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0PH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8392000 | PA      | $5242451.35   | 0.07%             | 2050-07-01      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0PT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10500000 | PA      | $9344334.30   | 0.13%             | 2030-07-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0R51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20852011 | PA      | $18547292.35  | 0.25%             | 2030-08-01      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0TU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4199817 | PA      | $3725358.16   | 0.05%             | 2030-08-01      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J0UK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070107 | PA      | $960724.36    | 0.01%             | 2030-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J1DZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14200000 | PA      | $8495675.40   | 0.12%             | 2050-09-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140J3CK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12400000 | PA      | $10825775.36  | 0.15%             | 2030-12-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LAG90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21051975 | PA      | $18586132.32  | 0.25%             | 2031-01-01      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LBL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23926529 | PA      | $21017010.65  | 0.29%             | 2031-01-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LDCF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23623000 | PA      | $20626016.13  | 0.28%             | 2031-08-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LC5T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3504742 | PA      | $2609814.97   | 0.04%             | 2051-04-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LDA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  57950000 | PA      | $49856082.94  | 0.68%             | 2031-10-01      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LCMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9697195 | PA      | $9043859.09   | 0.12%             | 2028-08-01      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LBY23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $16171063.20  | 0.22%             | 2031-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LD2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17474959 | PA      | $15351849.54  | 0.21%             | 2036-12-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LD5B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25400000 | PA      | $22235406.38  | 0.30%             | 2031-11-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LECX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40943000 | PA      | $40621531.94  | 0.55%             | 2031-11-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LEMT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12601473 | PA      | $9459760.69   | 0.13%             | 2051-12-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LEGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11827355 | PA      | $8972688.16   | 0.12%             | 2051-12-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LFJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25155000 | PA      | $18878681.60  | 0.26%             | 2042-03-01      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LFH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $19737074.00  | 0.27%             | 2029-02-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LFRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6104543 | PA      | $4860541.23   | 0.07%             | 2052-05-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LFZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7025004 | PA      | $5569063.00   | 0.08%             | 2052-04-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LGKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28526000 | PA      | $28206782.65  | 0.39%             | 2032-05-01      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LGP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  63761248 | PA      | $63486054.35  | 0.87%             | 2029-06-01      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140Q1C24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9347671 | PA      | $8941186.27   | 0.12%             | 2041-11-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LGSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30975000 | PA      | $31096106.06  | 0.42%             | 2032-06-01      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LHUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11914686 | PA      | $11317005.22  | 0.15%             | 2052-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LHXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15800000 | PA      | $15817209.36  | 0.22%             | 2032-11-01      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LJPC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29835000 | PA      | $29780330.35  | 0.41%             | 2028-02-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LJT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41708000 | PA      | $41629084.29  | 0.57%             | 2028-03-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LKZK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21805000 | PA      | $21840544.33  | 0.30%             | 2033-06-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LKWM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10632000 | PA      | $10620805.57  | 0.15%             | 2030-06-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LKYK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20915000 | PA      | $21255121.82  | 0.29%             | 2030-08-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LJHF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27805000 | PA      | $28982847.61  | 0.40%             | 2032-12-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LJDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11692311 | PA      | $12402471.85  | 0.17%             | 2032-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LK3C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10699000 | PA      | $10903512.45  | 0.15%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLEH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11665000 | PA      | $12047312.21  | 0.16%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LJHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19000000 | PA      | $19804859.00  | 0.27%             | 2032-12-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11361000 | PA      | $11467951.32  | 0.16%             | 2033-09-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14584000 | PA      | $15041088.81  | 0.21%             | 2028-09-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLPH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13405000 | PA      | $13724726.68  | 0.19%             | 2033-09-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLQA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7757000 | PA      | $7978834.69   | 0.11%             | 2030-09-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LK4N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4837415 | PA      | $4981984.23   | 0.07%             | 2030-07-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLJ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3465000 | PA      | $3597447.20   | 0.05%             | 2033-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLQ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15366000 | PA      | $15988840.83  | 0.22%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLTX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3748000 | PA      | $3953879.89   | 0.05%             | 2033-09-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14596000 | PA      | $15177075.52  | 0.21%             | 2030-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLYD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8020000 | PA      | $8372119.70   | 0.11%             | 2030-10-01      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LL2E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3860000 | PA      | $4123438.82   | 0.06%             | 2033-10-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LL5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6140000 | PA      | $6576258.05   | 0.09%             | 2033-11-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUEZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5222000 | PA      | $5436311.92   | 0.07%             | 2033-12-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LMC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6609000 | PA      | $7261878.66   | 0.10%             | 2035-12-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HW6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3531827 | PA      | $3527862.97   | 0.05%             | 2028-01-01      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11175000 | PA      | $11512900.71  | 0.16%             | 2034-02-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NULQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2801000 | PA      | $2884123.04   | 0.04%             | 2034-01-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUM22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3815000 | PA      | $3813385.11   | 0.05%             | 2034-01-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NURB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7430000 | PA      | $7529845.83   | 0.10%             | 2034-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LMBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6434551 | PA      | $6678540.44   | 0.09%             | 2028-11-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUAX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10500000 | PA      | $10947674.85  | 0.15%             | 2029-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LMCG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18367000 | PA      | $19042721.93  | 0.26%             | 2028-11-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LMCF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15979000 | PA      | $16566867.41  | 0.23%             | 2028-11-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LMCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9807468 | PA      | $10147594.49  | 0.14%             | 2028-11-01      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36000000 | PA      | $37122735.60  | 0.51%             | 2029-01-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4651795 | PA      | $4851555.31   | 0.07%             | 2029-05-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: N/A<br>LEI: B1V7KEBTPIMZEU4LTD58       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $1096862.10   | 0.01%             | 2043-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7910000 | PA      | $8414545.68   | 0.11%             | 2034-05-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVGK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3633676 | PA      | $3832550.99   | 0.05%             | 2034-06-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20041000 | PA      | $20868144.18  | 0.29%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVJA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  68500000 | PA      | $70701254.35  | 0.97%             | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: N/A<br>LEI: B1V7KEBTPIMZEU4LTD58       | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $75880.54     | 0.00%             | 2044-07-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NU3A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22230000 | PA      | $22945823.78  | 0.31%             | 2029-04-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16998000 | PA      | $17621173.88  | 0.24%             | 2028-12-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVG27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9129000 | PA      | $9429419.87   | 0.13%             | 2029-06-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVD46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9620000 | PA      | $9886855.91   | 0.14%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12750000 | PA      | $13093729.80  | 0.18%             | 2029-08-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NU6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55600000 | PA      | $56959725.80  | 0.78%             | 2029-06-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NWHH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12935775 | PA      | $12617552.29  | 0.17%             | 2034-10-01      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LMAZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17542000 | PA      | $18450835.23  | 0.25%             | 2030-11-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13422000 | PA      | $13737254.59  | 0.19%             | 2028-09-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NWXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6172000 | PA      | $6419608.91   | 0.09%             | 2029-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LJ6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7282964 | PA      | $7411214.33   | 0.10%             | 2040-04-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7273900 | PA      | $7653611.40   | 0.10%             | 2035-02-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NWRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17455734 | PA      | $18183695.91  | 0.25%             | 2035-02-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXM75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27957060 | PA      | $29354113.51  | 0.40%             | 2035-02-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NX3W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15555000 | PA      | $16085657.27  | 0.22%             | 2032-04-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140JCQX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47214167 | PA      | $49097186.09  | 0.67%             | 2035-02-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11037000 | PA      | $11304055.67  | 0.15%             | 2035-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXR39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8566000 | PA      | $8863978.59   | 0.12%             | 2030-02-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15134000 | PA      | $15621449.49  | 0.21%             | 2032-07-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYZP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11271911 | PA      | $11518800.65  | 0.16%             | 2032-07-01      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19397000 | PA      | $19905028.77  | 0.27%             | 2030-06-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35232000 | PA      | $35818133.64  | 0.49%             | 2030-07-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVGL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7869000 | PA      | $8242749.17   | 0.11%             | 2034-06-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVNV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8324000 | PA      | $8689509.34   | 0.12%             | 2034-07-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXNC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11113000 | PA      | $11486673.51  | 0.16%             | 2030-02-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXV34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7613000 | PA      | $7843576.45   | 0.11%             | 2032-03-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140Q0H39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22694000 | PA      | $23540245.64  | 0.32%             | 2032-08-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4560000 | PA      | $4724750.52   | 0.06%             | 2032-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXLX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $7897990.87   | 0.11%             | 2032-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140Q0KB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21800000 | PA      | $22044441.22  | 0.30%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NY2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11760000 | PA      | $11926498.08  | 0.16%             | 2030-07-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVSB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8069000 | PA      | $8291021.76   | 0.11%             | 2029-07-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7722000 | PA      | $8001529.45   | 0.11%             | 2030-03-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYM99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6410000 | PA      | $6631314.87   | 0.09%             | 2032-06-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6041256 | PA      | $6219009.90   | 0.08%             | 2040-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NULU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5340651 | PA      | $5324791.98   | 0.07%             | 2040-01-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYCZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10493000 | PA      | $10611331.66  | 0.14%             | 2035-04-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYPQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8537000 | PA      | $8769723.74   | 0.12%             | 2035-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYBL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6655000 | PA      | $6900084.35   | 0.09%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NY2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13750000 | PA      | $14244973.88  | 0.19%             | 2035-07-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NWY82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10415348 | PA      | $10780788.88  | 0.15%             | 2034-12-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140Q0B92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4634000 | PA      | $4759590.20   | 0.07%             | 2035-08-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NY2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4005000 | PA      | $4113535.50   | 0.06%             | 2035-08-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NXMM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7377000 | PA      | $7636349.50   | 0.10%             | 2035-02-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYUF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11800000 | PA      | $12224892.04  | 0.17%             | 2035-06-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4250000 | PA      | $4390040.90   | 0.06%             | 2034-02-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NVR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16100000 | PA      | $16412269.16  | 0.22%             | 2029-07-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: N/A<br>LEI: B1V7KEBTPIMZEU4LTD58       | Long             | ABS-MBS          | USGSE             | US        |  13690000 | PA      | $13975272.22  | 0.19%             | 2044-01-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140Q0NA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $15370740.00  | 0.21%             | 2032-10-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140Q0JR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6124000 | PA      | $6334697.44   | 0.09%             | 2032-09-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NYPL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18427000 | PA      | $18912995.54  | 0.26%             | 2032-07-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: N/A<br>LEI: B1V7KEBTPIMZEU4LTD58       | Long             | ABS-MBS          | USGSE             | US        |  75000000 | PA      | $75715200.00  | 1.03%             | 2036-01-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132WWYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23213044 | PA      | $22681129.16  | 0.31%             | 2030-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132XEAS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8931008 | PA      | $8676511.28   | 0.12%             | 2029-12-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132XHKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7256360 | PA      | $6660296.39   | 0.09%             | 2031-06-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132XHK29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11471365 | PA      | $10539726.51  | 0.14%             | 2031-06-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132WWAQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18886084 | PA      | $13538577.81  | 0.18%             | 2050-05-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132V8AN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3804454 | PA      | $3795112.37   | 0.05%             | 2027-07-01      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132YBY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17376093 | PA      | $16664006.53  | 0.23%             | 2040-05-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132XGR73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10207000 | PA      | $10327564.06  | 0.14%             | 2032-12-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132XFLQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  93650000 | PA      | $94156908.72  | 1.29%             | 2028-01-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132XGTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9198000 | PA      | $9288572.71   | 0.13%             | 2029-12-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132WWZH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9744526 | PA      | $9798294.35   | 0.13%             | 2039-01-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132XG2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5045000 | PA      | $5173659.61   | 0.07%             | 2029-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132XEF48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  60000000 | PA      | $57907098.00  | 0.79%             | 2055-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3142ACFD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18583391 | PA      | $17819161.70  | 0.24%             | 2055-08-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3142FDAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $40002704.00  | 0.55%             | 2040-06-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137FBTQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28638306 | PA      | $27162176.48  | 0.37%             | 2033-10-25      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F72K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    573727 | PA      | $572357.68    | 0.01%             | 2030-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F72L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1012460 | PA      | $1007285.62   | 0.01%             | 2030-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F84N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8016505 | PA      | $7978807.85   | 0.11%             | 2030-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F84M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4028561 | PA      | $4010262.17   | 0.05%             | 2030-11-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F8ZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4943451 | PA      | $4868591.33   | 0.07%             | 2030-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F9ZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7725041 | PA      | $7681614.33   | 0.10%             | 2027-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137FXZ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20491360 | PA      | $20308961.81  | 0.28%             | 2031-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137H1LV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13482514 | PA      | $13384857.26  | 0.18%             | 2031-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137H2NB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11633437 | PA      | $11539396.75  | 0.16%             | 2031-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HADA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20668089 | PA      | $20702813.37  | 0.28%             | 2033-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HAAD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35155268 | PA      | $35396618.99  | 0.48%             | 2033-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HKPU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $19981966.00  | 0.27%             | 2035-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HMCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32500000 | PA      | $32783933.00  | 0.45%             | 2030-07-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HC2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4847000 | PA      | $5034924.49   | 0.07%             | 2029-01-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HBPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26785000 | PA      | $27803842.47  | 0.38%             | 2029-01-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HBPM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9971000 | PA      | $10375036.89  | 0.14%             | 2029-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HC2C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47428000 | PA      | $49233536.53  | 0.67%             | 2029-01-25      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HNWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $24826845.00  | 0.34%             | 2030-12-25      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HPET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $24883080.00  | 0.34%             | 2032-10-25      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HPF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $24757267.50  | 0.34%             | 2035-10-25      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HJZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13144000 | PA      | $13526503.54  | 0.18%             | 2030-01-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1226385 | PA      | $1172711.59   | 0.02%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3136AY2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19870383 | PA      | $19617940.02  | 0.27%             | 2027-09-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE SECURITIES                      | MF PERMANENT RISK-SHARE PC    | CUSIP: 12647RAA2<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          |  | US        |   4312658 | PA      | $3920450.36   | 0.05%             | 2053-05-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378BF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18516009 | PA      | $17250865.49  | 0.24%             | 2053-01-16      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378BA82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2945546 | PA      | $2816057.36   | 0.04%             | 2051-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378BWB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    144016 | PA      | $142616.43    | 0.00%             | 2050-04-16      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378NST1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4734474 | PA      | $4691519.77   | 0.06%             | 2045-12-16      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378NPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5962654 | PA      | $5897166.62   | 0.08%             | 2044-03-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378N3R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    768545 | PA      | $765843.60    | 0.01%             | 2054-01-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378XDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15346243 | PA      | $14928493.76  | 0.20%             | 2054-09-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378XDY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6417451 | PA      | $5957766.94   | 0.08%             | 2055-05-16      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378XC74<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11545000 | PA      | $10814323.88  | 0.15%             | 2054-05-16      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378BAN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1877708 | PA      | $1829758.55   | 0.02%             | 2052-09-16      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379KKK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2280306 | PA      | $2189571.00   | 0.03%             | 2048-12-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379KCE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1939948 | PA      | $1834563.74   | 0.03%             | 2047-08-16      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379K3U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1235826 | PA      | $1221197.75   | 0.02%             | 2048-05-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379KQ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4176495 | PA      | $3700552.67   | 0.05%             | 2052-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379KLA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1827643 | PA      | $1771142.67   | 0.02%             | 2049-04-16      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379K3N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    825562 | PA      | $804597.19    | 0.01%             | 2056-04-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379RCD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    105250 | PA      | $104714.78    | 0.00%             | 2056-05-16      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379RCE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    506359 | PA      | $496384.97    | 0.01%             | 2056-06-16      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379UED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1831992 | PA      | $1777898.08   | 0.02%             | 2056-11-16      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379UGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    831768 | PA      | $817376.31    | 0.01%             | 2056-10-16      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379RGT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2338515 | PA      | $2150026.47   | 0.03%             | 2057-03-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380JEK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15029864 | PA      | $12796009.72  | 0.17%             | 2058-09-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380JER5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  60000000 | PA      | $46800810.00  | 0.64%             | 2053-02-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380MYK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27683441 | PA      | $26915684.92  | 0.37%             | 2059-04-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380MY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2540591 | PA      | $2498205.79   | 0.03%             | 2059-12-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380NCY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2836068 | PA      | $2741081.91   | 0.04%             | 2058-07-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380NWP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6239444 | PA      | $5894834.16   | 0.08%             | 2059-06-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380PRT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  55788491 | PA      | $49518746.10  | 0.68%             | 2062-05-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380RJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24645815 | PA      | $19802777.07  | 0.27%             | 2062-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380RPH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19432087 | PA      | $15438274.43  | 0.21%             | 2062-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380RNF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16060886 | PA      | $12860160.00  | 0.18%             | 2063-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380RTN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20698270 | PA      | $16751877.92  | 0.23%             | 2063-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380RUU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50601977 | PA      | $39813038.64  | 0.54%             | 2062-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380RYJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  33879077 | PA      | $26969012.68  | 0.37%             | 2062-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380RG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  46436120 | PA      | $36854634.69  | 0.50%             | 2063-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380NH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15012245 | PA      | $13067201.34  | 0.18%             | 2060-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380R2Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24719937 | PA      | $19587546.99  | 0.27%             | 2062-12-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380N5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15388517 | PA      | $12831761.32  | 0.18%             | 2061-02-16      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380NM55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11365458 | PA      | $9855133.38   | 0.13%             | 2061-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380RT26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25851278 | PA      | $20451090.60  | 0.28%             | 2062-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381DLG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  49061458 | PA      | $38721432.31  | 0.53%             | 2063-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38380N2L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8982074 | PA      | $7720133.25   | 0.11%             | 2061-01-16      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381DTM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13610532 | PA      | $10964030.36  | 0.15%             | 2062-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381DWJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24991913 | PA      | $19934039.28  | 0.27%             | 2063-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381DC65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17426154 | PA      | $14028249.37  | 0.19%             | 2063-11-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381DL32<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23400285 | PA      | $18607019.91  | 0.25%             | 2063-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381DZ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  32078298 | PA      | $25476250.97  | 0.35%             | 2064-03-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38379UZS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15273954 | PA      | $12812670.65  | 0.18%             | 2057-12-16      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381EAR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  39746647 | PA      | $31738119.25  | 0.43%             | 2063-07-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381EQP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40457919 | PA      | $32184934.12  | 0.44%             | 2063-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381EPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  36068233 | PA      | $28326774.36  | 0.39%             | 2064-03-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38381EWY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23024648 | PA      | $18270057.85  | 0.25%             | 2064-03-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS     | CUSIP: N/A<br>LEI: 549300NLJBK1VP6K2K81       | Long             | ABS-MBS          | MUN               | US        |   9135000 | PA      | $7021203.93   | 0.10%             | 2058-12-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS     | CUSIP: 64972CM67<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |  19230526 | PA      | $15736604.78  | 0.21%             | 2046-10-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Chicago Housing Authority                     | MULTIFAMILY REVENUE BONDS     | CUSIP: 16753QBH9<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |  25000000 | PA      | $23047105.00  | 0.31%             | 2038-01-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS     | CUSIP: 64972EUS6<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |  13000000 | PA      | $9168542.50   | 0.13%             | 2046-11-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| New York City Housing Development Corporation | MULTIFAMILY REVENUE BONDS     | CUSIP: 64972EUR8<br>LEI: 549300SQWVHKBRF8D702 | Long             | ABS-MBS          | MUN               | US        |   6275000 | PA      | $4777070.91   | 0.07%             | 2041-11-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS     | CUSIP: 57587GRD9<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  53425000 | PA      | $53955814.77  | 0.74%             | 2066-06-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS     | CUSIP: 57587GUS2<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  26645000 | PA      | $26975536.55  | 0.37%             | 2066-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS     | CUSIP: 57587GVY8<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  30060000 | PA      | $28940063.60  | 0.40%             | 2065-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: 45202BRH1<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |   5615000 | PA      | $5650677.15   | 0.08%             | 2026-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: 45202BRJ7<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |  13320000 | PA      | $13474109.74  | 0.18%             | 2066-07-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS     | CUSIP: 57586VCL5<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  35415000 | PA      | $34970651.54  | 0.48%             | 2067-12-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: 45202BSK3<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |   2370000 | PA      | $2370000.00   | 0.03%             | 2026-09-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: 45202BSL1<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |  21400000 | PA      | $21292563.44  | 0.29%             | 2067-01-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: 45202BSM9<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |  16390000 | PA      | $16613338.34  | 0.23%             | 2042-07-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS     | CUSIP: 57586VDX8<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  24600000 | PA      | $24124349.16  | 0.33%             | 2067-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| City of Chicago                               | MULTIFAMILY REVENUE BONDS     | CUSIP: 167570PB0<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | ABS-MBS          | MUN               | US        |   1500000 | PA      | $1500779.10   | 0.02%             | 2037-09-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| City of Chicago                               | MULTIFAMILY REVENUE BONDS     | CUSIP: 167570PC8<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | ABS-MBS          | MUN               | US        |   1000000 | PA      | $1000116.40   | 0.01%             | 2044-03-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: 45202BUF1<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |   1140000 | PA      | $1141255.60   | 0.02%             | 2027-06-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: 45202BUG9<br>LEI: 54930053Z6M9JVHBQZ16 | Long             | ABS-MBS          | MUN               | US        |  14470000 | PA      | $14452230.84  | 0.20%             | 2066-01-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MULTIFAMILY REVENUE BONDS     | CUSIP: 57586VFL2<br>LEI: 549300NLJBK1VP6K2K81 | Long             | ABS-MBS          | MUN               | US        |  20095000 | PA      | $19887657.78  | 0.27%             | 2068-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: N/A<br>LEI: 54930053Z6M9JVHBQZ16       | Long             | ABS-MBS          | MUN               | US        |    827036 | PA      | $823483.78    | 0.01%             | 2048-11-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $13765021.50  | 0.19%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 105000000 | PA      | $94591686.00  | 1.29%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $15960880.80  | 0.22%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10012499.00  | 0.14%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55000000 | PA      | $54077562.00  | 0.74%             | 2044-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 115000000 | PA      | $105674661.50 | 1.44%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  93000000 | PA      | $87885148.80  | 1.20%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55600000 | PA      | $54548481.68  | 0.75%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $61678032.00  | 0.84%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29348439.00  | 0.40%             | 2045-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| 311 W 42nd Street                             | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  48775329 | PA      | $48756328.56  | 0.67%             | 2027-11-19      | Floating      | 6.17%                 | No            |                  3 | On Loan: No      |
| Hudson Exchange                               | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  37603537 | PA      | $37601887.17  | 0.51%             | 2027-06-14      | Floating      | 6.50%                 | No            |                  3 | On Loan: No      |
| Landmark Towers                               | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  18207504 | PA      | $18239133.07  | 0.25%             | 2027-06-12      | Floating      | 6.05%                 | No            |                  3 | On Loan: No      |
| 400 Lake Shore Drive                          | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9822 | PA      | $128268.25    | 0.00%             | 2058-12-01      | Floating      | 5.97%                 | No            |                  3 | On Loan: No      |
| 400 Lake Shore Drive                          | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  13886147 | PA      | $13933526.03  | 0.19%             | 2053-12-01      | Floating      | 5.97%                 | No            |                  3 | On Loan: No      |
| Olson Court                                   | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  16991689 | PA      | $17352951.77  | 0.24%             | 2027-05-10      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| Olson Court                                   | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         0 | PA      | $29176.72     | 0.00%             | 2027-05-10      | Fixed         | 6.52%                 | No            |                  3 | On Loan: No      |
| Union Tower                                   | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         0 | PA      | $-33164.39    | 0.00%             | 2027-06-25      | Floating      | 5.70%                 | No            |                  3 | On Loan: No      |
| Carville Park Apartments                      | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         0 | PA      | $-24154.74    | 0.00%             | 2027-06-11      | Floating      | 6.30%                 | No            |                  3 | On Loan: No      |
| Rochester Civic Center                        | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         0 | PA      | $131093.53    | 0.00%             | 2030-01-11      | Fixed         | 5.19%                 | No            |                  3 | On Loan: No      |
| Beltline Station                              | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         0 | PA      | $374131.21    | 0.01%             | 2030-07-31      | Fixed         | 6.30%                 | No            |                  3 | On Loan: No      |
| Beltline Station                              | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         0 | PA      | $368790.44    | 0.01%             | 2030-07-31      | Fixed         | 6.30%                 | No            |                  3 | On Loan: No      |
| Eleven Eleven Sutter                          | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   2521357 | PA      | $2561212.02   | 0.03%             | 2028-09-30      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| HIT Advisers, LLC                             | Equity                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |       999 | OU      | $510696.27    | 0.01%             | N/A             | None          |  | No            |                  3 | On Loan: No      |
| N/A                                           | US Treasury Futures           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       610 | NC      | $-762500.00   | -0.01%            | N/A             | None          |  | No            |                  1 | On Loan: No      |
| N/A                                           | US Treasury Futures           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |     -1385 | NC      | $1095870.57   | 0.01%             | N/A             | None          |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-24

**Name of Applicant:** AFL CIO Housing Investment Trust

**Signature:** Nicholas C. Milano

**Name of Signer:** Nicholas C. Milano

**Title:** General Counsel