# EDGAR Filing Document

**Accession Number:** 0000225030
**File Stem:** 0002000324-25-004507
**Filing Date:** 2025-11
**Character Count:** 386056
**Document Hash:** a14769652aca3aef3dd9dc7973a218fa
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002000324-25-004507.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0002000324-25-004507

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**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:** 251527315

**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 |  |

## Nport-Ex

**AFL CIO HOUSING INVESTMENT TRUST**

**Item 1. Schedule of Investments** 

**Schedule of Portfolio Investments**

September 30, 2025 (dollars in thousands; unaudited)

**FHA Permanent Securities (1.5% of net assets)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Interest Rate** | **Maturity Date** | **Face Amount** | **Amortized Cost** | **Value** |
| **Multifamily** | 2.50% | Apr-2063 | $5509 | $5516 | $4636 |
|  | 3.40% | Jun-2038 | 1759 | 1761 | 1663 |
|  | 3.65% | Dec-2037 | 6416 | 6478 | 6400 |
|  | 3.72% | Feb-2062 | 4297 | 4305 | 3990 |
|  | 3.90% | Sep-2062 | 3004 | 3008 | 2814 |
|  | 4.00% | Jun-2053 | 57614 | 57593 | 56810 |
|  | 4.10% | Dec-2060 | 20838 | 20855 | 19730 |
|  | 4.70% | May-2053 | 4334 | 4484 | 3890 |
|  | 5.17% | Feb-2050 | 7022 | 7406 | 7003 |
|  | 5.80% | Jan-2053 | 1851 | 1858 | 1887 |
|  | 5.87% | Jun-2044 | 1475 | 1475 | 1477 |
|  | 6.60% | Jan-2050 | 3023 | 3037 | 3026 |
| **Total FHA Permanent Securities** | **Total FHA Permanent Securities** |  | $**117142** | $**117776** | $**113326** |

---

---

| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 1 of 15 |

---

---

| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **FHA Construction Securities (0.01% of net assets)** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Interest Rates**<sup>1</sup>** | **Interest Rates**<sup>1</sup>** | | | | | |
| | **Permanent** | **Construction** | <br>**Maturity Date** | **Unfunded**<br>**Commitments**<sup>2</sup>** |<br>**Face Amount** |<br>**Amortized Cost** |<br>**Value** |
| **Forward Commitments** | 6.02% | 6.02% | Mar-2068 | $31000 |  | $27 | $557 |
|  |  |  |  | $**31000** | $**—** | $**27** | $**557** |

---

---

| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 2 of 15 |

---

---

| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Ginnie Mae Securities (27.3% of net assets)** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Interest Rate** | **Maturity Date** | | **Face Amount** | **Amortized Cost** | **Value** |
| **Single Family** | 4.00% | Feb-2040 - Jun-2040 |  | $721 | $725 | $701 |
|  | 4.50% | Aug-2040 |  | 412 | 417 | 411 |
|  | 5.50% | Aug-2033 - Jun-2037 |  | 555 | 555 | 568 |
|  | 6.00% | Jan-2032 - Aug-2037 |  | 354 | 353 | 368 |
|  | 6.50% | Jul-2028 |  | 19 | 19 | 19 |
|  | 7.00% | Apr-2026 - Jan-2030 |  | 133 | 133 | 134 |
|  | 7.50% | Nov-2025 - Aug-2030 |  | 35 | 35 | 35 |
|  | 8.00% | Sep-2026 - Nov-2030 |  | 60 | 60 | 62 |
|  | 8.50% | Aug-2027 |  | 7 | 7 | 7 |
|  |  |  |  | **2296** | **2304** | **2305** |
| **Multifamily** | 1.95% | Mar-2064 |  | 69179 | 69163 | 55400 |
|  | 2.00% | Jul-2062 - Mar-2064 |  | 269605 | 274317 | 215257 |
|  | 2.00% | Oct-2062 |  | 50890 | 52432 | 40214 |
|  | 2.00% | Apr-2063 |  | 49316 | 50065 | 38298 |
|  | 2.00% | Apr-2063 |  | 46700 | 47581 | 36172 |
|  | 2.00% | Oct-2063 |  | 40657 | 40299 | 32458 |
|  | 2.00% | Jul-2063 |  | 39958 | 40281 | 31991 |
|  | 2.08% | Nov-2056 |  | 49040 | 50673 | 42771 |
|  | 2.15% | May-2056 |  | 122 | 122 | 121 |
|  | 2.20% | Jun-2056 |  | 524 | 523 | 511 |
|  | 2.25% | May-2065 |  | 49187 | 50637 | 40087 |
|  | 2.25% | Dec-2048 |  | 2312 | 2299 | 2202 |
|  | 2.30% | Oct-2056 |  | 860 | 853 | 842 |
|  | 2.31% | Nov-2051 |  | 5364 | 5364 | 4970 |
|  | 2.32% | Sep-2060 |  | 25634 | 26839 | 23069 |
|  | 2.35% | Nov-2056 - Feb-2061 |  | 26377 | 27094 | 22581 |
|  | 2.37% | Jan-2053 |  | 18907 | 19011 | 17473 |
|  | 2.40% | Aug-2047 - Dec-2057 |  | 17362 | 17715 | 14580 |
|  | 2.45% | Apr-2062 |  | 14014 | 14217 | 12160 |
|  | 2.50% | Dec-2052 - Jan-2061 |  | 48417 | 49097 | 41816 |
|  | 2.58% | May-2063 |  | 27574 | 28372 | 23534 |
|  | 2.60% | Apr-2056 - Jun-2059 |  | 7274 | 7291 | 6806 |
|  | 2.65% | Oct-2062 |  | 6102 | 6237 | 5378 |
|  | 2.67% | Mar-2062 |  | 33714 | 34418 | 30206 |
|  | 2.70% | May-2048 - Jul-2058 |  | 4170 | 4166 | 4035 |
|  | 2.74% | Apr-2057 |  | 22556 | 24236 | 20768 |
|  | 2.75% | Apr-2063 |  | 4909 | 5091 | 4262 |
|  | 2.78% | Aug-2058 |  | 10023 | 10783 | 9245 |
|  | 2.79% | Apr-2049 |  | 1855 | 1868 | 1783 |
|  | 2.80% | Feb-2053 |  | 60000 | 57386 | 47279 |
|  | 2.80% | Dec-2059 |  | 2588 | 2558 | 2537 |
|  | 2.82% | Apr-2050 |  | 489 | 496 | 475 |
|  | 2.94% | Nov-2059 |  | 44822 | 49246 | 40726 |
|  | 2.98% | Jun-2063 |  | 14298 | 14761 | 12546 |
|  | 3.00% | May-2062 |  | 56061 | 60096 | 48481 |
|  | 3.03% | Jan-2056 |  | 28322 | 29891 | 26691 |
|  | 3.05% | Dec-2063 | (Level 3) | 102473 | 103457 | 100900 |
|  | 3.05% | May-2054 |  | 11545 | 11585 | 10676 |
|  | 3.17% | Aug-2059 |  | 32756 | 35811 | 30454 |
|  | 3.25% | Sep-2054 - Apr-2059 |  | 43694 | 42618 | 42201 |
|  | 3.27% | Apr-2046 |  | 22243 | 23187 | 20405 |
|  | 3.30% | Sep-2060 |  | 6431 | 6571 | 6121 |
|  | 3.33% | May-2055 |  | 6461 | 6181 | 5871 |
|  | 3.34% | Sep-2059 |  | 16006 | 16271 | 15370 |
|  | 3.35% | Mar-2044 |  | 6163 | 5985 | 6080 |
|  | 3.36% | May-2061 |  | 49345 | 54210 | 46271 |
|  | 3.38% | Jan-2060 |  | 56291 | 56296 | 54146 |
|  | 3.39% | Feb-2059 |  | 13465 | 13691 | 13048 |
|  | 3.41% | Sep-2061 |  | 39893 | 41268 | 37449 |
|  | 3.43% | Nov-2061 |  | 50597 | 52006 | 47476 |
|  | 3.47% | Sep-2052 |  | 1908 | 1960 | 1849 |
|  | 3.50% | Jan-2054 |  | 907 | 903 | 902 |
|  | 3.53% | Apr-2042 |  | 13995 | 14293 | 13835 |
|  | 3.60% | Jun-2057 - Apr-2061 |  | 45307 | 46622 | 43625 |
|  | 3.62% | Dec-2057 |  | 26936 | 27338 | 26534 |
|  | 3.63% | Dec-2045 |  | 5971 | 5802 | 5892 |
|  | 3.65% | Oct-2058 |  | 9722 | 9848 | 9519 |
|  | 3.67% | Nov-2035 |  | 10770 | 10946 | 10747 |
|  | 3.74% | Aug-2059 |  | 14820 | 15068 | 14582 |
|  | 3.75% | Nov-2060 |  | 10764 | 11062 | 10396 |
|  | 3.78% | Aug-2060 |  | 37673 | 37916 | 36383 |
|  | 3.92% | Aug-2039 |  | 34868 | 36076 | 34803 |
|  | 4.00% | Nov-2057 |  | 23583 | 24444 | 22836 |
|  | 4.08% | Feb-2064 |  | 15117 | 15437 | 14355 |
|  | 4.10% | May-2051 |  | 3557 | 3792 | 3548 |
|  | 4.14% | Sep-2063 |  | 10937 | 11126 | 10450 |
|  | 4.35% | Dec-2060 |  | 2194 | 2230 | 2186 |
|  | 4.37% | Feb-2034 |  | 19400 | 20432 | 19240 |
|  | 4.45% | Jun-2055 |  | 2360 | 2285 | 2359 |
|  | 4.53% | Jan-2061 |  | 14279 | 14669 | 14294 |
|  | 5.00% | May-2060 |  | 22442 | 22443 | 22496 |
|  | 5.17% | Jul-2064 |  | 10659 | 10798 | 10802 |
|  | 5.25% | Apr-2037 |  | 14090 | 14087 | 14094 |
|  | 5.31% | Aug-2060 |  | 13430 | 13718 | 13827 |
|  | 5.33% | Apr-2060 |  | 19273 | 19655 | 19790 |
|  | 5.45% | Jun-2059 |  | 39500 | 41281 | 41044 |
|  | 5.47% | Jun-2060 |  | 30096 | 30975 | 31420 |
|  | 5.55% | Oct-2060 |  | 32066 | 33207 | 33731 |
|  | 5.58% | May-2060 |  | 5682 | 5869 | 5977 |
|  | 5.62% | Oct-2058 |  | 12717 | 13177 | 13384 |
|  | 5.64% | Nov-2058 |  | 2231 | 2311 | 2352 |
|  | 5.66% | Oct-2058 - Dec-2058 |  | 22036 | 22848 | 23271 |
|  | 5.69% | Aug-2059 |  | 10918 | 11343 | 11529 |
|  | 5.71% | Oct-2058 |  | 6425 | 6649 | 6803 |
|  | 5.74% | Apr-2060 |  | 8263 | 8651 | 8740 |
|  | 5.78% | Dec-2058 |  | 20153 | 20855 | 21443 |
|  | 5.82% | Nov-2058 |  | 5471 | 5662 | 5836 |
|  | 6.15% | Apr-2064 |  | 17497 | 17880 | 19049 |
|  |  |  |  | **2204562** | **2258273** | **1998116** |
| **Total Ginnie Mae Securities** |  |  |  | $**2206858** | $**2260577** | $**2000421** |

---

---

| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 3 of 15 |

---

---

| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Ginnie Mae Construction Securities (1.7% of net assets)** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Interest Rates**<sup>1</sup>** | **Interest Rates**<sup>1</sup>** | | | | | |
| | **Permanent** | **Construction** | <br>**Maturity Date** | **Unfunded**<br>**Commitments**<sup>2</sup>** |<br>**Face Amount** |<br>**Amortized Cost** |<br>**Value** |
| **Multifamily** | 2.59% | 3.59% | Aug-2064 | $5844 | $36468 | $37248 | $29810 |
|  | 5.05% | 5.05% | Dec-2066 - Apr-2067 | 64737 | 17119 | 19100 | 16309 |
|  | 5.34% | 9.75% | Aug-2065 | 1219 | 19737 | 20503 | 20406 |
|  | 5.88% | 10.75% | Feb-2066 | 8577 | 10575 | 11398 | 12118 |
|  | 5.90% | 5.90% | Aug-2065 | 828 | 3282 | 3403 | 3576 |
|  | 5.92% | 5.92% | Feb 2066 - Mar-2066 | 2521 | 19958 | 19200 | 21581 |
|  | 6.10% | 7.65% | Jul-2065 | 630 | 1541 | 1635 | 1727 |
|  | 6.15% | 6.15% | Aug-2065 |  | 16836 | 17203 | 18330 |
|  |  |  |  | **84356** | **125516** | **129690** | **123857** |
| **Forward Commitments** | 4.50% | 4.50% | Feb-2068 | 125000 |  | (7551) | (7500) |
|  | 5.45% | 5.45% | Feb-2068 | 17000 |  | (150) | (133) |
|  | 5.99% | 5.99% | Feb-2058 | 132236 |  | 2791 | 6154 |
|  | 6.10% | 6.10% | Feb-2067 | 21464 |  | 884 | 1375 |
|  |  |  |  | **295700** | **—** | **(4026)** | **(104)** |
| **Total Ginnie Mae Construction Securities** | **Total Ginnie Mae Construction Securities** |  |  | $**380056** | $**125516** | $**125664** | $**123753** |

---

---

| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 4 of 15 |

---

---

| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Fannie Mae Securities (44.5% of net assets)** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Interest Rate**<sup>3</sup>** | | **Maturity Date** | **Unfunded<br> Commitments**<sup>2</sup>** | **Face Amount** | **Amortized Cost** | **Value** |
| **Single Family** | 2.50% |  | May-2050 - Jan-2052 | $— | $95205 | $98342 | $80995 |
|  | 2.50% |  | Jan-2052 |  | 39292 | 39419 | 33619 |
|  | 3.00% |  | Apr-2031 - Mar-2052 |  | 100380 | 103480 | 89705 |
|  | 3.50% |  | Oct-2026 - Sep-2051 |  | 57276 | 58863 | 53463 |
|  | 4.00% |  | Apr-2026 - Jul-2052 |  | 66064 | 66196 | 63060 |
|  | 4.50% |  | Mar-2038 - Oct-2052 |  | 105249 | 104682 | 103228 |
|  | 4.72% | 1M SOFR+36 | Mar-2037 |  | 76 | 76 | 76 |
|  | 4.79% | 1M SOFR+43 | Jun-2037 |  | 344 | 344 | 341 |
|  | 4.87% | 1M SOFR+51 | Apr-2037 |  | 163 | 163 | 161 |
|  | 4.93% | 1M SOFR+57 | Oct-2042 |  | 1034 | 1037 | 1022 |
|  | 4.97% | 1M SOFR+61 | Jun-2042 |  | 2367 | 2368 | 2343 |
|  | 5.00% |  | May-2034 - Feb-2055 |  | 123980 | 124383 | 124116 |
|  | 5.02% | 1M SOFR+66 | Mar-2042 |  | 1137 | 1138 | 1129 |
|  | 5.07% | 1M SOFR+71 | Oct-2043 |  | 2499 | 2507 | 2481 |
|  | 5.50% |  | Sep-2032 - Jan-2055 |  | 224850 | 224676 | 229089 |
|  | 6.00% |  | Nov-2028 - Nov-2054 |  | 127675 | 128336 | 131362 |
|  | 6.50% |  | Sep-2028 - Dec-2054 |  | 30997 | 31389 | 32242 |
|  | 7.00% |  | Jul-2028 - May-2032 |  | 268 | 268 | 280 |
|  | 7.50% |  | Mar-2030 - Jun-2030 |  | 2 | 2 | 2 |
|  | 8.00% |  | Aug-2030 - May-2031 |  | 23 | 23 | 24 |
|  |  |  |  |  | **978881** | **987692** | **948738** |
| **Multifamily** | 1.22% |  | Aug-2028 - Jul-2030 |  | 35278 | 35314 | 31459 |
|  | 1.26% |  | Jan-2031 |  | 24070 | 24068 | 20969 |
|  | 1.31% |  | Aug-2030 |  | 4215 | 4237 | 3708 |
|  | 1.32% |  | Aug-2030 |  | 20964 | 21065 | 18496 |
|  | 1.38% |  | Jul-2030 |  | 10500 | 10551 | 9264 |
|  | 1.41% |  | Jul-2030 |  | 3038 | 3049 | 2701 |
|  | 1.46% |  | Jul-2030 |  | 6924 | 6958 | 6174 |
|  | 1.47% |  | Jul-2030 - Dec-2030 |  | 15425 | 15475 | 13395 |
|  | 1.50% |  | Aug-2030 |  | 1077 | 1086 | 959 |
|  | 1.57% |  | Jan-2031 |  | 21172 | 21201 | 18544 |
|  | 1.58% |  | Oct-2031 |  | 57950 | 58069 | 49376 |
|  | 1.65% |  | Jul-2030 |  | 1167 | 1177 | 1048 |
|  | 1.76% |  | Aug-2031 - Dec-2036 |  | 41443 | 41503 | 36013 |
|  | 1.88% |  | Nov-2031 |  | 25400 | 25416 | 22039 |
|  | 2.00% |  | Apr-2031 |  | 18000 | 18259 | 16042 |
|  | 2.09% |  | Jul-2050 |  | 8392 | 8519 | 5232 |
|  | 2.16% |  | Sep-2050 |  | 14200 | 14331 | 8585 |
|  | 2.41% |  | Apr-2051 |  | 3523 | 3553 | 2614 |
|  | 2.47% |  | Dec-2051 |  | 12670 | 12821 | 9480 |
|  | 2.49% |  | Dec-2026 - Nov-2031 |  | 26004 | 26024 | 24540 |
|  | 2.53% |  | Jan-2030 |  | 20550 | 20593 | 19116 |
|  | 2.55% |  | Sep-2026 - Mar-2030 |  | 24587 | 24608 | 23618 |
|  | 2.56% |  | Dec-2051 |  | 11893 | 11918 | 8936 |
|  | 2.57% |  | Mar-2042 |  | 25155 | 25164 | 18756 |
|  | 2.61% |  | Nov-2026 |  | 9475 | 9478 | 9319 |
|  | 2.67% |  | Aug-2029 |  | 36920 | 37003 | 35116 |
|  | 2.70% |  | Nov-2025 |  | 13298 | 13298 | 13245 |
|  | 2.85% |  | Aug-2031 |  | 8590 | 8609 | 7967 |
|  | 2.91% |  | Jun-2031 |  | 25000 | 25046 | 23349 |
|  | 2.94% |  | Jun-2027 - Jul-2039 |  | 27548 | 27558 | 27014 |
|  | 2.96% |  | Sep-2034 |  | 20000 | 20391 | 17580 |
|  | 3.00% |  | May-2027 |  | 5980 | 5980 | 5872 |
|  | 3.01% |  | Apr-2052 |  | 7060 | 7064 | 5543 |
|  | 3.02% |  | Jun-2027 |  | 3336 | 3336 | 3281 |
|  | 3.03% |  | Sep-2027 |  | 19947 | 19956 | 19529 |
|  | 3.04% |  | Apr-2030 |  | 23566 | 23583 | 22566 |
|  | 3.05% |  | Apr-2030 |  | 23860 | 23866 | 22843 |
|  | 3.12% |  | Apr-2030 |  | 11783 | 11784 | 11232 |
|  | 3.14% |  | Apr-2029 |  | 7166 | 7168 | 6955 |
|  | 3.18% |  | May-2035 |  | 7531 | 7578 | 7106 |
|  | 3.21% |  | May-2030 |  | 5932 | 5951 | 5674 |
|  | 3.24% |  | May-2052 |  | 6134 | 6242 | 4899 |
|  | 3.30% |  | May-2029 |  | 3420 | 3454 | 3335 |
|  | 3.31% |  | Oct-2027 |  | 14103 | 14112 | 13898 |
|  | 3.36% |  | Oct-2029 |  | 9669 | 9670 | 9424 |
|  | 3.41% |  | May-2026 |  | 558 | 558 | 556 |
|  | 3.42% |  | Apr-2035 |  | 4691 | 4723 | 4309 |
|  | 3.63% |  | Jul-2035 |  | 20187 | 20201 | 18698 |
|  | 3.68% |  | Jul-2028 |  | 11445 | 11532 | 11272 |
|  | 3.70% |  | Oct-2033 |  | 19865 | 19903 | 18983 |
|  | 3.91% |  | Aug-2032 |  | 26250 | 26424 | 25621 |
|  | 4.05% |  | Jun-2030 |  | 10632 | 10570 | 10598 |
|  | 4.07% |  | Oct-2034 |  | 12986 | 12424 | 12664 |
|  | 4.31% |  | Jun-2033 |  | 8587 | 8604 | 8550 |
|  | 4.32% |  | Mar-2028 |  | 41708 | 41746 | 41644 |
|  | 4.35% |  | Sep-2030 |  | 21800 | 21871 | 22014 |
|  | 4.37% |  | Jun-2033 |  | 21805 | 21823 | 21799 |
|  | 4.40% |  | Jan-2034 |  | 3815 | 3726 | 3811 |
|  | 4.43% |  | Jul-2030 |  | 11760 | 11834 | 11899 |

---

---

| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 5 of 15 |

---

---

| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Fannie Mae Securities (44.5% of net assets)** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Interest Rate**<sup>3</sup>** | | **Maturity Date** | **Unfunded<br> Commitments**<sup>2</sup>** | **Face Amount** | **Amortized Cost** | **Value** |
|  | | | |  | 20915 | 20915 | 21231 |
|  | | | |  | 35232 | 35246 | 35784 |
|  | | | |  | 11361 | 11287 | 11456 |
|  | | | |  | 10699 | 10711 | 10892 |
|  | | | |  | 40943 | 40946 | 40179 |
|  | | | |  | 29835 | 29854 | 29810 |
|  | | | |  | 7430 | 7378 | 7533 |
|  | | | |  | 11308 | 11308 | 11540 |
|  | | | |  | 20000 | 20002 | 19717 |
|  | | | |  | 10493 | 10498 | 10603 |
|  | | | |  | 436 | 441 | 437 |
|  | | | |  | 7700 | 7817 | 7871 |
|  | | | |  | 19397 | 19594 | 19862 |
|  | | | |  | 13405 | 13429 | 13716 |
|  | | | |  | 37306 | 37654 | 37934 |
|  | | | |  | 29157 | 29157 | 28967 |
|  | | | |  | 36670 | 36670 | 36445 |
|  | | | |  | 7613 | 7696 | 7797 |
|  | | | |  | 23002 | 22961 | 22687 |
|  | | | |  | 22159 | 22159 | 22037 |
|  | | | |  | 12750 | 12813 | 13084 |
|  | | | |  | 17075 | 17075 | 16986 |
|  | | | |  | 16027 | 16089 | 16478 |
|  | | | |  | 63763 | 63777 | 63445 |
|  | | | |  | 28556 | 28727 | 29318 |
|  | | | |  | 28526 | 28528 | 28192 |
|  | | | |  | 2801 | 2808 | 2885 |
|  | | | |  | 30034 | 30581 | 30928 |
|  | | | |  | 38461 | 38878 | 39553 |
|  | | | |  | 30975 | 30975 | 30981 |
|  | | | |  | 4560 | 4677 | 4710 |
|  | | | |  | 4250 | 4340 | 4368 |
|  | | | |  | 22694 | 23273 | 23524 |
|  | | | |  | 13902 | 14168 | 14376 |
|  | | | |  | 15943 | 16258 | 16446 |
|  | | | |  | 11800 | 12071 | 12234 |
|  | | | |  | 21472 | 22016 | 22221 |
|  | | | |  | 68500 | 68902 | 70650 |
|  | | | |  | 22021 | 22220 | 22869 |
|  | | | |  | 47305 | 47592 | 49301 |
|  | | | |  | 5222 | 5198 | 5421 |
|  | | | |  | 9129 | 9224 | 9408 |
|  | | | |  | 22230 | 22450 | 22930 |
|  | | | |  | 32088 | 32604 | 33431 |
|  | | | |  | 40341 | 40341 | 40362 |
|  | | | |  | 16983 | 16984 | 16990 |
|  | | | |  | 46805 | 47804 | 48891 |
|  | | | |  | 8324 | 8507 | 8641 |
|  | | | |  | 7300 | 7231 | 7452 |
|  | | | |  | 17163 | 17543 | 17681 |
|  | | | |  | 36000 | 36133 | 37112 |
|  | | | |  | 14584 | 14655 | 15028 |
|  | | | |  | 12400 | 12403 | 12414 |
|  | | | |  | 8020 | 8065 | 8385 |
|  | | | |  | 7869 | 8008 | 8215 |
|  | | | |  | 3591 | 3592 | 3587 |
|  | | | |  | 13446 | 13783 | 14097 |
|  | | | |  | 15800 | 15803 | 15813 |
|  | | | |  | 28014 | 28931 | 29458 |
|  | | | |  | 9817 | 9916 | 10154 |
|  | | | |  | 16998 | 17227 | 17600 |
|  | | | |  | 6081 | 6129 | 6344 |
|  | | | |  | 34346 | 34689 | 35582 |
|  | | | |  | 3643 | 3708 | 3849 |
|  | | | |  | 11728 | 12155 | 12428 |
|  | | | |  | 23993 | 24416 | 25165 |
|  | | | |  | 7910 | 8092 | 8423 |
|  | | | |  | 4663 | 4701 | 4864 |
|  | | | |  | 6140 | 6209 | 6571 |
|  | | | |  | 10500 | 10672 | 10957 |
|  | | | |  | 3860 | 3930 | 4126 |
|  | | | |  | 20041 | 20295 | 20875 |
|  | | | |  | 3863 | 3924 | 3885 |
|  | | | |  | 1878 | 1912 | 1895 |
|  | | | |  | 6609 | 7062 | 7265 |
| | 4.48%<br>4.49%<br>4.52%<br>4.55%<br>4.56%<br>4.56%<br>4.62%<br>4.64%<br>4.65%<br>4.66%<br>4.69%<br>4.70%<br>4.73%<br>4.74%<br>4.76%<br>4.76%<br>4.78%<br>4.79%<br>4.80%<br>4.81%<br>4.81%<br>4.82%<br>4.82%<br>4.83%<br>4.83%<br>4.85%<br>4.85%<br>4.86%<br>4.88%<br>4.88%<br>4.90%<br>4.91%<br>4.92%<br>4.96%<br>4.97%<br>4.98%<br>4.99%<br>5.00%<br>5.00%<br>5.02%<br>5.02%<br>5.03%<br>5.04%<br>5.05%<br>5.05%<br>5.05%<br>5.06%<br>5.08%<br>5.09%<br>5.10%<br>5.13%<br>5.13%<br>5.14%<br>5.16%<br>5.18%<br>5.18%<br>5.20%<br>5.21%<br>5.22%<br>5.24%<br>5.28%<br>5.30%<br>5.31%<br>5.32%<br>5.35%<br>5.36%<br>5.39%<br>5.46%<br>5.47%<br>5.50%<br>5.52%<br>5.55%<br>5.69%<br>5.75%<br>5.87%<br>5.96% | <br>1M SOFR+20<br>1M SOFR+29<br>1M SOFR+40<br>1M SOFR+42<br>1M SOFR+45<br>1M SOFR+46<br>1M SOFR+47<br>1M SOFR+49<br>1M SOFR+52<br>1M SOFR+69<br>1M SOFR+69<br>1M SOFR+78<br>1M SOFR+82<br>1M SOFR+85<br>| Aug-2030<br>Jul-2030<br>Sep-2033<br>Jul-2030<br>Nov-2031<br>Feb-2028<br>Feb-2034<br>Jul-2032<br>Feb-2029<br>Apr-2035<br>Jun-2035<br>Feb-2032<br>Jun-2030<br>Sep-2033<br>Jun-2029 - Jan-2040<br>Feb-2028<br>Mar-2028<br>Mar-2032<br>Jun-2035 - Oct-2052<br>Jan-2028<br>Aug-2029<br>Dec-2027<br>Jul-2030 - Feb-2034<br>Jun-2029<br>Sep-2028 - Jul-2032<br>May-2032<br>Jan-2034<br>Jul-2029 - Jun-2032<br>May-2029 - Aug-2035<br>Jun-2032<br>Feb-2032<br>Feb-2034<br>Aug-2032<br>Aug-2033 - Dec-2034<br>Feb-2030 - Feb-2035<br>Jun-2035<br>Mar-2030 - Jul-2035<br>Jun-2029<br>Sep-2033 - Apr-2035<br>Feb-2035<br>Dec-2033<br>Jun-2029<br>Apr-2029<br>Oct-2030 - Feb-2035<br>Jun-2029<br>May-2029<br>Dec-2032<br>Jul-2034<br>Apr-2040<br>Feb-2030 - Mar-2040<br>Jan-2029<br>Sep-2028<br>Oct-2033<br>Oct-2030<br>Jun-2034<br>Jan-2028<br>Dec-2029 - Feb-2035<br>Nov-2032<br>Feb-2035<br>Nov-2028<br>Dec-2028<br>Aug-2029 - Sep-2033<br>Nov-2028<br>Jun-2034<br>Dec-2032<br>Nov-2028 - Nov-2030<br>May-2034<br>May-2029<br>Nov-2033<br>Jan-2029<br>Oct-2033<br>Dec-2028<br>Jun-2041<br>Jun-2041<br>Dec-2035<br>Jan-2029 |  | 129 | 129 | 129 |
| | | | |  | **2353988** | **2367941** | **2303704** |
| **Forward Commitments** | 4.47% |  | Dec-2041 | 10058 |  |  | (404) |
|  | 5.21% |  | Jul-2044 | 12174 |  |  | 66 |
|  | 5.40% |  | Jun-2043 | 23950 |  |  | 1074 |

---

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 6 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Fannie Mae Securities (44.5% of net assets)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Interest Rate**<sup>3</sup>** | **Maturity Date** | **Unfunded<br> Commitments**<sup>2</sup>** | **Face Amount** | **Amortized Cost** | **Value** |
| | | **46182** | **—** | **—** | **736** |
| **Total Fannie Mae Securities** |  | $**46182** | $**3332869** | $**3355633** | $**3253178** |

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 7 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Freddie Mac Securities (9.1% of net assets)** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Interest Rate**<sup>3</sup>** | | **Maturity Date** | **Face Amount** | **Amortized Cost** | **Value** |
| **Single Family** | 2.50% |  | Jan-2043 - Aug-2046 | $4484 | $4524 | $3917 |
|  | 3.00% |  | Aug-2042 - Sep-2046 | 18696 | 18949 | 17180 |
|  | 3.50% |  | Jan-2026 - Oct-2046 | 33067 | 33619 | 31172 |
|  | 4.00% |  | Apr-2026 - Aug-2047 | 30827 | 31743 | 29832 |
|  | 4.50% |  | Jan-2038 - Dec-2044 | 8517 | 8773 | 8534 |
|  | 4.79% | 1M SOFR+41 | Feb-2036 | 112 | 112 | 111 |
|  | 4.82% | 1M SOFR+44 | May-2037 | 60 | 60 | 59 |
|  | 4.84% | 1M SOFR+46 | Apr-2036 - Jan-2043 | 1506 | 1507 | 1482 |
|  | 4.89% | 1M SOFR+51 | Aug-2043 | 1470 | 1470 | 1450 |
|  | 4.97% | 1M SOFR+59 | Oct-2040 | 1071 | 1071 | 1060 |
|  | 4.99% | 1M SOFR+61 | Oct-2040 - Jun-2044 | 3994 | 3996 | 3948 |
|  | 5.00% |  | Jul-2035 - Aug-2040 | 992 | 987 | 1010 |
|  | 5.04% | 1M SOFR+66 | Nov-2040 | 985 | 989 | 975 |
|  | 5.16% | 1M SOFR+78 | Aug-2037 | 1111 | 1118 | 1109 |
|  | 5.50% |  | Apr-2033 - Jul-2038 | 1058 | 1055 | 1098 |
|  | 6.00% |  | Dec-2033 - Oct-2037 | 1646 | 1653 | 1724 |
|  | 6.50% |  | Apr-2028 - Nov-2037 | 204 | 204 | 217 |
|  | 7.00% |  | Apr-2028 - Mar-2030 | 7 | 7 | 7 |
|  | 7.50% |  | Dec-2029 - Apr-2031 | 6 | 6 | 7 |
|  |  |  |  | **109813** | **111843** | **104892** |
| **Multifamily** | 2.04% |  | May-2050 | 18993 | 19371 | 13591 |
|  | 2.40% |  | Jun-2031 | 7289 | 7324 | 6653 |
|  | 2.42% |  | Jun-2031 | 11523 | 11586 | 10529 |
|  | 3.34% |  | Dec-2029 | 8971 | 9007 | 8678 |
|  | 3.35% |  | Oct-2033 | 31656 | 31588 | 29872 |
|  | 3.50% |  | Jan-2026 | 4985 | 4985 | 4964 |
|  | 3.60% |  | Apr-2030 | 23331 | 23524 | 22716 |
|  | 3.68% |  | Oct-2025 | 10000 | 10000 | 9971 |
|  | 3.86% |  | May-2040 | 17408 | 17408 | 16716 |
|  | 4.25% |  | Jan-2028 | 93652 | 93370 | 94124 |
|  | 4.29% |  | Jul-2030 | 32500 | 32456 | 32716 |
|  | 4.36% |  | Dec-2029 | 9198 | 9171 | 9271 |
|  | 4.55% | 1M SOFR+20 | Aug-2031 | 11643 | 11643 | 11525 |
|  | 4.58% | 1M SOFR+23 | Jul-2027 | 3815 | 3815 | 3804 |
|  | 4.59% | 1M SOFR+24 | Jan-2031 - Jun-2031 | 37444 | 37444 | 37085 |
|  | 4.60% | 1M SOFR+24 | Nov-2027 | 10697 | 10697 | 10632 |
|  | 4.60% | 1M SOFR+25 | Dec-2030 | 4946 | 4946 | 4870 |
|  | 4.65% | 1M SOFR+30 | Oct-2030 | 9560 | 9560 | 9511 |
|  | 4.71% | 1M SOFR+36 | Oct-2030 | 1951 | 1951 | 1940 |
|  | 4.73% | 1M SOFR+37 | Nov-2030 | 4034 | 4034 | 4016 |
|  | 4.80% | 1M SOFR+44 | Oct-2030 | 1105 | 1105 | 1102 |
|  | 4.83% |  | Jan-2039 | 9770 | 9844 | 9858 |
|  | 4.85% | 1M SOFR+56 | Jun-2040 | 40000 | 39955 | 40101 |
|  | 4.90% |  | Feb-2029 - Dec-2032 | 15252 | 15246 | 15483 |
|  | 4.91% | 1M SOFR+56 | Jan-2035 | 20000 | 20000 | 19988 |
|  | 5.01% | 1M SOFR+66 | Apr-2033 | 35155 | 35218 | 35398 |
|  | 5.07% | 1M SOFR+72 | Jul-2033 | 21717 | 21784 | 21753 |
|  | 5.15% |  | Apr-2055 - Aug-2025 | 78619 | 74798 | 75365 |
|  |  |  |  | **575214** | **571830** | **562232** |
| **Total Freddie Mac Securities** | **Total Freddie Mac Securities** |  |  | $**685027** | $**683673** | $**667124** |

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 8 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **State Housing Finance Agency Securities (4.0% of net assets)** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | **Interest Rates**<sup>1</sup>** | **Interest Rates**<sup>1</sup>** | | | | |
| | <br>**Issuer** | **Permanent** | **Construction** | <br>**Maturity Date** |<br>**Face Amount** |<br>**Amortized Cost** |<br>**Value** |
| **Multifamily** | NYC Housing Development Corp | 2.95% |  | Nov-2041 | $6275 | $6275 | $4844 |
|  | NYC Housing Development Corp | 3.05% |  | Nov-2046 | 13000 | 13000 | 9278 |
|  | NYC Housing Development Corp | 3.10% |  | Oct-2046 | 19350 | 19350 | 15796 |
|  | Illinois Housing Development Auth | 3.30% |  | Sep-2026 | 2370 | 2372 | 2370 |
|  | Illinois Housing Development Auth |  | 3.54% | Nov-2026 | 5615 | 5629 | 5667 |
|  | Mass Housing<sup>4</sup> | 3.85% |  | Dec-2058 | 9200 | 9198 | 7164 |
|  | Illinois Housing Development Auth | 4.22% |  | Jul-2042 | 16390 | 16432 | 16229 |
|  | Chicago Housing Authority | 4.36% |  | Jan-2038 | 25000 | 25000 | 22933 |
|  | MassHousing | 4.50% |  | Dec-2065 | 30060 | 30103 | 28634 |
|  | MassHousing | 4.62% |  | Jun-2067 | 24600 | 24663 | 24175 |
|  | City of Chicago<sup>5</sup> | 4.63% |  | Sep-2037 | 1500 | 1474 | 1501 |
|  | Illinois Housing Development Auth | 4.65% |  | Jan-2067 | 21400 | 21439 | 21105 |
|  | Mass Housing | 4.84% |  | Dec-2067 | 35415 | 35473 | 35709 |
|  | Mass Housing<sup>4</sup> | 4.90% |  | Jun-2066 | 26645 | 26681 | 26907 |
|  | City of Chicago<sup>5</sup> | 4.90% |  | Mar-2044 | 1000 | 993 | 1000 |
|  | Illinois Housing Development Auth | 5.05% |  | Jul-2066 | 13320 | 13385 | 13422 |
|  | Mass Housing<sup>4</sup> | 5.11% |  | Jun-2066 | 53425 | 53464 | 54130 |
| **Total State Housing Finance Agency Securities** | **Total State Housing Finance Agency Securities** |  |  |  | $**304565** | $**304931** | $**290864** |

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 9 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Other Mutifamily Investments (1.9% of net assets)** |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | **Interest Rates**<sup>1,3</sup>** | **Interest Rates**<sup>1,3</sup>** |  | | | | | |
| | <br>**Issuer** | **Permanent** | **Construction** | | <br>**Maturity Date** | **Unfunded**<br>**Commitments**<sup>2</sup>** |<br>**Face Amount** |<br>**Amortized Cost** | <br>**Value** |
| **Direct Loans** | Ladder 260 - Tax Exempt - Minneapolis, MN (Level 3) |  | 4.04% |  | Nov-2025 | $— | $8161 | $8162 | $8147 |
|  | Olson Court - Minneapolis, MN (Level 3) |  | 5.82% |  | May-2027 | 1040 | 21803 | 21793 | 22328 |
|  | Landmark Towers - St. Paul, MN (Level 3) |  | 6.51% | 1M TERM SOFR+235 | Jun-2027 | 1401 | 17259 | 17256 | 17310 |
|  | Olson Court - Minneapolis, MN (Level 3) |  | 6.52% |  | May-2027 | 1785 | 372 | 368 | 413 |
|  | 400 Lake Shore Drive - Chicago, IL (Level 3) |  | 6.53% | 80% Daily SOFR+300 | Dec-2053**<sup>6</sup>** | 15714 | 6924 | 6791 | 7030 |
|  | 400 Lake Shore Drive - Chicago, IL (Level 3) |  | 6.53% | 80% Daily SOFR+300 | Dec-2058**<sup>6</sup>** | 39276 | 10 | (244) | 275 |
|  | Hudson Exchange - Jersey City, NJ (Level 3) |  | 7.00% | 1M SOFR+275 | Jun-2027 | 17706 | 32294 | 32245 | 32249 |
|  | 311 W 42nd Street - New York, NY (Level 3) |  | 7.33% | 1M Term SOFR+311 | Nov-2025 | 1640 | 48360 | 48359 | 48166 |
|  |  |  |  |  |  | **78562** | **135183** | **134730** | **135918** |
| **Forward Commitments** | Rochester Civic Center - Rochester, MN (Level 3) |  | 5.19% |  | Jan-2030 | 6344 |  | (26) | 89 |
|  | Union Tower - San Diego, CA (Level 3) |  | 6.16% | 1M SOFR+200 | Jun-2027 | 15068 |  | 151 | (29) |
|  | Beltline Station Building 3 - St. Louis Park, MN (Level 3) |  | 6.30% |  | Jul-2030 | 14842 |  | (35) | 292 |
|  | Beltline Station Building 1 - St. Louis Park, MN (Level 3) |  | 6.30% |  | Jul-2030 | 16207 |  | (33) | 283 |
|  | Carville Park - Reno, NV (Level 3) |  | 6.87% | 1M SOFR+275 | Jun-2027 | 7010 |  | (103) | (61) |
|  | Eleven Eleven Sutter - San Francisco, CA (Level 3) |  | 7.50% |  | Oct-2028 | 41996 |  | (267) | (301) |
|  |  |  |  |  |  | **101467** | **—** | **(313)** | **273** |
| **Privately Insured Construction/Permanent Mortgages**<sup>7</sup>** | Illinois Housing Development Auth | 6.20% |  |  | Dec-2047 |  | 2714 | 2720 | 2700 |
|  | Illinois Housing Development Auth | 6.40% |  |  | Nov-2048 |  | 831 | 838 | 827 |
|  |  |  |  |  |  | **—** | **3545** | **3558** | **3527** |
| **Total Other Multifamily Investments** |  |  |  |  |  | $**180029** | $**138728** | $**137975** | $**139718** |

---

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 10 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **United States Treasury Securities (9.0% of net assets)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Interest Rate** | | **Maturity Date** | **Face Amount** | **Amortized Cost** | **Value** |
| 3.88 | % | Feb-2043 | $105000 | $105180 | $95271 |
| 4.00 | % | Nov-2042 | 15000 | 14781 | 13868 |
| 4.13 | % | Aug-2044 | 115000 | 110603 | 106750 |
| 4.13 | % | Aug-2053 | 40000 | 37112 | 36150 |
| 4.25 | % | Aug-2054 | 20000 | 20493 | 18466 |
| 4.50 | % | Nov-2054 | 93000 | 91762 | 89518 |
| 4.63 | % | Sep-2028 | 100000 | 103250 | 102798 |
| 4.63 | % | Nov-2044 | 55600 | 55000 | 55085 |
| 4.63 | % | May-2044 | 55000 | 57215 | 54596 |
| 4.75 | % | Nov-2043 - Nov 2053 | 20000 | 20058 | 20121 |
| 5.00 | % | May-2045 | 60000 | 60899 | 62303 |
| **Total United States Treasury Securities** |  |  | $**678600** | $**676353** | $**654926** |
| **Total Fixed-Income Investments** |  |  | $**7589305** | $**7662609** | $**7243867** |

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 11 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Equity Investment in Wholly-Owned Subsidiary (0.01% of net assets)** |

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| | | | |
|:---|:---|:---|:---|
| <br>**Issuer** |<br>**Face**<br>**Amount (Cost)** | **Amount of**<br>**Dividends**<br>**or Interest** |<br>**Value** |
| HIT Advisers<sup>8</sup> (Level 3) | $1 | $— | $912 |
| **Total Equity Investment** | $**1** | $**—** | $**912** |

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 12 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Short-Term Investments (0.7% of net assets)** |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Issuer** | **Interest Rate** | **Maturity Date** | **Face Amount** | **Amortized Cost** | **Value** |
| ***Commercial Paper*** |  |  |  |  |  |
| Commerzbank | 4.14%<sup>9</sup> | Oct-2025 | $40000 | $40000 | $40000 |
| Blackrock Federal Funds - Institutional | 4.04%<sup>10</sup> | Oct-2025 | 7814 | 7814 | 7814 |
| **Total Short-Term Investments** |  |  | $**47814** | $**47814** | $**47814** |
| **Total Investments** |  |  | $**7637120** | $**7710424** | $**7292593** |

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 13 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Futures Contracts (Notional Amount Long 1.8% of net assets \| Short 2.2% of net assets)** |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Description** |<br>**Number**<br>**of Contracts** | <br>**Expiration Date** |<br>**Notional Amount** |<br>**Market Value** | **Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **Futures Long** |  |  |  |  |  |
| CBOT U.S. Treasury Long Bond | 1050 | Dec-2025 | $120852 | $122423 | $1571 |
| CBOT U.S. Treasury Ultra Long Bond | 70 | Dec-2025 | $8507 | $8404 | $(103) |
| **Futures Short** |  |  |  |  |  |
| CBOT Ultra 10-Year U.S. Treasury Note | 1385 | Dec-2025 | $159287 | $159383 | $(96) |
| **Total Futures Contracts** |  |  |  |  | $**1372** |

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| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 14 of 15 |

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| |
|:---|
| **Schedule of Portfolio Investments** |
| September 30, 2025 (dollars in thousands; unaudited) |
| **Footnotes** |

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| | |
|:---|:---|
| 1 | Construction interest rates are the rates charged to the borrower during the construction phase of the project. The permanent interest rates are charged to the borrower during the amortization period of the loan, unless the U.S. Department of Housing and Urban Development requires that such rates be charged earlier. |

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| | |
|:---|:---|
| 2 | The HIT may make commitments, including forward commitments, in securities or loans that fund over time on a draw basis or fund at a single point in time. Generally, GNMA construction securities fund over a 12-to-24 month period. Funding periods for State Housing Agency construction securities and Direct Loans vary by project, but generally fund over a one-to-48 month period. Forward commitments generally settle within 12 months of the original commitment date. At period end, the principal amount of the unfunded commitments totaled $630.3 million, for which unrealized gains of $1.1 million are included in the related Value column of the Schedule of Portfolio Investments for such commitments. |

---

3 For floating and variable rate securities the rate indicated is for the period end. With respect to these securities, the schedule also includes the reference rate and spread in basis points.

---

| | |
|:---|:---|
| 4 | Securities exempt from registration under the Securities Act of 1933 and were privately placed directly by a state housing agency (a not-for-profit public agency) with the HIT. The securities are backed by mortgages and are general obligations of the state housing agency, and therefore secured by the full faith and credit of said agency. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are considered liquid, under procedures established by and under the general supervision of the HIT's Board of Trustees. |

---

5 Federally tax-exempt bonds collateralized by Ginnie Mae securities.

6 Date reflects the stated maturity date of the bond. However, the bond is subject to a mandatory tender for purchase in December 2027, which may be extended to December 2028 under certain conditions.

---

| | |
|:---|:---|
| 7 | Loans insured by Ambac Assurance Corporation, are additionally backed by a repurchase option from the mortgagee for the benefit of the HIT. The repurchase price is defined as the unpaid principal balance of the loan plus all accrued unpaid interest due through the remittance date. The repurchase option can be exercised by the HIT in the event of a payment failure by Ambac Assurance Corporation. |

---

---

| | |
|:---|:---|
| 8 | The HIT has a participation interest in HIT Advisers, a Delaware limited liability company. HIT Advisers is a New York-based adviser currently exempt from investment adviser registration in New York. The investment in HIT Advisers is valued by the HIT's valuation committee in accordance with the fair value procedures adopted by the HIT's Board of Trustees, and approximates carrying value of HIT Advisors and its subsidiary on a consolidated basis. The participation interest is not registered under the federal securities laws. |

---

9 Rate indicated is the effective yield at the time of purchase.

10 Rate indicated is the annualized 1-day yield as of September 30, 2025.

**Key to abbreviations**

---

| | |
|:---|:---|
| M | Month |
| Y | Year |
| UST | U.S. Treasury |
| SOFR | Secured Overnight Financing Rate |
| CBOT | Chicago Board of Trade |

---

---

| | |
|:---|:---|
| ![](aflcionportex093025001.jpg) | 15 of 15 |

---

**Item 1. Schedule of Investments**

(Schedule of Investments)

**NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited**

As of September 30, 2025

The accompanying notes are an integral part of this Schedule of Portfolio Investments.

**Note 1. Summary of Significant Accounting Policies**

The American Federation of Labor and Congress of Industrial Organizations (AFL-CIO) Housing Investment Trust (HIT) is a common law trust created under the laws of the District of Columbia and is registered under the Investment Company Act of 1940, as amended (Investment Company Act), as a no-load, open-end investment company. The HIT has obtained certain exemptions from the requirements of the Investment Company Act that are described in the HIT's Prospectus and Statement of Additional Information. Participation in the HIT is limited to eligible pension plans, state public funds and labor organizations, including health and welfare, general, voluntary employees' benefit associations and other funds that have beneficiaries who are represented by labor organizations. The following is a summary of significant accounting policies followed by the HIT in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles (GAAP) in the United States. The HIT follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services—Investment Companies.

**Investment Valuation**

Net asset value per share (NAV) is determined as of the close of regular trading (normally 4:00 p.m.) of the New York Stock Exchange on the last business day of each calendar month. When the markets close early for holidays, prices may be taken earlier in the day. The HIT's Board of Trustees is responsible for the valuation process. The HIT's Board of Trustees has designated the officers of the HIT that comprise the HIT's Valuation Committee as the "valuation designee" to perform fair valuations of the HIT's investments pursuant to Rule 2a-5 under the Investment Company Act. The Valuation Committee, in accordance with the policies and procedures approved by the HIT's Board of Trustees, is also responsible for evaluating the effectiveness of the HIT's pricing policies, determining the reliability of third-party pricing information and reporting to the Board of Trustees on valuation matters, including fair value determinations. Following is a description of the valuation methods and inputs applied to the HIT's major categories of assets. The majority of the HIT's assets are valued using evaluated prices provided by independent third-party pricing services that are approved by the Board of Trustees. Portfolio securities for which market quotations are readily available are valued through exchange determined market pricing. For U.S. Treasury securities, independent pricing services generally base evaluated prices on actual transactions as well as dealer-supplied market information. For State Housing Finance Agency securities, independent pricing services generally base evaluated prices using models that utilize trading spreads, new issue scales, verified bid information and credit ratings. For commercial mortgage-backed securities, independent pricing services generally base evaluated prices on cash flow models that take into consideration benchmark yields and utilize available trade information, dealer quotes and market color.

For U.S. agency and government-sponsored enterprise securities, including single family and multifamily mortgage-backed securities, construction mortgage securities and loans and collateralized mortgage obligations, independent pricing services generally base evaluated prices on an active TBA (to-be-announced) market for mortgage pools, discounted cash flow models, or option-adjusted spread models. Independent pricing services examine reference data and use observable inputs such as issue name, issue size, ratings, maturity, call type and spread/benchmark yields, as well as dealer-supplied market information. The discounted cash flow or option-adjusted spread models utilize inputs from matrix pricing, which consider observable market-based discount and prepayment rates, attributes of the collateral, and yield or price of bonds of comparable quality, coupon, maturity and type.

Investments in registered open-end investment management companies are valued based upon the NAV of such investments.

When the HIT finances the construction and permanent securities or participation interests, value is determined based upon the total amount, funded and/or unfunded, of the commitment.

Portfolio investments for which market quotations or independent third-party provider evaluated prices are deemed unreliable or not available are valued at their fair value determined in good faith by the HIT's Valuation Committee, as valuation designee, pursuant to procedures approved by the HIT's Board of Trustees. In determining fair market value, the Valuation Committee will employ a valuation method that it believes reflects fair value for that asset, which may include the use of an independent valuation consultant, or the utilization of a discounted cash flow model based on broker and/or other market inputs. The frequency with which these fair value procedures may be used cannot be predicted. However, on September 30, 2025, the Valuation Committee fair valued approximately 0.01% of the HIT's net assets utilizing internally derived unobservable inputs.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Short-term investments acquired with a stated maturity of 60 days or less are generally valued at amortized cost, which approximates fair market value.

The HIT holds a 100% ownership interest, either directly or indirectly in HIT Advisers LLC (HIT Advisers). HIT Advisers is valued at its fair value determined in good faith under consistently applied procedures approved by the HIT's Board of Trustees, which approximates its respective carrying value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. The HIT classifies its assets and liabilities into three levels based on the method used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities, interest rates, prepayment speeds, credit risk and quoted prices in inactive markets. Level 3 values are based on significant unobservable inputs that reflect the HIT's determination of assumptions that market participants might reasonably use in valuing the securities.

The following table presents the HIT's valuation levels as of September 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Investment Securities:** <br> **($ in thousands)**  | **Level 1**  | **Level 2**  | **Level 3**  | **Total**  |
| &nbsp;&nbsp;FHA Permanent Securities | $— | $113326 | $— | $113326 |
| &nbsp;&nbsp;FHA Construction Securities |  |  |  | 557 |
| &nbsp;&nbsp;Ginnie Mae Securities |  | 1899521 | 100900 | 2000421 |
| &nbsp;&nbsp;Ginnie Mae Construction Securities |  | 123857 |  | 123857 |
| &nbsp;&nbsp;Fannie Mae Securities |  | 3252442 |  | 3252442 |
| &nbsp;&nbsp;Freddie Mac Securities |  | 667124 |  | 667124 |
| &nbsp;&nbsp;State Housing Finance Agency Securities |  | 290864 |  | 290864 |
| &nbsp;&nbsp;Other Multifamily Investments |  |  |  |  |
| &nbsp;&nbsp;Direct Loans |  |  | 135918 | 135918 |
| &nbsp;&nbsp;Privately Insured Construction/Permanent Mortgages |  | 3527 |  | 3527 |
| &nbsp;&nbsp;**Total Other Multifamily Investments** | **—** | **3527** | **135918** | **139445** |
| &nbsp;&nbsp;United States Treasury Securities |  | 654926 |  | 654926 |
| &nbsp;&nbsp;Equity Investments | **—** |  | 912 | 912 |
| &nbsp;&nbsp;Short-Term Investments | 47814 |  |  | 47814 |
| &nbsp;&nbsp;Other Financial Instruments<sup>(1)</sup> |  | 1189 | 273 | 1462 |
| &nbsp;&nbsp;**Total Investment** | $**47814** | $**7006776** | $**238003** | $**7292593** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Derivative Investments:** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp; **Assets** | | | | |
| &nbsp;&nbsp; Futures Contracts<sup>(2)</sup> | $1571 |  |  | $1571 |
| &nbsp;&nbsp; **Liabilities** |  |  |  |  |
| &nbsp;&nbsp; Futures Contracts<sup>(2)</sup> | (199) |  |  | (199) |
| &nbsp;&nbsp;**Total Derivative Investments** | $**1372** |  |  | $**1372** |

---

*1. If held in the portfolio at report date, other financial instruments include forward commitments, TBA and when-issued securities.*

*2. Amounts shown represent unrealized appreciation (depreciation) at period end as presented in the Schedule of Investments.*

The following table reconciles the valuation of the HIT's Level 3 investment securities and related transactions for the period ended September 30, 2025.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Investments in Securities ($ in thousands)** | **Investments in Securities ($ in thousands)** | **Investments in Securities ($ in thousands)** | **Investments in Securities ($ in thousands)** | **Investments in Securities ($ in thousands)** |
|  | **Ginnie Mae<br> Investments** | **Other <br> Multifamily <br> Investments <br> (Direct Loans)** | **Equity <br> Investments** | **Other Financial <br> Instruments** | **Total** |
| &nbsp;&nbsp;Beginning balance, 12/31/2024 | $96209 | $168919 | $558 | $(23) | $265663 |
| &nbsp;&nbsp;Paydowns/Settlements | (2272) | (85930) |  |  | (88202) |
| &nbsp;&nbsp;Cost of Purchases | 4872 | 52685 |  | (361) | 57196 |
| &nbsp;&nbsp;Total Unrealized Gain(Loss)<sup>(a)</sup> | 2091 | 243 | 354 | 657 | 3345 |
| &nbsp;&nbsp;**Ending balance, 9/30/2025** | $**100900** | $**135917** | $**912** | $**273** | $**238002** |

---

<sup>(a)</sup> *Net change in unrealized gain (loss) attributable to Level 3 securities held at September 30, 2025 totaled $3,345,000 and is included in the Statement of Operations.*

For the nine months ended September 30, 2025, there were no transfers in levels.

Level 3 securities primarily consist of Other Multifamily Investments (Direct Loans) and one Ginnie Mae Security which were valued using evaluated prices provided by an independent, third-party pricing service as of September 30, 2025. The pricing services applies a discounted cash flow model that incorporates unobservable inputs, including assumptions regarding expected prepayment speeds (reflected in weighted-average life ("WAL") and spreads to relevant U.S. Treasury rates. Changes in these unobservable inputs can materially affect the resulting fair value measurements.

For investments valued at a premium, a shorter WAL (meaning faster expected prepayments) generally decreases fair value, while a longer WAL (slower expected prepayments) generally increases fair value, assuming all other inputs remain constant. Conversely, for investments valued at a discount, a shorter WAL generally increases fair value, and a longer WAL generally decreases fair value, holding other inputs constant. Similarly, changes in assumed spreads can significantly affect fair value. An increase in the spread, indicating higher perceived risk, generally results in a decrease in fair value, whereas a decrease in the spread generally results in an increase in fair value, all else being equal.

---

| | | | |
|:---|:---|:---|:---|
| **Other Multifamily Investments (Direct Loans)** | **Other Multifamily Investments (Direct Loans)** | **Other Multifamily Investments (Direct Loans)** | **Other Multifamily Investments (Direct Loans)** |
|  | **Minimum** | **Average** <sup>(a)</sup>** | **Maximum** |
| &nbsp;&nbsp;Weighted Average Life | 0.14 | 2.06 | 4.83 |
| &nbsp;&nbsp;Spread (U.S. Treasuries) | 72 | 198 | 415 |

---

<sup>(a)</sup> *Represents the mean of securities in this category.*

---

| | | | |
|:---|:---|:---|:---|
| **Ginnie Mae Investment** | **Ginnie Mae Investment** | **Ginnie Mae Investment** | **Ginnie Mae Investment** |
|  | **Minimum** | **Average** | **Maximum** |
| &nbsp;&nbsp;Weighted Average Life | 1.08 | 1.08 | 1.08 |
| &nbsp;&nbsp;Spread (U.S. Treasuries) | 92 | 92 | 92 |

---

**Federal Income Taxes**

As of September 30, 2025, investments for federal income tax purposes approximated book cost at amortized cost of $7,710,424,000. Net unrealized losses aggregated $417,832,000 at period-end, of which $54,940,000 related to appreciated investments and $472,772,000 related to depreciated investments.

**Note 2. Transactions with Related Entities**

**HIT Advisers** 

HIT Advisers, a Delaware limited liability company, was formed by the HIT to operate as an investment adviser and be registered, as appropriate under applicable federal or state law. HIT Advisers is owned by HIT directly (99.9%), and indirectly through HIT Advisers Managing Member (0.1%) which is also wholly owned by the HIT. This ownership structure is intended to insulate the HIT from any potential liabilities associated with the conduct of HIT Advisers' business. The HIT receives no services from HIT Advisers and carries it as a portfolio investment that meets the definition of a controlled affiliate.

In accordance with a contract, in addition to its membership interest, the HIT provides HIT Advisers advances to assist with its operations and cash flow management as needed. Advances are expected to be repaid as cash becomes available. HIT maintains an allowance for doubtful receivable of $600,000 due to aging balances. Also, in accordance with the contract, the HIT may provide the time of certain personnel and allocates operational expenses to HIT Advisers on a cost-reimbursement basis. As of September 30, 2025, HIT Advisers had no assets under management.

A rollforward of advances to HIT Advisers by the HIT is included in the table below:

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Advances to HIT Advisers by HIT** | **$ in Thousands** |
| &nbsp;&nbsp;Beginning Balance, 12/31/2024 | $758 |
| &nbsp;&nbsp;Advances/Adjustments in 2025 | 10 |
| &nbsp;&nbsp;Repayment by HIT Advisers in 2025 | **—** |
| &nbsp;&nbsp;**Ending Balance, 09/30/2025** | $**768** |

---

**Building America**

Building America CDE, Inc. (Building America), a wholly owned subsidiary of HIT Advisers, is a Community Development Entity, certified by the Community Development Financial Institutions Fund (CDFI Fund) of the U.S. Department of the Treasury.

In accordance with a contract, the HIT provides the time of certain personnel to Building America and allocates operational expenses on a cost- reimbursement basis. Also, in accordance with the contract, the HIT provides Building America advances to assist with its operations and cash flow management as needed. Advances are repaid as cash becomes available. A rollforward of advances to Building America by the HIT is included in the table below:

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Advances to BACDE by HIT** | **$ in Thousands** |
| &nbsp;&nbsp;Beginning Balance, 12/31/2024 | $188 |
| &nbsp;&nbsp;Advances in 2025 | 1448 |
| &nbsp;&nbsp;Repayment by BACDE in 2025 | (1636) |
| &nbsp;&nbsp;**Ending Balance, 09/30/2025** | $**—** |

---

**Labor Capital Partners**

AFL-CIO Labor Capital Partners (LCP), a Delaware limited liability company, is wholly owned by HIT Advisers. LCP began operations effective January 1, 2025, and has a contract to provide non-fiduciary labor and investor relations to a third-party. In accordance with the contract, the HIT provides the time of certain personnel to LCP and allocates operational expenses on a cost-reimbursement basis. Also, in accordance with the contract, the HIT provides LCP advances to assist with its operations and cash flow management as needed. Advances are repaid as cash become available.

A rollforward of advances to Labor Capital Partners by the HIT is included in the table below:

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Advances to LCP by HIT** | **$ in Thousands** |
| &nbsp;&nbsp;Beginning Balance, 12/31/2024 | $— |
| &nbsp;&nbsp;Advances in 2025 | 1051 |
| &nbsp;&nbsp;Repayment by BACDE in 2025 | (1050) |
| &nbsp;&nbsp;**Ending Balance, 09/30/2025** | $**1** |

---

Summarized financial information on a consolidated basis for HIT Advisers, Building America and Labor Capital Partners is included in the table below:

---

| | |
|:---|:---|
|  | **$ in Thousands** |
| &nbsp;&nbsp;**As of September 30, 2025** | &nbsp;&nbsp;**As of September 30, 2025** |
| &nbsp;&nbsp;Assets | $2838 |
| &nbsp;&nbsp;Liabilities | $1926 |
| &nbsp;&nbsp;Equity | $912 |
| &nbsp;&nbsp;**For the nine months ended September 30, 2025** | &nbsp;&nbsp;**For the nine months ended September 30, 2025** |
| &nbsp;&nbsp;Income | $2748 |
| &nbsp;&nbsp;Expenses | (2182) |
| &nbsp;&nbsp;Tax Expense | (64) |
| &nbsp;&nbsp;Net Income (Loss) | $502 |

---

## 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:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7381404547.00

**Total Liabilities:** $67146937.00

**Net Assets:** $7314257610.00

**Delayed Delivery Securities:** $49729173.00

**Cash Not Reported:** $432974.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 9557.76 | **1-Year:** 139999.86 | **5-Year:** 1382335.5 | **10-Year:** 1595290.91 | **30-Year:** 250443.28

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

- **3-Month:** 769.2 | **1-Year:** 38632.86 | **5-Year:** 14820.43 | **10-Year:** 0 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026832 | -0.31%               | 1.44%                | 1.08%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-22073487.00            | $-23468205.00                              |
| Month 2  | $-57628289.00            | $137551189.00                              |
| Month 3  | $-7083415.00             | $61107865.00                               |

### 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        |   7813697 | NS      | $7813696.89   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Commerzbank US Fin Inc                        | Commerical Paper              | CUSIP: 20260AX13<br>LEI: N/A                  | Long             | STIV             |  | US        |  40000000 | PA      | $40000000.00  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 31396P5W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76469 | PA      | $75526.07     | 0.00%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 31396VRS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163074 | PA      | $161284.06    | 0.00%             | 2037-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 3136A4TC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1137113 | PA      | $1128626.97   | 0.02%             | 2042-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 3136A6PG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2366909 | PA      | $2343494.76   | 0.03%             | 2042-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 3136A9HU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1034301 | PA      | $1021607.71   | 0.01%             | 2042-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 3136AGXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2499102 | PA      | $2481426.30   | 0.03%             | 2043-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | SINGLE FAMILY ARM             | CUSIP: 31396V4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344024 | PA      | $340640.27    | 0.00%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31396HUT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112001 | PA      | $111207.49    | 0.00%             | 2036-02-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31396JYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153140 | PA      | $151444.66    | 0.00%             | 2036-04-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137A3CK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1403834 | PA      | $1393447.07   | 0.02%             | 2040-11-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137AXXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1353378 | PA      | $1330768.84   | 0.02%             | 2043-01-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137GAPT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    578705 | PA      | $570717.54    | 0.01%             | 2040-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137B3PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1470421 | PA      | $1449509.11   | 0.02%             | 2043-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31398QUV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1071404 | PA      | $1059562.07   | 0.01%             | 2040-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137BBHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1571319 | PA      | $1548960.66   | 0.02%             | 2044-06-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137B6NX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440330 | PA      | $435471.82    | 0.01%             | 2043-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31397KE23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1111239 | PA      | $1108719.16   | 0.02%             | 2037-08-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 3137A3L31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984545 | PA      | $974888.37    | 0.01%             | 2040-11-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | SINGLE FAMILY ARM             | CUSIP: 31397GWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59838 | PA      | $59206.29     | 0.00%             | 2037-05-15      | Floating      | 4.82%                 | 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        |      1389 | PA      | $1386.51      | 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        |      1944 | PA      | $1940.04      | 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        |       568 | PA      | $567.18       | 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        |     21353 | PA      | $21262.71     | 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        |       228 | PA      | $227.75       | 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        |     13694 | PA      | $13621.25     | 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        |     22753 | PA      | $22629.48     | 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        |      9929 | PA      | $9884.93      | 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        |     44887 | PA      | $44786.10     | 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        |      8151 | PA      | $8107.01      | 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        |    129746 | PA      | $128935.07    | 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        |      7315 | PA      | $7300.59      | 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        |     21067 | PA      | $21020.60     | 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        |     12581 | PA      | $12512.27     | 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        |       379 | PA      | $377.60       | 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        |   1437708 | PA      | $1407793.12   | 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        |       219 | PA      | $229.06       | 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        |        88 | PA      | $91.39        | 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        |      3423 | PA      | $3565.15      | 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        |       720 | PA      | $753.15       | 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        |       250 | PA      | $261.20       | 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        |      1087 | PA      | $1134.21      | 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        |      4794 | PA      | $5012.58      | 0.00%             | 2030-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31293PG41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1001 | PA      | $1046.14      | 0.00%             | 2029-04-01      | 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        |       179 | PA      | $187.72       | 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        |      1766 | PA      | $1807.03      | 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        |       167 | PA      | $175.52       | 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        |       249 | PA      | $260.76       | 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        |       126 | PA      | $133.41       | 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        |      3559 | PA      | $3678.08      | 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        |         9 | PA      | $9.19         | 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        |      2004 | PA      | $2099.05      | 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        |      2657 | PA      | $2779.36      | 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        |     95080 | PA      | $99529.32     | 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        |    125194 | PA      | $130774.02    | 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        |      1129 | PA      | $1181.80      | 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        |    300719 | PA      | $315060.95    | 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        |    112910 | PA      | $118417.76    | 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        |     29623 | PA      | $30269.59     | 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        |     40170 | PA      | $42152.22     | 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        |     14523 | PA      | $15223.10     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | 30 YR SINGLE FAMILY MBS       | CUSIP: 31297F5C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4154 | PA      | $4151.92      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | 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        |     35431 | PA      | $37171.74     | 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        |     25101 | PA      | $26365.35     | 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        |     49956 | PA      | $51765.96     | 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        |    141160 | PA      | $147698.33    | 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        |    151409 | PA      | $156789.30    | 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        |     88225 | PA      | $91204.12     | 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        |    142605 | PA      | $147923.68    | 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        |     91728 | PA      | $94586.78     | 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        |    130465 | PA      | $137127.75    | 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        |     29194 | PA      | $29831.35     | 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        |    201086 | PA      | $210667.38    | 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        |    133512 | PA      | $140299.76    | 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        |     45011 | PA      | $45848.16     | 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        |     65751 | PA      | $69141.81     | 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        |    104861 | PA      | $111569.49    | 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        |     21738 | PA      | $22151.91     | 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        |    205018 | PA      | $213245.14    | 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        |     40245 | PA      | $41870.10     | 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        |     37766 | PA      | $38493.61     | 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        |    146227 | PA      | $149024.36    | 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        |     26951 | PA      | $27458.75     | 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        |     14515 | PA      | $15086.98     | 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        |     98715 | PA      | $102500.41    | 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        |     25475 | PA      | $26471.04     | 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        |     27810 | PA      | $28344.96     | 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        |    128961 | PA      | $131356.32    | 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        |     63407 | PA      | $64586.83     | 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        |      3605 | PA      | $3653.81      | 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        |     86802 | PA      | $92807.67     | 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        |     64113 | PA      | $66706.72     | 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        |    161291 | PA      | $169984.42    | 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        |      4150 | PA      | $4384.73      | 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        |     81641 | PA      | $84865.77     | 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        |     10413 | PA      | $10615.02     | 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        |    168644 | PA      | $171968.28    | 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        |     76897 | PA      | $75421.66     | 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        |      2608 | PA      | $2788.17      | 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        |      2268 | PA      | $2278.61      | 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        |    172082 | PA      | $172666.76    | 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        |    310943 | PA      | $317350.96    | 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        |    145188 | PA      | $142542.47    | 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        |     64800 | PA      | $63321.20     | 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        |    516096 | PA      | $517807.92    | 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        |   1122283 | PA      | $1069558.45   | 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        |     10008 | PA      | $9796.33      | 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        |   1367695 | PA      | $1302596.36   | 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        |    659156 | PA      | $628370.46    | 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        |   1793543 | PA      | $1658014.36   | 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        |   2811201 | PA      | $2594889.30   | 0.04%             | 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        |    221930 | PA      | $204937.59    | 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        |   1592293 | PA      | $1470370.23   | 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        |   2471271 | PA      | $2278893.75   | 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        |   1226883 | PA      | $1130043.59   | 0.02%             | 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        |   2403927 | PA      | $2223283.54   | 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        |   1547551 | PA      | $1463970.41   | 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        |   2167399 | PA      | $2064777.84   | 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        |   1880319 | PA      | $1790518.96   | 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        |   1410549 | PA      | $1340089.86   | 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        |    743261 | PA      | $745665.03    | 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        |    289103 | PA      | $289721.36    | 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        |    167115 | PA      | $167521.90    | 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        |    193329 | PA      | $194122.56    | 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        |    132904 | PA      | $133509.25    | 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        |    564326 | PA      | $565773.79    | 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        |    883377 | PA      | $886220.94    | 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        |    640807 | PA      | $642891.10    | 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        |    185096 | PA      | $185837.18    | 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        |    166274 | PA      | $166654.55    | 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        |    142946 | PA      | $143401.39    | 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        |    365770 | PA      | $366776.35    | 0.01%             | 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        |   1178204 | PA      | $1178160.41   | 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        |    316238 | PA      | $317247.01    | 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        |    129878 | PA      | $130330.98    | 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        |    424199 | PA      | $424348.31    | 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        |   1207438 | PA      | $1110166.92   | 0.02%             | 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        |    697271 | PA      | $657207.37    | 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        |    535221 | PA      | $505759.77    | 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        |    476804 | PA      | $448629.44    | 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        |     58865 | PA      | $55817.85     | 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        |   1607918 | PA      | $1560214.74   | 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        |    175607 | PA      | $170233.84    | 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        |    396745 | PA      | $384723.90    | 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        |    353586 | PA      | $342943.95    | 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        |    574188 | PA      | $558443.70    | 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        |    333968 | PA      | $325267.43    | 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        |    640769 | PA      | $622802.79    | 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        |   1181917 | PA      | $1146111.50   | 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        |    408340 | PA      | $396170.41    | 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        |   1412085 | PA      | $1330042.81   | 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        |   1949247 | PA      | $1835567.29   | 0.03%             | 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        |    317590 | PA      | $308871.02    | 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        |   1332938 | PA      | $1293980.29   | 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        |    358276 | PA      | $347596.60    | 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        |    883244 | PA      | $829437.93    | 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        |   1093800 | PA      | $1028218.29   | 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        |    126644 | PA      | $126245.23    | 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        |   1413900 | PA      | $1333064.79   | 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        |    978397 | PA      | $975314.44    | 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        |    150473 | PA      | $150833.83    | 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        |     50641 | PA      | $50481.55     | 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        |   2245468 | PA      | $2102556.13   | 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        |   2867197 | PA      | $2491498.99   | 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        |    636350 | PA      | $553365.11    | 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        |    980855 | PA      | $872781.22    | 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        |    647462 | PA      | $592051.40    | 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        |    471114 | PA      | $430053.00    | 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        |    814205 | PA      | $735617.23    | 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        |   1261684 | PA      | $1148626.84   | 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        |   1773770 | PA      | $1602563.86   | 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        |   3376590 | PA      | $3161688.39   | 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        |    841691 | PA      | $787858.84    | 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        |   1522531 | PA      | $1424203.09   | 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        |   4125170 | PA      | $3861335.83   | 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        |    667812 | PA      | $643731.59    | 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        |    609656 | PA      | $590163.27    | 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        |   1254448 | PA      | $1174217.43   | 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        |    392095 | PA      | $367018.18    | 0.01%             | 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        |    383049 | PA      | $358311.08    | 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        |    325429 | PA      | $315169.73    | 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        |    129031 | PA      | $124579.68    | 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        |    449636 | PA      | $433844.31    | 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        |   1331141 | PA      | $1285222.01   | 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        |    657184 | PA      | $634103.50    | 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        |    270267 | PA      | $261281.84    | 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        |    621011 | PA      | $599201.08    | 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        |    859536 | PA      | $829348.82    | 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        |   2548776 | PA      | $2475217.74   | 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        |   3271695 | PA      | $3171018.59   | 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        |    522977 | PA      | $504936.29    | 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        |    844455 | PA      | $814005.76    | 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        |    492851 | PA      | $474463.30    | 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        |   1587477 | PA      | $1530235.56   | 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        |    470194 | PA      | $452945.39    | 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        |   4314473 | PA      | $4183329.41   | 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        |      3277 | PA      | $3161.63      | 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        |      3405 | PA      | $3284.94      | 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        |     46564 | PA      | $44739.17     | 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        |     63273 | PA      | $61090.25     | 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        |   2726190 | PA      | $2619369.59   | 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        |      3291 | PA      | $3440.66      | 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        |       151 | PA      | $157.61       | 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        |       126 | PA      | $131.29       | 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        |      4466 | PA      | $4615.39      | 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        |      8167 | PA      | $8440.01      | 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        |      7026 | PA      | $7092.84      | 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        |      7437 | PA      | $7509.71      | 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        |      3973 | PA      | $4011.54      | 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        |      1675 | PA      | $1752.69      | 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        |        51 | PA      | $53.46        | 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        |        47 | PA      | $49.46        | 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        |     31168 | PA      | $32603.99     | 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        |     47932 | PA      | $50460.46     | 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        |     16405 | PA      | $17271.62     | 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        |      4162 | PA      | $4381.68      | 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        |      3083 | PA      | $3192.14      | 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        |     42564 | PA      | $44836.53     | 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        |       103 | PA      | $108.77       | 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        |      1874 | PA      | $1959.45      | 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        |     38920 | PA      | $41075.03     | 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        |     36912 | PA      | $39139.32     | 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        |     13081 | PA      | $13814.59     | 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        |       651 | PA      | $679.41       | 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        |     72741 | PA      | $73431.59     | 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        |     97750 | PA      | $101139.36    | 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        |     32928 | PA      | $33973.87     | 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        |      9770 | PA      | $10118.28     | 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        |     17347 | PA      | $17972.52     | 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        |    130506 | PA      | $132521.74    | 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        |     58899 | PA      | $61010.99     | 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        |     58941 | PA      | $61089.89     | 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        |     33716 | PA      | $34745.79     | 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        |     43017 | PA      | $44614.18     | 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        |     65801 | PA      | $68043.82     | 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        |     83295 | PA      | $86355.72     | 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        |    170447 | PA      | $178777.84    | 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        |     77989 | PA      | $80947.22     | 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        |     13773 | PA      | $14130.31     | 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        |     81169 | PA      | $85276.31     | 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        |      1340 | PA      | $1371.56      | 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        |     49613 | PA      | $50490.89     | 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        |     71206 | PA      | $72441.03     | 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        |    111387 | PA      | $115717.51    | 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        |     74016 | PA      | $76782.43     | 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        |     31474 | PA      | $33064.21     | 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        |     53423 | PA      | $55899.67     | 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        |     53071 | PA      | $55152.62     | 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        |     30351 | PA      | $31837.78     | 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        |    128158 | PA      | $134774.59    | 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        |     19685 | PA      | $20419.22     | 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        |     17948 | PA      | $18626.81     | 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        |       462 | PA      | $460.98       | 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        |     90609 | PA      | $95114.95     | 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        |    128145 | PA      | $134949.18    | 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        |    103236 | PA      | $107099.69    | 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        |    123767 | PA      | $128454.57    | 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        |     32549 | PA      | $33782.85     | 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        |     35878 | PA      | $38195.70     | 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        |     15785 | PA      | $16564.65     | 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        |     43396 | PA      | $44172.10     | 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        |     81509 | PA      | $86042.47     | 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        |     40264 | PA      | $40952.67     | 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        |        93 | PA      | $95.44        | 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        |       212 | PA      | $220.69       | 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        |      6439 | PA      | $6682.59      | 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        |       121 | PA      | $125.43       | 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        |      2117 | PA      | $2200.03      | 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        |      4858 | PA      | $5048.48      | 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        |      4023 | PA      | $4171.93      | 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        |      4213 | PA      | $4368.81      | 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        |     71920 | PA      | $74678.42     | 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        |     44332 | PA      | $46117.97     | 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        |     15056 | PA      | $15325.52     | 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        |     11420 | PA      | $11453.25     | 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        |     12384 | PA      | $13037.99     | 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        |     97065 | PA      | $102980.10    | 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        |     34252 | PA      | $34311.69     | 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        |    191527 | PA      | $191926.47    | 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        |    504643 | PA      | $505796.74    | 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        |    653179 | PA      | $655143.87    | 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        |    233691 | PA      | $238119.20    | 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        |     21844 | PA      | $22234.24     | 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        |     16463 | PA      | $16746.62     | 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        |     90642 | PA      | $90834.26     | 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        |    487605 | PA      | $488608.14    | 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        |    565771 | PA      | $576476.38    | 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        |     85450 | PA      | $85610.50     | 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        |        76 | PA      | $74.61        | 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        |     88812 | PA      | $86836.31     | 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        |    799279 | PA      | $782340.04    | 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        |    600702 | PA      | $587549.92    | 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        |     96815 | PA      | $96999.34     | 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        |   1416500 | PA      | $1385048.27   | 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        |    111596 | PA      | $111800.69    | 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        |     69472 | PA      | $69614.61     | 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        |     73778 | PA      | $73893.89     | 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        |    749775 | PA      | $764082.50    | 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        |    417884 | PA      | $425666.58    | 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        |    614518 | PA      | $626300.21    | 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        |    384605 | PA      | $392016.00    | 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        |     39913 | PA      | $39017.89     | 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        |    426918 | PA      | $405615.83    | 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        |    447497 | PA      | $425287.29    | 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        |     77037 | PA      | $73280.24     | 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        |    281229 | PA      | $267764.72    | 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        |    417165 | PA      | $396225.34    | 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        |     53125 | PA      | $49010.81     | 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        |    163470 | PA      | $151219.79    | 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        |   1182230 | PA      | $1126013.68   | 0.02%             | 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        |    367533 | PA      | $340016.82    | 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        |    244295 | PA      | $225527.18    | 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        |    200579 | PA      | $185306.28    | 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        |    285720 | PA      | $267067.90    | 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        |    200827 | PA      | $185188.85    | 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        |    166753 | PA      | $154139.38    | 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        |    287716 | PA      | $265548.78    | 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        |    307212 | PA      | $282644.04    | 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        |    108561 | PA      | $100175.24    | 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        |    318925 | PA      | $294076.18    | 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        |   1879933 | PA      | $1782891.96   | 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        |     90172 | PA      | $85411.96     | 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        |   2010371 | PA      | $1906906.41   | 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        |     21334 | PA      | $20230.15     | 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        |     22435 | PA      | $21277.63     | 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        |     35800 | PA      | $33975.63     | 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        |    155972 | PA      | $147830.73    | 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        |   2041053 | PA      | $2043610.93   | 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        |   1312295 | PA      | $1314797.45   | 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        |     82292 | PA      | $82308.25     | 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        |    134071 | PA      | $134339.65    | 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        |    162330 | PA      | $162625.04    | 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        |    565705 | PA      | $566730.86    | 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        |   1573880 | PA      | $1527695.38   | 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        |    172847 | PA      | $167607.00    | 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        |    478126 | PA      | $464047.35    | 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        |    381988 | PA      | $371324.03    | 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        |   2636434 | PA      | $2478486.62   | 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        |   1078604 | PA      | $1014247.54   | 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        |    363683 | PA      | $363813.31    | 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        |    299276 | PA      | $298960.71    | 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        |   3809540 | PA      | $3572080.40   | 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        |   2135483 | PA      | $2014384.06   | 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        |   3045646 | PA      | $2751983.26   | 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        |   1180578 | PA      | $1066746.34   | 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        |   4559403 | PA      | $4119782.92   | 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        |   1519546 | PA      | $1462905.49   | 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        |   1097012 | PA      | $1057835.56   | 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        |   3283895 | PA      | $3168673.64   | 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        |   1047096 | PA      | $979209.99    | 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        |   4433916 | PA      | $4263102.23   | 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        |   2947764 | PA      | $2751124.20   | 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        |   1651156 | PA      | $1541010.29   | 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        |   1289647 | PA      | $1203617.27   | 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        |    608724 | PA      | $568116.99    | 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        |    879903 | PA      | $821206.61    | 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        |    540386 | PA      | $506026.96    | 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        |    354311 | PA      | $332733.93    | 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        |   1228414 | PA      | $1145317.03   | 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        |    563585 | PA      | $525989.00    | 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        |    566816 | PA      | $529004.96    | 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        |   1512660 | PA      | $1411753.37   | 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        |   1159002 | PA      | $1080600.94   | 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        |    628797 | PA      | $586851.28    | 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        |    503614 | PA      | $470019.11    | 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        |   2645776 | PA      | $2547156.17   | 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        |   2176812 | PA      | $2090230.51   | 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        |    998464 | PA      | $932794.89    | 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        |    670752 | PA      | $626636.29    | 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        |    742744 | PA      | $693893.42    | 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        |    908171 | PA      | $848440.15    | 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        |   1349241 | PA      | $1259236.28   | 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        |   2508402 | PA      | $2408632.20   | 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        |   3019720 | PA      | $2810730.93   | 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        |   1012757 | PA      | $1002918.49   | 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        |    158681 | PA      | $156693.13    | 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        |   1596753 | PA      | $1577748.58   | 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        |    316437 | PA      | $312275.55    | 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        |   1226832 | PA      | $1210696.80   | 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        |   2685105 | PA      | $2649790.99   | 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        |     29776 | PA      | $29384.21     | 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        |     96153 | PA      | $94978.20     | 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        |   1823322 | PA      | $1747381.89   | 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        |    868965 | PA      | $855907.54    | 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        |   1423747 | PA      | $1405021.80   | 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        |    491806 | PA      | $455156.81    | 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        |     39707 | PA      | $35605.67     | 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        |   3687851 | PA      | $3407268.00   | 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        |  11435696 | PA      | $9738260.94   | 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        |   9094710 | PA      | $8153561.75   | 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        |  12023374 | PA      | $10238708.53  | 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        |   4588216 | PA      | $4244865.65   | 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        |   6014883 | PA      | $5116437.01   | 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        |   8315988 | PA      | $7081620.65   | 0.10%             | 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        |  10464197 | PA      | $8901154.68   | 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        |  11045706 | PA      | $9381996.21   | 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        |   9895526 | PA      | $8789869.18   | 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        |   4448876 | PA      | $3953179.57   | 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        |   4412573 | PA      | $3920922.01   | 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        |   4351066 | PA      | $4018663.69   | 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        |  25587147 | PA      | $21709210.54  | 0.30%             | 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        |  13400939 | PA      | $11945489.79  | 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        |   8246108 | PA      | $7337630.29   | 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        |   4265680 | PA      | $3929136.91   | 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        |  18399055 | PA      | $16321711.90  | 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        |  10317511 | PA      | $8827966.93   | 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        |  39292115 | PA      | $33619493.12  | 0.46%             | 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        |  19510507 | PA      | $17399130.70  | 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        |  28995270 | PA      | $27506742.54  | 0.38%             | 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        |   9745594 | PA      | $9526057.10   | 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        |   9757723 | PA      | $9537913.11   | 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        |  21545403 | PA      | $21522118.56  | 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        |  17246443 | PA      | $16895662.48  | 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        |  12027424 | PA      | $11394939.52  | 0.16%             | 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        |  17703333 | PA      | $17684200.65  | 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        |  15826209 | PA      | $15903074.13  | 0.22%             | 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        |  19755623 | PA      | $19390849.05  | 0.27%             | 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        |  14648302 | PA      | $14618739.26  | 0.20%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | 30 YR SINGLE FAMILY MBS       | CUSIP: 3140N5Z49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17182685 | PA      | $16741918.01  | 0.23%             | 2052-10-01      | Fixed         | 4.50%                 | 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        |  14772962 | PA      | $14454024.16  | 0.20%             | 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        |  15930318 | PA      | $15916835.93  | 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        |  20316486 | PA      | $20295163.60  | 0.28%             | 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        |  18534589 | PA      | $18817713.88  | 0.26%             | 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        |  13482894 | PA      | $13846371.55  | 0.19%             | 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        |  14469518 | PA      | $14726720.76  | 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        |   8255424 | PA      | $8458757.77   | 0.12%             | 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        |  14380189 | PA      | $14980303.26  | 0.20%             | 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        |  13387511 | PA      | $13718294.62  | 0.19%             | 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        |   8325789 | PA      | $8578338.49   | 0.12%             | 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        |  17786455 | PA      | $18097060.07  | 0.25%             | 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        |  21752104 | PA      | $22002808.38  | 0.30%             | 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        |  14240505 | PA      | $14663567.86  | 0.20%             | 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        |  19853864 | PA      | $20101303.01  | 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        |  20562931 | PA      | $21263786.08  | 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        |  11754305 | PA      | $12111955.10  | 0.17%             | 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        |  22793466 | PA      | $23470623.13  | 0.32%             | 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        |  23304874 | PA      | $23879350.54  | 0.33%             | 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        |  16468081 | PA      | $17103864.65  | 0.23%             | 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        |  14158590 | PA      | $14445662.19  | 0.20%             | 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        |  14016860 | PA      | $14350053.70  | 0.20%             | 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        |  26984139 | PA      | $27632446.01  | 0.38%             | 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        |  23595101 | PA      | $24191478.73  | 0.33%             | 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        |  23463118 | PA      | $24012166.18  | 0.33%             | 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        |  19530076 | PA      | $19718551.44  | 0.27%             | 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        |  14656497 | PA      | $14759741.31  | 0.20%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36202CLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        14 | PA      | $14.01        | 0.00%             | 2025-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | 30 YR SINGLE FAMILY MBS       | CUSIP: 36202CK77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        31 | PA      | $31.23        | 0.00%             | 2025-11-20      | Fixed         | 7.50%                 | 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        |       684 | PA      | $684.66       | 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        |      2319 | PA      | $2354.22      | 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        |     14650 | PA      | $14871.16     | 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        |      3115 | PA      | $3141.89      | 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        |      3956 | PA      | $4023.65      | 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        |       412 | PA      | $414.29       | 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        |      1163 | PA      | $1181.96      | 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        |      1009 | PA      | $1015.57      | 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        |     17501 | PA      | $17838.75     | 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        |       995 | PA      | $1011.66      | 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        |      6560 | PA      | $6681.62      | 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        |      1860 | PA      | $1894.30      | 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        |      7340 | PA      | $7476.91      | 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        |      3433 | PA      | $3467.22      | 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        |     13177 | PA      | $13354.16     | 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        |     18885 | PA      | $19405.81     | 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        |       315 | PA      | $324.12       | 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        |     12951 | PA      | $13156.73     | 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        |      2658 | PA      | $2665.46      | 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        |      5447 | PA      | $5609.57      | 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        |      7007 | PA      | $7119.53      | 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        |     14287 | PA      | $14588.43     | 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        |       734 | PA      | $736.85       | 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        |      3635 | PA      | $3692.55      | 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        |     20022 | PA      | $20339.66     | 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        |      2884 | PA      | $2896.81      | 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        |     55650 | PA      | $56937.68     | 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        |     19957 | PA      | $20379.05     | 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        |      2511 | PA      | $2610.04      | 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        |      5932 | PA      | $6130.32      | 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        |      1615 | PA      | $1669.36      | 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        |     29807 | PA      | $30441.47     | 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        |     19521 | PA      | $20016.58     | 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        |    274674 | PA      | $280892.66    | 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        |     27921 | PA      | $28773.44     | 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        |     13305 | PA      | $13715.66     | 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        |      6371 | PA      | $6581.99      | 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        |     39833 | PA      | $41095.63     | 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        |     25394 | PA      | $26485.22     | 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        |    221703 | PA      | $230843.74    | 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        |    108396 | PA      | $111314.33    | 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        |    116378 | PA      | $119460.73    | 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        |     26107 | PA      | $26828.87     | 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        |    201733 | PA      | $196260.56    | 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        |    356070 | PA      | $346067.25    | 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        |    163402 | PA      | $158992.12    | 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        |    411935 | PA      | $410928.70    | 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        |     31513 | PA      | $32269.15     | 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        |        62 | PA      | $64.46        | 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        |     22884 | PA      | $24117.42     | 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        |     91179 | PA      | $92201.61     | 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      | $29810255.80  | 0.41%             | 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        |   3281772 | PA      | $3576039.91   | 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        |  14909270 | PA      | $16155568.62  | 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      | $5425484.75   | 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      | $18330009.80  | 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      | $1727120.69   | 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        |  19737460 | PA      | $20406173.72  | 0.28%             | 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        |  10575087 | PA      | $12117957.98  | 0.17%             | 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        |  10081431 | PA      | $10395573.42  | 0.14%             | 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        |   7037565 | PA      | $5912526.00   | 0.08%             | 2067-04-15      | Fixed         | 5.05%                 | 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      | $1375030.93   | 0.02%             | 2067-02-01      | Fixed         | 6.10%                 | 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      | $6154145.17   | 0.08%             | 2058-02-01      | Fixed         | 5.99%                 | 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      | $-7500119.00  | -0.10%            | 2068-02-01      | Fixed         | 4.50%                 | 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      | $-132532.00   | 0.00%             | 2068-02-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |  14090000 | PA      | $14094283.36  | 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        |   2359637 | PA      | $2358848.40   | 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        |   3556646 | PA      | $3547601.73   | 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        |  10770434 | PA      | $10746609.94  | 0.15%             | 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        |  34867531 | PA      | $34803200.74  | 0.48%             | 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        |  26935663 | PA      | $26534402.51  | 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        |  12852732 | PA      | $12740321.64  | 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        |  13995349 | PA      | $13834920.80  | 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        |  56291352 | PA      | $54146426.01  | 0.74%             | 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        |   9721961 | PA      | $9518607.20   | 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        |  28321572 | PA      | $26691297.68  | 0.36%             | 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        |  14820498 | PA      | $14581887.52  | 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        |  16006374 | PA      | $15369832.26  | 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        |  13465307 | PA      | $13047774.97  | 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        |  25634116 | PA      | $23069319.73  | 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        |  22556139 | PA      | $20767843.52  | 0.28%             | 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        |  10022865 | PA      | $9245251.22   | 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        |   6431294 | PA      | $6121356.76   | 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        |  22243103 | PA      | $20404999.27  | 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        |  32756162 | PA      | $30454157.59  | 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        |  10764402 | PA      | $10396270.04  | 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        |   6815500 | PA      | $6822765.80   | 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        |   7463226 | PA      | $7471181.70   | 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        |  49039599 | PA      | $42770720.03  | 0.58%             | 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        |  44822429 | PA      | $40726420.84  | 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        |  49345191 | PA      | $46270837.32  | 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        |  19400208 | PA      | $19239652.33  | 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        |  32453702 | PA      | $30884598.16  | 0.42%             | 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        |  37673239 | PA      | $36383458.40  | 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        |   2193736 | PA      | $2185526.55   | 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        |  39892640 | PA      | $37448857.21  | 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        |  23583305 | PA      | $22836044.48  | 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        |  50596546 | PA      | $47475548.83  | 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        |  33714301 | PA      | $30206395.08  | 0.41%             | 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        |   6102297 | PA      | $5377606.45   | 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        |  27573705 | PA      | $23534130.04  | 0.32%             | 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        |  14014438 | PA      | $12160215.87  | 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        |  14297542 | PA      | $12545807.30  | 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        |   4908524 | PA      | $4261820.92   | 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        |  20152839 | PA      | $21443245.43  | 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        |   6425154 | PA      | $6803274.32   | 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        |   5471370 | PA      | $5836315.51   | 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        |  16131149 | PA      | $17034832.18  | 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        |  12716662 | PA      | $13383841.51  | 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        |   5905122 | PA      | $6235932.48   | 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        |   2230659 | PA      | $2351598.82   | 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        |  10937229 | PA      | $10450446.06  | 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        |  15117328 | PA      | $14354598.61  | 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        |  10659060 | PA      | $10802221.35  | 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        |  39500086 | PA      | $41044025.86  | 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        |  10918385 | PA      | $11529497.90  | 0.16%             | 2059-08-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618F82N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5681842 | PA      | $5976524.67   | 0.08%             | 2060-05-15      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617V84Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 102472764 | PA      | $100900421.69 | 1.38%             | 2063-12-15      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618F4TC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22441980 | PA      | $22495571.15  | 0.31%             | 2060-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618K95X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8262838 | PA      | $8739876.93   | 0.12%             | 2060-04-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618F4TH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13429568 | PA      | $13826935.32  | 0.19%             | 2060-08-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618K5MD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9284802 | PA      | $9534470.22   | 0.13%             | 2060-04-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618K5ME9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9987551 | PA      | $10256116.03  | 0.14%             | 2060-04-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3618F4TD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  30095649 | PA      | $31419736.76  | 0.43%             | 2060-06-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 3617F2DM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  49187137 | PA      | $40086926.81  | 0.55%             | 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        |  32065900 | PA      | $33731306.65  | 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        |  17496507 | PA      | $19049129.53  | 0.26%             | 2065-04-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS HOUSING FINANCE AGENCY          | MF CONSTRUCTION RISK-SHARE PC | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $557132.00    | 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        |   1758541 | PA      | $1662962.96   | 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        |   1475395 | PA      | $1476915.08   | 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        |   3022958 | PA      | $3025962.88   | 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        |   1851029 | PA      | $1886837.23   | 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        |  57615000 | PA      | $56809427.07  | 0.78%             | 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        |   6416407 | PA      | $6400353.29   | 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        |   7022161 | PA      | $7003088.77   | 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        |   4296686 | PA      | $3990353.90   | 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        |   3004121 | PA      | $2814470.79   | 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        |   5508549 | PA      | $4635603.60   | 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        |  20837759 | PA      | $19729960.96  | 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        |    128564 | PA      | $128809.82    | 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        |   3863394 | PA      | $3885314.91   | 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        |   1877682 | PA      | $1894649.90   | 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        |    435891 | PA      | $437179.11    | 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        |   2333374 | PA      | $2386649.80   | 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        |   9669189 | PA      | $9424404.86   | 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        |  23566286 | PA      | $22566226.66  | 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        |   4691435 | PA      | $4308948.54   | 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        |  23860234 | PA      | $22842504.10  | 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        |  11783100 | PA      | $11232282.76  | 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        |   5931965 | PA      | $5674188.48   | 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        |   7530794 | PA      | $7106001.27   | 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        |   3335696 | PA      | $3280575.44   | 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        |  20187469 | PA      | $18697662.21  | 0.26%             | 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        |  14103330 | PA      | $13898029.37  | 0.19%             | 2027-10-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LBAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13297702 | PA      | $13245256.71  | 0.18%             | 2025-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LD6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $23349457.50  | 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        |  14029284 | PA      | $13778973.39  | 0.19%             | 2026-12-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138ET5Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558369 | PA      | $556157.97    | 0.01%             | 2026-05-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LHTV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7165560 | PA      | $6954857.75   | 0.10%             | 2029-04-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LJCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26301541 | PA      | $25829767.35  | 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        |   5979551 | PA      | $5871736.55   | 0.08%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LLU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17075486 | PA      | $16985926.73  | 0.23%             | 2027-12-01      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LLRM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22159027 | PA      | $22037334.45  | 0.30%             | 2028-01-01      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LMNU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29157146 | PA      | $28967047.73  | 0.40%             | 2028-02-01      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3138LMP49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36669933 | PA      | $36444856.45  | 0.50%             | 2028-03-01      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HT3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16982516 | PA      | $16990168.32  | 0.23%             | 2029-05-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140HUEF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40340833 | PA      | $40361810.32  | 0.55%             | 2029-06-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140JAWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3419865 | PA      | $3334702.55   | 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        |  13406163 | PA      | $13211732.26  | 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        |  36920293 | PA      | $35116094.74  | 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        |  11444549 | PA      | $11272423.19  | 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        |   8590432 | PA      | $7966756.24   | 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      | $17580348.00  | 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        |   9475346 | PA      | $9318801.25   | 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      | $10760890.68  | 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      | $19115988.12  | 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        |  11181178 | PA      | $10406264.50  | 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        |   6923587 | PA      | $6173841.59   | 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        |   3037950 | PA      | $2701164.16   | 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        |   1166605 | PA      | $1048460.13   | 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      | $2674891.95   | 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        |  25522932 | PA      | $22458631.04  | 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      | $5231757.42   | 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      | $9263514.75   | 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        |  20963929 | PA      | $18495931.53  | 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        |   4215256 | PA      | $3708066.88   | 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        |   1076787 | PA      | $959390.53    | 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      | $8584980.62   | 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      | $10720289.80  | 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        |  21172428 | PA      | $18544027.99  | 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        |  24070088 | PA      | $20968774.67  | 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      | $20441270.10  | 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        |   3523129 | PA      | $2614266.19   | 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      | $49375833.90  | 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        |   9754932 | PA      | $9000441.39   | 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      | $16042145.40  | 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        |  17819994 | PA      | $15571755.97  | 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      | $22039432.68  | 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      | $40179183.77  | 0.55%             | 2031-11-01      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LEMT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12670077 | PA      | $9479586.65   | 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        |  11892911 | PA      | $8935694.38   | 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      | $18755983.06  | 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      | $19716692.00  | 0.27%             | 2029-02-01      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LFRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6134472 | PA      | $4899405.63   | 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        |   7060109 | PA      | $5542520.04   | 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      | $28192399.84  | 0.39%             | 2032-05-01      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LGP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  63761248 | PA      | $63447619.07  | 0.87%             | 2029-06-01      | Floating      | 4.83%                 | 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      | $-404391.95   | -0.01%            | 2041-12-01      | 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      | $30981473.78  | 0.42%             | 2032-06-01      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 313637ZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19865000 | PA      | $18983387.33  | 0.26%             | 2033-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LGWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26250000 | PA      | $25621372.88  | 0.35%             | 2032-08-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LHUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11964549 | PA      | $11405717.37  | 0.16%             | 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      | $15812564.16  | 0.22%             | 2032-11-01      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LJPC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29835000 | PA      | $29810341.37  | 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      | $41643949.02  | 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      | $21799278.37  | 0.30%             | 2033-06-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LKR96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8587000 | PA      | $8549599.32   | 0.12%             | 2033-06-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LKWM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10632000 | PA      | $10598154.09  | 0.14%             | 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      | $21231184.60  | 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      | $29043976.90  | 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        |  11727649 | PA      | $12427823.87  | 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      | $10891934.00  | 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      | $12043587.58  | 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      | $19846630.50  | 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      | $11456024.54  | 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      | $15027880.08  | 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      | $13716087.15  | 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      | $7971778.14   | 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        |   4851666 | PA      | $4993873.20   | 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      | $3596508.18   | 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      | $15985552.51  | 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      | $3957041.33   | 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      | $15197885.03  | 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      | $8385483.43   | 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      | $4125581.51   | 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      | $6571165.54   | 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      | $5420898.67   | 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      | $7264688.14   | 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        |   3591329 | PA      | $3586844.43   | 0.05%             | 2028-01-01      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140NUQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11175000 | PA      | $11483956.34  | 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      | $2884559.99   | 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      | $3810951.90   | 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      | $7532901.04   | 0.10%             | 2034-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LLYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12400000 | PA      | $12413757.80  | 0.17%             | 2033-10-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3140LMBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6450977 | PA      | $6679681.61   | 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      | $10957140.60  | 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      | $19027717.93  | 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      | $16553814.16  | 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        |   9817000 | PA      | $10154178.61  | 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      | $37112331.60  | 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        |   4663309 | PA      | $4863539.39   | 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      | $1074444.90   | 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      | $8422747.56   | 0.12%             | 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        |   3643346 | PA      | $3848640.42   | 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      | $20875401.02  | 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      | $70650009.50  | 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      | $65861.34     | 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      | $22930407.28  | 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      | $17599552.42  | 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      | $9407566.87   | 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      | $9876765.50   | 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      | $13083712.13  | 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        |  24200000 | PA      | $24652213.30  | 0.34%             | 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        |  12986240 | PA      | $12664491.79  | 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      | $18485187.73  | 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      | $13712782.26  | 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      | $6431906.01   | 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        |   7299876 | PA      | $7452251.12   | 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      | $7665353.66   | 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        |  17492112 | PA      | $18232699.61  | 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        |  28014205 | PA      | $29457658.93  | 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      | $16070016.72  | 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        |  47305407 | PA      | $49300592.66  | 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      | $11281167.14  | 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      | $8861945.02   | 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      | $15605003.37  | 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        |  11308290 | PA      | $11540401.26  | 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      | $19862110.96  | 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      | $35784148.86  | 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      | $8214829.17   | 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      | $8640992.07   | 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      | $11487895.94  | 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      | $7796609.57   | 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      | $23524400.69  | 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      | $4710472.25   | 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      | $7871151.75   | 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      | $22013810.04  | 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      | $11899067.88  | 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      | $8265585.05   | 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      | $7968995.12   | 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      | $6591829.27   | 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        |   6050456 | PA      | $6192768.11   | 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        |   5349040 | PA      | $5310056.62   | 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      | $10602847.02  | 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      | $8752593.40   | 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      | $6883108.11   | 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      | $14251932.75  | 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        |  10437401 | PA      | $10778508.43  | 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      | $4762556.89   | 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      | $4116099.50   | 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      | $7584264.19   | 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      | $12234484.26  | 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      | $4367683.78   | 0.06%             | 2034-02-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132WWYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23331103 | PA      | $22715716.99  | 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        |   8970635 | PA      | $8678383.98   | 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        |   7288731 | PA      | $6653436.51   | 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        |  11522540 | PA      | $10529339.78  | 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        |  18992679 | PA      | $13590610.52  | 0.19%             | 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        |   3814993 | PA      | $3804114.46   | 0.05%             | 2027-07-01      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3132YBY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17407648 | PA      | $16716477.67  | 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      | $10314342.94  | 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      | $94120656.81  | 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      | $9270843.56   | 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        |   9770096 | PA      | $9858337.65   | 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      | $5169331.00   | 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      | $57684102.00  | 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        |  18618518 | PA      | $17681133.34  | 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      | $40101488.00  | 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        |  31656267 | PA      | $29871635.61  | 0.41%             | 2033-10-25      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137FKWD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4985310 | PA      | $4964445.54   | 0.07%             | 2026-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137FKSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9971432.00   | 0.14%             | 2025-10-25      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F72K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1105489 | PA      | $1102408.73   | 0.02%             | 2030-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F72L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1950863 | PA      | $1939570.28   | 0.03%             | 2030-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F84N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9559601 | PA      | $9510635.87   | 0.13%             | 2030-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F84M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4034480 | PA      | $4015946.09   | 0.05%             | 2030-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F8ZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4946060 | PA      | $4870160.98   | 0.07%             | 2030-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137F9ZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10697037 | PA      | $10631587.79  | 0.15%             | 2027-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137FXZ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23428612 | PA      | $23169545.93  | 0.32%             | 2031-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137H1LV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14014695 | PA      | $13914549.24  | 0.19%             | 2031-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137H2NB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11642887 | PA      | $11524885.22  | 0.16%             | 2031-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation        | MULTIFAMILY PERMANENT MBS     | CUSIP: 3137HADA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21716500 | PA      | $21753244.48  | 0.30%             | 2033-07-25      | Floating      | 5.07%                 | 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      | $35398204.49  | 0.48%             | 2033-04-25      | Floating      | 5.01%                 | 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      | $19987514.00  | 0.27%             | 2035-01-25      | Floating      | 4.91%                 | 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      | $32716349.25  | 0.45%             | 2030-07-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION         | MULTIFAMILY PERMANENT MBS     | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245847 | PA      | $1184239.58   | 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        |  19947088 | PA      | $19529130.29  | 0.27%             | 2027-09-25      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE SECURITIES                      | MF PERMANENT RISK-SHARE PC    | CUSIP: 12647RAA2<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          |  | US        |   4333763 | PA      | $3889975.49   | 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        |  18907076 | PA      | $17472784.97  | 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        |   5364072 | PA      | $4970340.75   | 0.07%             | 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        |    488955 | PA      | $475409.44    | 0.01%             | 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        |   5970610 | PA      | $5892343.47   | 0.08%             | 2045-12-16      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION      | MULTIFAMILY PERMANENT MBS     | CUSIP: 38378NPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6162937 | PA      | $6080454.95   | 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        |    906540 | PA      | $902402.23    | 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        |  15584202 | PA      | $15070445.73  | 0.21%             | 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        |   6460827 | PA      | $5870894.57   | 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      | $10675845.07  | 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        |   1907540 | PA      | $1849386.82   | 0.03%             | 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        |   2312481 | PA      | $2201750.01   | 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        |   1971496 | PA      | $1864407.13   | 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        |   1301740 | PA      | $1283484.36   | 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        |   4248660 | PA      | $3678818.85   | 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        |   1855021 | PA      | $1782945.02   | 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        |    844396 | PA      | $818589.09    | 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        |    122268 | PA      | $121447.37    | 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        |    523556 | PA      | $511367.35    | 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        |   1864996 | PA      | $1799436.05   | 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        |    860139 | PA      | $842356.73    | 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        |   2358575 | PA      | $2152843.41   | 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        |  15121640 | PA      | $12832242.22  | 0.18%             | 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      | $47278650.00  | 0.65%             | 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        |  28110440 | PA      | $27131457.57  | 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        |   2588039 | PA      | $2537002.97   | 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        |   2868386 | PA      | $2752308.40   | 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        |   6429800 | PA      | $5986819.10   | 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        |  56060514 | PA      | $48481132.93  | 0.66%             | 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        |  24788839 | PA      | $19957937.60  | 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        |  19543181 | PA      | $15583017.57  | 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        |  16202857 | PA      | $13013886.52  | 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        |  20823677 | PA      | $16867600.95  | 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        |  50890479 | PA      | $40214414.88  | 0.55%             | 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        |  34071549 | PA      | $27217256.32  | 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        |  46699818 | PA      | $36171503.13  | 0.49%             | 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        |  15239726 | PA      | $13236238.51  | 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        |  24848007 | PA      | $19774279.78  | 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        |  15480506 | PA      | $13142497.61  | 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        |  11447246 | PA      | $9916321.92   | 0.14%             | 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        |  25985928 | PA      | $20374718.91  | 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        |  49316310 | PA      | $38297823.18  | 0.52%             | 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        |   9030601 | PA      | $7639582.19   | 0.10%             | 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        |  13680976 | PA      | $11039018.28  | 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        |  25115135 | PA      | $20093747.96  | 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        |  17518624 | PA      | $13831430.20  | 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        |  23512154 | PA      | $18766355.12  | 0.26%             | 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        |  32927455 | PA      | $26248199.84  | 0.36%             | 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        |  15391378 | PA      | $12715705.28  | 0.17%             | 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        |  39958287 | PA      | $31991247.91  | 0.44%             | 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        |  40657427 | PA      | $32457624.67  | 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        |  36252431 | PA      | $29151866.87  | 0.40%             | 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        |  23515022 | PA      | $18730933.28  | 0.26%             | 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        |   9200000 | PA      | $7164134.76   | 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        |  19350302 | PA      | $15796009.54  | 0.22%             | 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      | $22933192.50  | 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      | $9278139.00   | 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      | $4844185.80   | 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      | $54129034.65  | 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      | $26906893.71  | 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      | $28634161.01  | 0.39%             | 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      | $5666770.30   | 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      | $13422493.40  | 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      | $35708785.13  | 0.49%             | 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      | $2370486.09   | 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      | $21105013.84  | 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      | $16229161.65  | 0.22%             | 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      | $24174604.50  | 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      | $1500584.70   | 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      | $999981.70    | 0.01%             | 2044-03-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: N/A<br>LEI: 54930053Z6M9JVHBQZ16       | Long             | ABS-MBS          | MUN               | US        |   2713778 | PA      | $2700182.04   | 0.04%             | 2047-12-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Illinois Housing Development Authority        | MULTIFAMILY REVENUE BONDS     | CUSIP: N/A<br>LEI: 54930053Z6M9JVHBQZ16       | Long             | ABS-MBS          | MUN               | US        |    830982 | PA      | $827076.25    | 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      | $13867939.50  | 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      | $95270847.00  | 1.30%             | 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        |  40000000 | PA      | $36149864.00  | 0.49%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10015551.00  | 0.14%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10104914.00  | 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      | $54596327.50  | 0.75%             | 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      | $106751751.50 | 1.46%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $18465554.00  | 0.25%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  93000000 | PA      | $89517680.10  | 1.22%             | 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      | $55085010.56  | 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      | $62302668.00  | 0.85%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Department of the Treasury      | US Treasury                   | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $102798390.00 | 1.41%             | 2028-09-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| 311 W 42nd Street                             | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  48359914 | PA      | $48165463.60  | 0.66%             | 2025-11-19      | Floating      | 7.33%                 | No            |                  3 | On Loan: No      |
| Ladder 260                                    | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   8161487 | PA      | $8146535.16   | 0.11%             | 2025-11-20      | Fixed         | 4.04%                 | No            |                  3 | On Loan: No      |
| Hudson Exchange                               | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  32293819 | PA      | $32248619.31  | 0.44%             | 2027-06-14      | Floating      | 7.00%                 | No            |                  3 | On Loan: No      |
| Landmark Towers                               | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  17258964 | PA      | $17310036.28  | 0.24%             | 2027-06-12      | Floating      | 6.51%                 | No            |                  3 | On Loan: No      |
| 400 Lake Shore Drive                          | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9822 | PA      | $275039.68    | 0.00%             | 2058-12-01      | Floating      | 6.53%                 | No            |                  3 | On Loan: No      |
| 400 Lake Shore Drive                          | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   6924108 | PA      | $7030194.96   | 0.10%             | 2053-12-01      | Floating      | 6.53%                 | No            |                  3 | On Loan: No      |
| Olson Court                                   | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |  21802695 | PA      | $22327968.81  | 0.31%             | 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        |    372207 | PA      | $413348.82    | 0.01%             | 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      | $-28689.23    | 0.00%             | 2027-06-25      | Floating      | 6.16%                 | No            |                  3 | On Loan: No      |
| Carville Park Apartments                      | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         0 | PA      | $-60996.67    | 0.00%             | 2027-06-11      | Floating      | 6.87%                 | No            |                  3 | On Loan: No      |
| Rochester Civic Center                        | MULTIFAMILY CONSTRUCTION      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         0 | PA      | $89472.21     | 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      | $282737.78    | 0.00%             | 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      | $291790.89    | 0.00%             | 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        |         0 | PA      | $-300862.90   | 0.00%             | 2028-10-31      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| HIT Advisers, LLC                             | Equity                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               |  | US        |       999 | OU      | $912124.44    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                           | US Treasury Futures           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      1050 | NC      | $1570941.94   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                           | US Treasury Futures           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |        70 | NC      | $-102812.50   | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                           | US Treasury Futures           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |     -1385 | NC      | $-96674.80    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

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

**Signature:** Nicholas C. Milano

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

**Title:** General Counsel