# EDGAR Filing Document

**Accession Number:** 0000710826
**File Stem:** 0001410368-26-020735
**Filing Date:** 2026-2
**Character Count:** 337457
**Document Hash:** 078915e02153cdb13f13a7d745622ddf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-020735.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001410368-26-020735

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust II
- **CENTRAL INDEX KEY:** 0000710826

**ORGANIZATION NAME:**
- **EIN:** 833164113
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03618
- **FILM NUMBER:** 26698897

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 980-949-5121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND
- **DATE OF NAME CHANGE:** 20120430

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Western Asset Management U.S. Government Portfolio (Series ID: S000006527)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017845 | Class A      |  |
| C000017846 | Class B      |  |
| C000017847 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust II

- **b. Investment Company Act file number:** 811-03618

- **c. CIK number of Registrant:** 0000710826

- **d. LEI of Registrant:** 549300NPPA08K2CWOV06

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** Western Asset Management U.S. Government Portfolio

- **b. EDGAR series identifier (if any):** S000006527

- **c. LEI of Series:** 549300EGJ01DADX3JK13

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1334273290.64

**Total Liabilities:** $96982510.84

**Net Assets:** $1237290779.80

**Delayed Delivery Securities:** $80413058.57

**Cash Not Reported:** $607397.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1286.55000000 | **1-Year:** -21574.53000000 | **5-Year:** -45550.06000000 | **10-Year:** -57752.34000000 | **30-Year:** -2301.76000000

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

- **3-Month:** -328.76000000 | **1-Year:** -15155.07000000 | **5-Year:** -45401.00000000 | **10-Year:** -4387.07000000 | **30-Year:** -1136.66000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017845 | 0.57%                | 0.66%                | 0.00%                |
| Class ID C000017846 | 0.57%                | 0.56%                | 0.00%                |
| Class ID C000017847 | 0.66%                | 0.56%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1325302.83             | $5252066.91                                |
| Month 2  | $188956.52               | $4042322.48                                |
| Month 3  | $-913999.96              | $-3638865.55                               |

**Designated Index Information**

- **Index Name:** 33.33% Bloomberg MBS 33.34% Government Intermediate 33.33% US Agency

- **Index Identifier:** 33.33% LUMSTRUU, 33.34% LUGITRUU, 33.33% LUAATRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                          | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $8297208.45   | 0.67%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                          | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5100000 | PA      | $5085656.25   | 0.41%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                          | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $18251686.62  | 1.48%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                          | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $15400912.05  | 1.24%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-OA9                                | CUSIP: 02146YAD8<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    670702 | PA      | $587363.53    | 0.05%             | 2046-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2025-6                                | CUSIP: 034937AC6<br>LEI: 254900GRN1I3WMM1H095 | Long             | ABS-MBS          | CORP              | US        |   1696464 | PA      | $1713771.55   | 0.14%             | 2070-04-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                     | BLP Commercial Mortgage Trust 2023-IND                         | CUSIP: 055531AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4207681 | PA      | $4212876.56   | 0.34%             | 2040-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2021-LBA                                              | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585199 | PA      | $584723.76    | 0.05%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2022-VAMF                                             | CUSIP: 05609TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2998177.20   | 0.24%             | 2039-01-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2005-F Trust                          | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6986 | PA      | $6655.25      | 0.00%             | 2035-07-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK36                                                | CUSIP: 06540DBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2770000 | PA      | $2477843.11   | 0.20%             | 2064-09-15      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK9                                                 | CUSIP: 06540RAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1564885 | PA      | $1544486.26   | 0.12%             | 2054-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK32                                                | CUSIP: 06542BBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860000 | PA      | $786414.62    | 0.06%             | 2054-04-15      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR1                                                | CUSIP: 06644EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415370 | PA      | $424423.96    | 0.03%             | 2056-04-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2023-B38 Mortgage Trust                              | CUSIP: 081916AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2821440.60   | 0.23%             | 2056-04-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2023-NQM7                      | CUSIP: 10569HAC8<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |    445006 | PA      | $449809.70    | 0.04%             | 2063-09-25      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2006-R2                          | CUSIP: 125435AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103698 | PA      | $98272.20     | 0.01%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-R6                                              | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1531630 | PA      | $1421087.45   | 0.11%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2023-R4                                              | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2065628 | PA      | $2064293.06   | 0.17%             | 2062-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-AFC1 Trust                                           | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    462974 | PA      | $396384.72    | 0.03%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-AFC1 Trust                                           | CUSIP: 12657LAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    398560 | PA      | $344923.62    | 0.03%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM7                                                 | CUSIP: 12662QAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    452795 | PA      | $405724.72    | 0.03%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2023-SMRT                  | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520000 | PA      | $1566442.23   | 0.13%             | 2040-10-12      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                       | CUSIP: 20753UAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   1950000 | PA      | $1961236.29   | 0.16%             | 2044-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                     | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5300000 | PA      | $4570835.96   | 0.37%             | 2055-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                     | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $898398.44    | 0.07%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                     | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $545929.31    | 0.04%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                     | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1700000 | PA      | $1655640.63   | 0.13%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                     | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8500000 | PA      | $8655722.64   | 0.70%             | 2056-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM5 Trust                                           | CUSIP: 22946DAA0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    781763 | PA      | $667000.08    | 0.05%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| ENEL CHILE SA                                     | Enel Chile SA                                                  | CUSIP: 29278DAA3<br>LEI: 549300YM5CWCAUVOPB53 | Long             | DBT              | CORP              | CL        |   4000000 | PA      | $4056004.00   | 0.33%             | 2028-06-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL CO                           | EQUATE Petrochemical Co KSC                                    | CUSIP: 29441WAC9<br>LEI: 635400J73BDO4TTGXD45 | Long             | DBT              | CORP              | KW        |   1540000 | PA      | $1536635.10   | 0.12%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2025-ESH                           | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1201873.56   | 0.10%             | 2042-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 31283HHL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       401 | PA      | $418.54       | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                      | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2446768 | PA      | $2443352.93   | 0.20%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                      | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    585691 | PA      | $603663.48    | 0.05%             | 2047-11-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                      | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1165183 | PA      | $1185010.75   | 0.10%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61234 | PA      | $64688.77     | 0.01%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3128M93E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306877 | PA      | $307475.05    | 0.02%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3128MJUJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15628 | PA      | $15925.94     | 0.00%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3128P8F48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258774 | PA      | $245804.95    | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                       | Federal Home Loan Mortgage Corp                                | CUSIP: 3128X9MF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  10000000 | PA      | $6072303.10   | 0.49%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                       | Federal Home Loan Mortgage Corp                                | CUSIP: 3128X9MG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  24765000 | PA      | $14864672.42  | 1.20%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                       | Federal Home Loan Mortgage Corp                                | CUSIP: 312902LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   5562000 | PA      | $4809868.98   | 0.39%             | 2029-12-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 31296LZK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5511 | PA      | $5563.52      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                        | CUSIP: 3130ALED2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   9990000 | PA      | $9709466.91   | 0.78%             | 2027-02-24      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                        | CUSIP: 3130ALGJ7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   9979125 | PA      | $9921954.49   | 0.80%             | 2026-03-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                        | CUSIP: 3130ALJJ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  15000000 | PA      | $12135873.75  | 0.98%             | 2036-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                        | CUSIP: 3130APJ55<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  15000000 | PA      | $14719464.45  | 1.19%             | 2026-10-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                        | CUSIP: 3130AQUT8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  20000000 | PA      | $19668601.80  | 1.59%             | 2027-02-17      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                        | CUSIP: 3130AYPN0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   4000000 | PA      | $4025608.68   | 0.33%             | 2027-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                        | CUSIP: 3130B5K64<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2500000 | PA      | $2514429.43   | 0.20%             | 2027-03-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3131XXBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3201411 | PA      | $3010944.07   | 0.24%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3131Y6Q93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307921 | PA      | $292449.55    | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                             | CUSIP: 31325YXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433086 | PA      | $108043.14    | 0.01%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    950231 | PA      | $917838.23    | 0.07%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132A3RZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    793185 | PA      | $810009.62    | 0.07%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104187 | PA      | $101859.36    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132AA4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205852 | PA      | $187356.24    | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119684 | PA      | $113667.80    | 0.01%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132ADUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    846117 | PA      | $771765.15    | 0.06%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132AEFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940501 | PA      | $931287.00    | 0.08%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132AEUQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151465 | PA      | $143150.20    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1881318 | PA      | $1644111.40   | 0.13%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1894989 | PA      | $1640745.88   | 0.13%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    522825 | PA      | $457245.92    | 0.04%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1131786 | PA      | $985834.03    | 0.08%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132D9P99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2128559 | PA      | $1848766.48   | 0.15%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132D9QM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157704 | PA      | $137366.76    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132D9RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432532 | PA      | $375944.97    | 0.03%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428614 | PA      | $368878.07    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228193 | PA      | $188692.77    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DMWN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464601 | PA      | $401257.53    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431548 | PA      | $355970.74    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DN5A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3055843 | PA      | $3082670.22   | 0.25%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1322934 | PA      | $1237743.98   | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1456037 | PA      | $1458745.97   | 0.12%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467112 | PA      | $470273.37    | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383309 | PA      | $384022.14    | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    462269 | PA      | $466810.49    | 0.04%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678828 | PA      | $690998.19    | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824907 | PA      | $844774.02    | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DQKC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    787141 | PA      | $678981.45    | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150952 | PA      | $157301.10    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DS3G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246911 | PA      | $255319.01    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DS5M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335226 | PA      | $324772.61    | 0.03%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DSJ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2069297 | PA      | $2107433.55   | 0.17%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DSU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151723 | PA      | $158164.27    | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DSUT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    579776 | PA      | $592227.74    | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DSWC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1104563 | PA      | $1148268.87   | 0.09%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DTAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336005 | PA      | $345139.38    | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DTDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3631707 | PA      | $3598472.25   | 0.29%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DTKC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    831758 | PA      | $855491.94    | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DTKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    558096 | PA      | $580480.31    | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DTQ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    904514 | PA      | $939868.33    | 0.08%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560738 | PA      | $506260.77    | 0.04%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9418304 | PA      | $8128769.55   | 0.66%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    902057 | PA      | $781366.00    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5091270 | PA      | $4589118.60   | 0.37%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1154162 | PA      | $1140287.00   | 0.09%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227942 | PA      | $228645.52    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132E0BK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302883 | PA      | $316187.17    | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132E0D33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    948986 | PA      | $956553.34    | 0.08%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132E0EJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466629 | PA      | $483224.50    | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132E0KM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1065803 | PA      | $1084580.07   | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132E0Z62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403948 | PA      | $412529.77    | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132H5EK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197315 | PA      | $192345.51    | 0.02%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132HBH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431436 | PA      | $420568.56    | 0.03%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132JBF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1098307 | PA      | $1074264.08   | 0.09%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132JMX87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722272 | PA      | $705622.15    | 0.06%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212926 | PA      | $210598.26    | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132WEKX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190550 | PA      | $180764.61    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132WN4B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292076 | PA      | $291391.13    | 0.02%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132WNEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231773 | PA      | $230472.84    | 0.02%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175817 | PA      | $174759.05    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3132XJRX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $3091962.35   | 0.25%             | 2035-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                          | CUSIP: 31335BXQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377533 | PA      | $342819.81    | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37326 | PA      | $33757.16     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133A2JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46689 | PA      | $42239.04     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133A4XN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144152 | PA      | $130745.21    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AEPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31693 | PA      | $27316.23     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207921 | PA      | $171516.44    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168285 | PA      | $137808.88    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225437 | PA      | $186051.20    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164725 | PA      | $136232.26    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AGKB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475503 | PA      | $392942.80    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179583 | PA      | $147755.20    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65435 | PA      | $54082.54     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278613 | PA      | $229668.71    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AJ6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1106164 | PA      | $912045.49    | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63365 | PA      | $51824.31     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251677 | PA      | $206930.66    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156989 | PA      | $129318.35    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199072 | PA      | $163668.73    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178201 | PA      | $154316.74    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129500 | PA      | $113052.72    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AN5F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482525 | PA      | $416479.28    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260526 | PA      | $225616.68    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209730 | PA      | $181626.62    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215453 | PA      | $186228.87    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226163 | PA      | $195052.00    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262548 | PA      | $227367.17    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1549609 | PA      | $1335414.37   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445650 | PA      | $384407.43    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133B1TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135659 | PA      | $116778.08    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    832269 | PA      | $717447.35    | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151119 | PA      | $130238.38    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133B5FE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78296 | PA      | $64543.95     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    527084 | PA      | $453360.41    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    665224 | PA      | $590643.50    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133BCYY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2413557 | PA      | $2374864.17   | 0.19%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133BEBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    888041 | PA      | $873804.34    | 0.07%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295235 | PA      | $295324.12    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62415 | PA      | $63507.58     | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116723 | PA      | $104778.68    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133D4M59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2067752 | PA      | $1797235.04   | 0.15%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                          | Federal Farm Credit Banks Funding Corp                         | CUSIP: 3133EHL68<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  10000000 | PA      | $9851325.40   | 0.80%             | 2027-10-26      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                          | Federal Farm Credit Banks Funding Corp                         | CUSIP: 3133EL5K6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   8000000 | PA      | $7144880.72   | 0.58%             | 2030-09-03      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                          | Federal Farm Credit Banks Funding Corp                         | CUSIP: 3133EMAG7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1195000 | PA      | $943303.96    | 0.08%             | 2035-09-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                          | Federal Farm Credit Banks Funding Corp                         | CUSIP: 3133EMQX3<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   7900000 | PA      | $7867595.23   | 0.64%             | 2026-02-17      | Fixed         | 0.59%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                          | Federal Farm Credit Banks Funding Corp                         | CUSIP: 3133ENTS9<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  10000000 | PA      | $9886098.20   | 0.80%             | 2027-04-05      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                          | Federal Farm Credit Banks Funding Corp                         | CUSIP: 3133ENZH6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   3000000 | PA      | $2958797.97   | 0.24%             | 2042-06-27      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                          | Federal Farm Credit Banks Funding Corp                         | CUSIP: 3133ERDM0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   8000000 | PA      | $8343862.96   | 0.67%             | 2031-05-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                          | Federal Farm Credit Banks Funding Corp                         | CUSIP: 3133ETNU7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |  10000000 | PA      | $10055929.30  | 0.81%             | 2028-07-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257433 | PA      | $211046.09    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2563095 | PA      | $2314518.63   | 0.19%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714194 | PA      | $590904.55    | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2928258 | PA      | $2536510.94   | 0.21%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2307540 | PA      | $1998822.68   | 0.16%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    966043 | PA      | $832870.92    | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2321241 | PA      | $1909665.14   | 0.15%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1267636 | PA      | $1043545.11   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3006811 | PA      | $2474367.27   | 0.20%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KMFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2352121 | PA      | $2024704.85   | 0.16%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    703452 | PA      | $610192.59    | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1234339 | PA      | $1072185.20   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KNWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451835 | PA      | $401179.84    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KQXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641799 | PA      | $644176.93    | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304352 | PA      | $310339.89    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KRQN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146397 | PA      | $154562.84    | 0.01%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KTYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2505666 | PA      | $2177867.35   | 0.18%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302934 | PA      | $265494.77    | 0.02%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2962491 | PA      | $2586195.42   | 0.21%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72875 | PA      | $61452.15     | 0.00%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71147 | PA      | $61839.72     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3235262 | PA      | $2753529.24   | 0.22%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199621 | PA      | $174582.23    | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2381370 | PA      | $2021441.98   | 0.16%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1372451 | PA      | $1193401.26   | 0.10%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575304 | PA      | $485310.93    | 0.04%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366663 | PA      | $317557.83    | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75558 | PA      | $65532.13     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1196491 | PA      | $1068756.03   | 0.09%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                      | CUSIP: 31347AX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183145 | PA      | $179473.29    | 0.01%             | 2047-03-01      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                       | Federal Home Loan Mortgage Corp                                | CUSIP: 3134A3ZU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   7443000 | PA      | $6401866.83   | 0.52%             | 2029-12-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Strips                                             | CUSIP: 3134A4KY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   9000000 | PA      | $6966041.67   | 0.56%             | 2032-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Coupon Strips                                      | CUSIP: 3134A4NM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   5400000 | PA      | $4923417.33   | 0.40%             | 2028-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                        | Fannie Mae Principal Strip                                     | CUSIP: 31358DDR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  30000000 | PA      | $25362430.20  | 2.05%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912584 | PA      | $80252.90     | 0.01%             | 2041-10-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136A5J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270137 | PA      | $285665.31    | 0.02%             | 2042-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136A65W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23093 | PA      | $21200.52     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136A65Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272501 | PA      | $15009.75     | 0.00%             | 2042-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136A6Q56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46187 | PA      | $42387.61     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136AATF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185246 | PA      | $21836.72     | 0.00%             | 2042-12-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136ABQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1126953 | PA      | $56811.14     | 0.00%             | 2042-03-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528345 | PA      | $563423.51    | 0.05%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442124 | PA      | $458011.16    | 0.04%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136B3HQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26427 | PA      | $24774.69     | 0.00%             | 2048-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BA4U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425228 | PA      | $82133.73     | 0.01%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BBEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17007834 | PA      | $2858982.92   | 0.23%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BBF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1604104 | PA      | $253947.49    | 0.02%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BBXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2162272 | PA      | $362555.45    | 0.03%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BDF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570086 | PA      | $98421.10     | 0.01%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1857270 | PA      | $279986.95    | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BFGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466169 | PA      | $100585.32    | 0.01%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BGNQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892160 | PA      | $122575.20    | 0.01%             | 2047-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BGVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753708 | PA      | $79985.97     | 0.01%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BGZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2283000 | PA      | $330751.43    | 0.03%             | 2047-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BJ7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739278 | PA      | $108634.34    | 0.01%             | 2048-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BJWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1232893 | PA      | $194534.77    | 0.02%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BMGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    868058 | PA      | $182193.17    | 0.01%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BMZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1765298 | PA      | $302106.62    | 0.02%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BPUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4259474 | PA      | $518816.30    | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BQ3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2825312 | PA      | $492920.67    | 0.04%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BQJD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681086 | PA      | $92054.90     | 0.01%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6826712 | PA      | $914834.68    | 0.07%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                      | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458673 | PA      | $66878.49     | 0.01%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                      | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664103 | PA      | $117738.93    | 0.01%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                      | CUSIP: 3136FLFR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365431 | PA      | $61725.63     | 0.00%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31371GUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       115 | PA      | $116.82       | 0.00%             | 2028-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31375QVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.32        | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates   | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16226672 | PA      | $163039.11    | 0.01%             | 2027-09-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates   | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  75367352 | PA      | $2638317.06   | 0.21%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137F8NU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1032150 | PA      | $167592.83    | 0.01%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137F8UQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1448269 | PA      | $192921.62    | 0.02%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates   | CUSIP: 3137FKUR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58032841 | PA      | $565123.81    | 0.05%             | 2028-12-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates   | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51851125 | PA      | $1440979.06   | 0.12%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates   | CUSIP: 3137FL6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  82396685 | PA      | $1185663.58   | 0.10%             | 2029-01-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2533180 | PA      | $594466.67    | 0.05%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137FYJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1587174 | PA      | $347033.14    | 0.03%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H0TS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1491911 | PA      | $196804.93    | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H0X60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    813692 | PA      | $176980.89    | 0.01%             | 2049-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H1PP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493026 | PA      | $81252.00     | 0.01%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H3ST0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1228868 | PA      | $179640.90    | 0.01%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H4AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2093103 | PA      | $297017.02    | 0.02%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H4D49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2413205 | PA      | $366630.58    | 0.03%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H4VE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1196038 | PA      | $236494.20    | 0.02%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H9AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1178496 | PA      | $202137.57    | 0.02%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H9F46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19933235 | PA      | $3288248.18   | 0.27%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H9KH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882613 | PA      | $187021.89    | 0.02%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H9QF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2047597 | PA      | $316488.50    | 0.03%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H9QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4119714 | PA      | $517639.97    | 0.04%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137H9QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2124560 | PA      | $279101.80    | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137HBDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7163556 | PA      | $876540.54    | 0.07%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137HBW26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1231596 | PA      | $208772.09    | 0.02%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137HBW34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1732236 | PA      | $229567.36    | 0.02%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137HBW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1229674 | PA      | $267563.83    | 0.02%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137HCG71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1243410 | PA      | $212129.05    | 0.02%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    599268 | PA      | $602859.78    | 0.05%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                             | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575578 | PA      | $578980.74    | 0.05%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31382VWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9371 | PA      | $9722.24      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31387W3S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1818 | PA      | $1871.66      | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138A4BH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13190 | PA      | $13350.84     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138A6V98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15168 | PA      | $15537.06     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138ADR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21481 | PA      | $22026.05     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43391 | PA      | $44621.70     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263028 | PA      | $270487.47    | 0.02%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85277 | PA      | $87696.41     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138AFWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35752 | PA      | $36765.92     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138AFWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54342 | PA      | $55883.46     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138AHWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34090 | PA      | $34959.32     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193410 | PA      | $198893.21    | 0.02%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115252 | PA      | $109960.02    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138ENWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4118675 | PA      | $4028936.11   | 0.33%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138M3TF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519996 | PA      | $508718.63    | 0.04%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138M8J38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822028 | PA      | $760520.21    | 0.06%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138MDZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397568 | PA      | $387099.64    | 0.03%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133940 | PA      | $123338.59    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138W92M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2225578 | PA      | $2174304.32   | 0.18%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321605 | PA      | $296149.93    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138W9CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187363 | PA      | $182428.67    | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138WDW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30955 | PA      | $31045.92     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138WJ5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109118 | PA      | $102868.79    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105329 | PA      | $102173.82    | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95902 | PA      | $95251.31     | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299017 | PA      | $275318.20    | 0.02%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3138Y5DC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1587301 | PA      | $1554032.00   | 0.13%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31391HCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       481 | PA      | $494.93       | 0.00%             | 2032-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae REMIC Trust 2003-W14                                | CUSIP: 31393E6M6<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     83497 | PA      | $82040.06     | 0.01%             | 2043-01-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                              | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2091191 | PA      | $2174796.36   | 0.18%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287676 | PA      | $261517.60    | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211657 | PA      | $192258.33    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257607 | PA      | $243365.14    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140FPDN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35716 | PA      | $35615.15     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140FPFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468286 | PA      | $465108.68    | 0.04%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140FUHP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37262 | PA      | $37213.02     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606442 | PA      | $592194.46    | 0.05%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1271917 | PA      | $1238492.29   | 0.10%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4176152 | PA      | $3438662.72   | 0.28%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293015 | PA      | $276810.73    | 0.02%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164395 | PA      | $163859.20    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349863 | PA      | $301263.66    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31034 | PA      | $28333.33     | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761243 | PA      | $726989.09    | 0.06%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    986300 | PA      | $941005.38    | 0.08%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140JAHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129876 | PA      | $128781.10    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415116 | PA      | $344189.21    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401052 | PA      | $330283.33    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300644 | PA      | $298541.90    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140K44S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74485 | PA      | $67548.38     | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140K9UP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84926 | PA      | $83403.92     | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102847 | PA      | $84931.00     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52394 | PA      | $43391.00     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124452 | PA      | $107555.15    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207999 | PA      | $186312.18    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KSMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476379 | PA      | $410608.89    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KVF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5020973 | PA      | $4144091.64   | 0.33%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KVQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475305 | PA      | $393253.48    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116653 | PA      | $100711.02    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742899 | PA      | $643088.07    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241220 | PA      | $197332.65    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306204 | PA      | $252420.32    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174581 | PA      | $143737.79    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219144 | PA      | $182015.19    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347552 | PA      | $284166.36    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126774 | PA      | $104615.36    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120916 | PA      | $99485.90     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368747 | PA      | $303391.46    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198161 | PA      | $162940.33    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327169 | PA      | $270199.93    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463212 | PA      | $381841.46    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171192 | PA      | $148250.58    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66358 | PA      | $54303.78     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123939 | PA      | $102405.61    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L7FS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50965 | PA      | $44052.95     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68081 | PA      | $56186.04     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164355 | PA      | $142189.94    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140LHMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98684.99     | 0.01%             | 2032-10-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258221 | PA      | $222863.54    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412029 | PA      | $333709.48    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340015 | PA      | $293503.21    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341735 | PA      | $295380.13    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126967 | PA      | $109953.19    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208505 | PA      | $180089.03    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140LYRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2376151 | PA      | $2043811.73   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416488 | PA      | $358523.74    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140MAWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151033 | PA      | $152290.92    | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189052 | PA      | $169209.13    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302501 | PA      | $259628.15    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268096 | PA      | $269338.78    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140MUU40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1079510 | PA      | $1064991.41   | 0.09%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140N3AS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487419 | PA      | $488452.03    | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140N4TK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132542 | PA      | $134921.01    | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140NWRR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1684148.15   | 0.14%             | 2034-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140Q1AC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1959539.94   | 0.16%             | 2035-12-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140Q83A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2594085 | PA      | $2507125.25   | 0.20%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353810 | PA      | $351408.63    | 0.03%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596799 | PA      | $592626.60    | 0.05%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176338 | PA      | $169640.62    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QERD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54127 | PA      | $47801.11     | 0.00%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855792 | PA      | $739601.08    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QFG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1548010 | PA      | $1356552.64   | 0.11%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365182 | PA      | $328962.43    | 0.03%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441708 | PA      | $397671.85    | 0.03%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1469946 | PA      | $1328313.48   | 0.11%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816697 | PA      | $669401.83    | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873099 | PA      | $752375.56    | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QMRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354022 | PA      | $304506.23    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QMT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1188570 | PA      | $1022249.19   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411845 | PA      | $1215140.12   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QNM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281030 | PA      | $1150565.84   | 0.09%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QNPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039339 | PA      | $972408.54    | 0.08%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132743 | PA      | $134883.56    | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198548 | PA      | $200380.20    | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787945 | PA      | $802582.36    | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QQ4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942089 | PA      | $969660.41    | 0.08%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QQVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1631315 | PA      | $1666495.28   | 0.13%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QSHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4360830 | PA      | $4536736.14   | 0.37%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QUD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1573971 | PA      | $1624377.19   | 0.13%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318615 | PA      | $332450.11    | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140QUKA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1755357 | PA      | $1830872.66   | 0.15%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320604 | PA      | $307839.11    | 0.02%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124848 | PA      | $120083.59    | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X5QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88473 | PA      | $88601.87     | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1559474 | PA      | $1548893.60   | 0.13%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4520951 | PA      | $4086958.16   | 0.33%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462129 | PA      | $461087.94    | 0.04%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277377 | PA      | $248764.78    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X8EY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2258212 | PA      | $2042338.29   | 0.17%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1458627 | PA      | $1204902.20   | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X9JE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133318 | PA      | $132413.14    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148521 | PA      | $128233.36    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394131 | PA      | $375487.70    | 0.03%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109514 | PA      | $106059.70    | 0.01%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140X9YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2476391 | PA      | $2245206.95   | 0.18%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138689 | PA      | $114626.27    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135456 | PA      | $112274.30    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927003 | PA      | $762846.31    | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307364 | PA      | $265848.45    | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745221 | PA      | $646275.75    | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XBK82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1146122 | PA      | $989250.79    | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XBPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314154 | PA      | $272061.14    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387724 | PA      | $335777.28    | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137309 | PA      | $118687.75    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120124 | PA      | $104867.61    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257593 | PA      | $222171.40    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196037 | PA      | $169451.18    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415935 | PA      | $360995.63    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126289 | PA      | $110248.56    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293638 | PA      | $265648.09    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8619354 | PA      | $7819078.65   | 0.63%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150058 | PA      | $1040244.99   | 0.08%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XCTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256298 | PA      | $230165.41    | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361093 | PA      | $312114.23    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726437 | PA      | $628082.91    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272353 | PA      | $235863.56    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328138 | PA      | $296463.16    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127677 | PA      | $109907.18    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XDY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1127840 | PA      | $970100.33    | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XF4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685745 | PA      | $589418.56    | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674157 | PA      | $585711.04    | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142352 | PA      | $122620.80    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469888 | PA      | $423039.96    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289633 | PA      | $261600.83    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173715 | PA      | $157521.17    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287763 | PA      | $248200.08    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807664 | PA      | $729168.05    | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFJT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1496107 | PA      | $1296819.97   | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61507 | PA      | $55919.61     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611395 | PA      | $533751.48    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338786 | PA      | $305571.22    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63068 | PA      | $58261.06     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1153267 | PA      | $993910.07    | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478850 | PA      | $415132.60    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1282426 | PA      | $1101456.50   | 0.09%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70574 | PA      | $60914.85     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511546 | PA      | $441573.98    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357039 | PA      | $307699.40    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310784 | PA      | $267431.86    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218798 | PA      | $178057.55    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143104 | PA      | $117949.95    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XFZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292168 | PA      | $251653.46    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065227 | PA      | $956072.83    | 0.08%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452167 | PA      | $372431.49    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2279749 | PA      | $2060239.31   | 0.17%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556987 | PA      | $481585.91    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1252992 | PA      | $1036076.40   | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    849526 | PA      | $769732.65    | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268812 | PA      | $247723.86    | 0.02%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118853 | PA      | $111464.42    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621439 | PA      | $582194.15    | 0.05%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413231 | PA      | $380510.49    | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213468 | PA      | $184085.01    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2518306 | PA      | $2361801.66   | 0.19%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XHSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1868851 | PA      | $1799901.32   | 0.15%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XJBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7823907 | PA      | $7367493.79   | 0.60%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XJTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503329 | PA      | $505816.77    | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XKLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74447 | PA      | $74607.22     | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XKM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405569 | PA      | $406120.55    | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128899 | PA      | $136253.75    | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XKSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619439 | PA      | $644490.27    | 0.05%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1625394 | PA      | $1340800.06   | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901589 | PA      | $741454.08    | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XL2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627326 | PA      | $642525.56    | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XL3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203775 | PA      | $211112.84    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XLCG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    913284 | PA      | $939131.59    | 0.08%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316345 | PA      | $299834.07    | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XLWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612794 | PA      | $621575.89    | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XLXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894994 | PA      | $777550.36    | 0.06%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XM5C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481095 | PA      | $499728.03    | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XMHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489781 | PA      | $503585.48    | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XMKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671223 | PA      | $676738.16    | 0.05%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XMY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3108621 | PA      | $2699997.21   | 0.22%             | 2042-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XN6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185815 | PA      | $1028927.15   | 0.08%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XNEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    839171 | PA      | $856798.01    | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XNNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1282835 | PA      | $1081763.66   | 0.09%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XP3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1241390 | PA      | $1275541.91   | 0.10%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XP3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348861 | PA      | $356341.57    | 0.03%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XPG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341118 | PA      | $296916.03    | 0.02%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975881 | PA      | $969749.47    | 0.08%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 3140XQA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4962521 | PA      | $4448949.26   | 0.36%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31410LNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318049 | PA      | $320214.44    | 0.03%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113560 | PA      | $109062.25    | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31412MBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5036 | PA      | $5299.60      | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31412TZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11124 | PA      | $11730.78     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31413TUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11028 | PA      | $11580.32     | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31414KEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1918 | PA      | $2013.76      | 0.00%             | 2038-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31415WQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7788 | PA      | $8178.51      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31415XH20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4620 | PA      | $4851.59      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31415XJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2391 | PA      | $2458.96      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31416WLJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8192 | PA      | $8424.47      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31417VPB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3795 | PA      | $3902.46      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418AAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102874 | PA      | $103768.80    | 0.01%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108628 | PA      | $109471.03    | 0.01%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418ACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32028 | PA      | $32308.08     | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418AH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2040441 | PA      | $1937928.68   | 0.16%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149941 | PA      | $142407.95    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070954 | PA      | $1017146.01   | 0.08%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418AK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187942 | PA      | $182994.00    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384559 | PA      | $374435.37    | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14522 | PA      | $14139.95     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418AWH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161764 | PA      | $157504.50    | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340648 | PA      | $325968.57    | 0.03%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289178 | PA      | $276345.72    | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3892627 | PA      | $3714017.72   | 0.30%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1557150 | PA      | $1483575.50   | 0.12%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294357 | PA      | $1234442.26   | 0.10%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2974771 | PA      | $2508520.88   | 0.20%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3276106 | PA      | $2811017.03   | 0.23%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4589873 | PA      | $3751959.24   | 0.30%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418DYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338079 | PA      | $288013.86    | 0.02%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426645 | PA      | $370831.97    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2951342 | PA      | $2563391.88   | 0.21%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1055861 | PA      | $916415.53    | 0.07%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219927 | PA      | $194803.20    | 0.02%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240289 | PA      | $212956.72    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418EDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382978 | PA      | $332159.48    | 0.03%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418EDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149442 | PA      | $134035.73    | 0.01%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418QCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256968 | PA      | $252954.84    | 0.02%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31418UGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7624 | PA      | $7828.86      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                | CUSIP: 31419ACU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4285 | PA      | $4406.64      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                      | CUSIP: 31423XMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2145541 | PA      | $273321.51    | 0.02%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                      | CUSIP: 31424U6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1678727 | PA      | $215057.41    | 0.02%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                      | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2563044 | PA      | $566535.61    | 0.05%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                      | CUSIP: 31424UGV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3017941 | PA      | $392233.36    | 0.03%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 31426CP81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423582 | PA      | $436857.61    | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                               | CUSIP: 3142GRQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338412 | PA      | $349235.24    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2022-1                      | CUSIP: 31573CAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $719020.61    | 0.06%             | 2067-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA2                        | CUSIP: 35564KDB2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |   1084685 | PA      | $1101592.06   | 0.09%             | 2033-08-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA3                        | CUSIP: 35564KEL9<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |    742568 | PA      | $755971.30    | 0.06%             | 2033-10-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA6                        | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |   1815967 | PA      | $1821137.41   | 0.15%             | 2041-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA2                        | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |     65680 | PA      | $65703.80     | 0.01%             | 2042-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA2                        | CUSIP: 35564KRF8<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |   3420000 | PA      | $3469179.60   | 0.28%             | 2042-02-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA4                        | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    620000 | PA      | $639765.60    | 0.05%             | 2042-05-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2024-DNA2                        | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |    675559 | PA      | $677919.48    | 0.05%             | 2044-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97487 | PA      | $89702.64     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141892 | PA      | $130561.91    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731723 | PA      | $672386.73    | 0.05%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    542134 | PA      | $497851.91    | 0.04%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467346 | PA      | $423968.24    | 0.03%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39108 | PA      | $36468.63     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493369 | PA      | $460080.99    | 0.04%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    545343 | PA      | $508070.67    | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287178 | PA      | $267550.01    | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1821684 | PA      | $1692993.81   | 0.14%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132923 | PA      | $123838.08    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228085 | PA      | $212447.76    | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137364 | PA      | $127083.30    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1484963 | PA      | $1433217.86   | 0.12%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12543 | PA      | $11677.57     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129977 | PA      | $118556.11    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43234 | PA      | $42878.02     | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1217944 | PA      | $1169554.86   | 0.09%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1466829 | PA      | $1455209.22   | 0.12%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    648725 | PA      | $625242.68    | 0.05%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109307 | PA      | $105538.48    | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217747 | PA      | $216532.28    | 0.02%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41034 | PA      | $37319.31     | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86839 | PA      | $79071.12     | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309849 | PA      | $298353.50    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    549722 | PA      | $500386.20    | 0.04%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121771 | PA      | $117230.71    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122397 | PA      | $117810.77    | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    874008 | PA      | $841098.97    | 0.07%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106264 | PA      | $101961.81    | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312431 | PA      | $310269.28    | 0.03%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88443 | PA      | $85255.73     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583338 | PA      | $577456.86    | 0.05%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94143 | PA      | $95714.79     | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    582289 | PA      | $577347.02    | 0.05%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304242 | PA      | $264082.34    | 0.02%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129949 | PA      | $132119.77    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343922 | PA      | $318720.92    | 0.03%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337110 | PA      | $324059.65    | 0.03%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127597 | PA      | $126530.65    | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306319 | PA      | $303623.92    | 0.02%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    495780 | PA      | $504695.23    | 0.04%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269156 | PA      | $273484.79    | 0.02%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141072 | PA      | $139768.86    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1195729 | PA      | $1185120.26   | 0.10%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10855 | PA      | $10037.34     | 0.00%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436257 | PA      | $432139.61    | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185270 | PA      | $177565.41    | 0.01%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1133138 | PA      | $1122443.02   | 0.09%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58638 | PA      | $59533.52     | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160041 | PA      | $153290.34    | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141813 | PA      | $141018.42    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51036 | PA      | $51931.06     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84782 | PA      | $86198.51     | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1742441 | PA      | $1411010.00   | 0.11%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179VBK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86259 | PA      | $87699.68     | 0.01%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223746 | PA      | $227476.99    | 0.02%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192423 | PA      | $190478.84    | 0.02%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122255 | PA      | $120875.47    | 0.01%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179VKQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48168 | PA      | $48971.47     | 0.00%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133624 | PA      | $123167.43    | 0.01%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103404 | PA      | $85701.44     | 0.01%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185529 | PA      | $183406.20    | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1573181 | PA      | $1281733.34   | 0.10%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3309380 | PA      | $2856267.38   | 0.23%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1225836 | PA      | $1124855.65   | 0.09%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4197933 | PA      | $3638917.19   | 0.29%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1228183 | PA      | $1251567.78   | 0.10%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179XVT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1016695 | PA      | $1033563.10   | 0.08%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36179XX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2427430 | PA      | $2466509.10   | 0.20%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127648 | PA      | $116237.81    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52753 | PA      | $50314.17     | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87254 | PA      | $81606.03     | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78830 | PA      | $75187.63     | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25227 | PA      | $24056.81     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56525 | PA      | $53913.54     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617MC3Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731365 | PA      | $653792.66    | 0.05%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303135 | PA      | $287677.05    | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252154 | PA      | $230547.24    | 0.02%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617QY2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83251 | PA      | $74012.38     | 0.01%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617Y5UR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221392 | PA      | $210089.68    | 0.02%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125884 | PA      | $111527.09    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust              | GMACM Mortgage Loan Trust 2005-AR6                             | CUSIP: 36185MBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65369 | PA      | $53416.55     | 0.00%             | 2035-11-19      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36188MWY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97885 | PA      | $94149.24     | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36189YG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271137 | PA      | $259337.40    | 0.02%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36189YZF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1039523 | PA      | $999839.04    | 0.08%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3618FFXV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    567237 | PA      | $587653.68    | 0.05%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36190VRF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895373 | PA      | $850681.42    | 0.07%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 36200JAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245810 | PA      | $252023.91    | 0.02%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 36200NYY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49382 | PA      | $50682.54     | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202E6G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1054 | PA      | $1109.18      | 0.00%             | 2039-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       371 | PA      | $391.68       | 0.00%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202ED63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       584 | PA      | $612.33       | 0.00%             | 2035-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202EJY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29450 | PA      | $31255.03     | 0.00%             | 2036-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202EKL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1425 | PA      | $1495.88      | 0.00%             | 2036-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202EPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82125 | PA      | $89370.18     | 0.01%             | 2037-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202EUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86128 | PA      | $92064.50     | 0.01%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212107 | PA      | $226561.19    | 0.02%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202F2A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24643 | PA      | $25938.07     | 0.00%             | 2041-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147299 | PA      | $148362.77    | 0.01%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51484 | PA      | $54123.22     | 0.00%             | 2040-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183816 | PA      | $185142.91    | 0.01%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16312 | PA      | $17118.47     | 0.00%             | 2040-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143551 | PA      | $147703.10    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FJT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28968 | PA      | $30446.01     | 0.00%             | 2040-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4044 | PA      | $4070.92      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FKR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73816 | PA      | $77695.75     | 0.01%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FLS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29395 | PA      | $30848.55     | 0.00%             | 2040-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FMU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54742 | PA      | $56779.69     | 0.00%             | 2040-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34047 | PA      | $34285.99     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29573 | PA      | $30412.35     | 0.00%             | 2041-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FRL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203062 | PA      | $213316.78    | 0.02%             | 2041-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36202FVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49102 | PA      | $51529.14     | 0.00%             | 2041-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 36210BWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       210 | PA      | $212.81       | 0.00%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 3622A2DH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100647 | PA      | $105146.58    | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103624 | PA      | $96541.58     | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                              | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1558255 | PA      | $1456732.51   | 0.12%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80918 | PA      | $73682.87     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AAKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812468 | PA      | $744901.65    | 0.06%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523685 | PA      | $463663.81    | 0.04%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    947799 | PA      | $927109.83    | 0.07%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375387 | PA      | $377261.64    | 0.03%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777086 | PA      | $759650.78    | 0.06%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    892517 | PA      | $793254.60    | 0.06%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69148 | PA      | $59293.19     | 0.00%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66981 | PA      | $57537.64     | 0.00%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139510 | PA      | $119841.62    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66060 | PA      | $56746.95     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68916 | PA      | $59049.38     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69699 | PA      | $59768.98     | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69668 | PA      | $59845.69     | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2015265 | PA      | $1797797.61   | 0.15%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356469 | PA      | $317245.85    | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418293 | PA      | $374679.04    | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497291 | PA      | $443948.08    | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622128 | PA      | $552635.56    | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    689723 | PA      | $618297.05    | 0.05%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900729 | PA      | $806325.59    | 0.07%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357693 | PA      | $321279.22    | 0.03%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AC4M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522278 | PA      | $541860.15    | 0.04%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AC5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5029666 | PA      | $4129065.79   | 0.33%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622AC6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1156276 | PA      | $1199657.23   | 0.10%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACA67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315855 | PA      | $300228.00    | 0.02%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672397 | PA      | $676181.06    | 0.05%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1220367 | PA      | $1236050.68   | 0.10%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    930702 | PA      | $947242.76    | 0.08%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    844312 | PA      | $861393.79    | 0.07%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2751640 | PA      | $2243600.32   | 0.18%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    613420 | PA      | $550652.31    | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160649 | PA      | $163858.25    | 0.01%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400393 | PA      | $407774.27    | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    885281 | PA      | $902702.48    | 0.07%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2158170 | PA      | $2203826.09   | 0.18%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1611993 | PA      | $1618088.66   | 0.13%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 3622ACX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425053 | PA      | $427372.52    | 0.03%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                             | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229842 | PA      | $231384.60    | 0.02%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2018-RPL1                  | CUSIP: 36256BAC4<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    993341 | PA      | $979682.41    | 0.08%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2020-GC45                         | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3414000 | PA      | $3215592.32   | 0.26%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2022-NQM1                  | CUSIP: 36264EAG9<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    585599 | PA      | $548097.39    | 0.04%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2024-INV3 Trust                                           | CUSIP: 36830FAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370992 | PA      | $380726.35    | 0.03%             | 2054-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38375BJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468089 | PA      | $467617.63    | 0.04%             | 2060-12-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38375BJK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2182890 | PA      | $2179761.89   | 0.18%             | 2060-12-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38375BJY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2519301 | PA      | $2519849.76   | 0.20%             | 2060-12-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38375BKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000627 | PA      | $1000853.62   | 0.08%             | 2060-12-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38375BLC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326833 | PA      | $326873.21    | 0.03%             | 2061-03-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38375GB83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267288 | PA      | $27781.61     | 0.00%             | 2042-08-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38375UQY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    901749 | PA      | $901019.90    | 0.07%             | 2064-10-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38378KWZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9758093 | PA      | $8814.48      | 0.00%             | 2054-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38378N3K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5137187 | PA      | $4143.14      | 0.00%             | 2054-04-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38378NF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5555647 | PA      | $128013.21    | 0.01%             | 2055-09-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38378NK51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    711375 | PA      | $2857.38      | 0.00%             | 2048-02-16      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38379RRT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6863672 | PA      | $185840.10    | 0.02%             | 2056-11-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38379U4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5990939 | PA      | $164823.92    | 0.01%             | 2058-12-16      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9776151 | PA      | $308321.24    | 0.02%             | 2058-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380JKP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1343476 | PA      | $50741.34     | 0.00%             | 2060-03-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380JLX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25201284 | PA      | $1069970.93   | 0.09%             | 2059-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380LLH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895034 | PA      | $900869.36    | 0.07%             | 2068-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380P2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3501508 | PA      | $218623.32    | 0.02%             | 2062-06-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380P8N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2697828 | PA      | $238059.59    | 0.02%             | 2060-09-16      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380PHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4251322 | PA      | $469689.41    | 0.04%             | 2060-05-16      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380PSK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4083915 | PA      | $271207.91    | 0.02%             | 2062-05-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2942468 | PA      | $237950.89    | 0.02%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380PX66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15816039 | PA      | $957079.11    | 0.08%             | 2062-05-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380QAW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1205766 | PA      | $1225755.31   | 0.10%             | 2070-05-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50513 | PA      | $51236.28     | 0.00%             | 2070-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333840 | PA      | $331908.07    | 0.03%             | 2070-07-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3663274 | PA      | $3636018.60   | 0.29%             | 2070-07-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380QGX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16844 | PA      | $16811.37     | 0.00%             | 2070-08-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4797860 | PA      | $288559.15    | 0.02%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380RK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3244936 | PA      | $379533.59    | 0.03%             | 2063-09-16      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380RNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2489437 | PA      | $1849986.45   | 0.15%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380RRU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2548443 | PA      | $234061.77    | 0.02%             | 2063-06-16      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38380RSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4292505 | PA      | $344466.21    | 0.03%             | 2061-01-16      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381BDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33978 | PA      | $33075.27     | 0.00%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381DFG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513736 | PA      | $362866.73    | 0.03%             | 2060-07-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381DHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3966968 | PA      | $240204.27    | 0.02%             | 2063-02-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381DJ68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5036379 | PA      | $410779.68    | 0.03%             | 2061-06-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381DPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3126808 | PA      | $222059.35    | 0.02%             | 2061-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381DWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1975979 | PA      | $184265.76    | 0.01%             | 2061-06-16      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381DY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2800078 | PA      | $228050.36    | 0.02%             | 2061-06-16      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381EBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2861759 | PA      | $197358.89    | 0.02%             | 2063-07-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1295989 | PA      | $58483.08     | 0.00%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381NUY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10277278 | PA      | $875939.59    | 0.07%             | 2055-06-20      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381PWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7899794 | PA      | $363948.25    | 0.03%             | 2055-07-20      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381Q3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7645502 | PA      | $676448.05    | 0.05%             | 2055-08-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381U8L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8709204 | PA      | $978984.18    | 0.08%             | 2055-09-20      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38381XEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434020 | PA      | $393140.99    | 0.03%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38382AYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646136 | PA      | $126796.24    | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38382XP25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915306 | PA      | $85546.13     | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38382XZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769570 | PA      | $103576.84    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38383FR62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136962 | PA      | $114469.27    | 0.01%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38383RXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1299614 | PA      | $183760.11    | 0.01%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38384BPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1125303 | PA      | $207654.17    | 0.02%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38384ERJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1548112 | PA      | $292525.30    | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    871119 | PA      | $78875.27     | 0.01%             | 2054-09-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9462967 | PA      | $824824.40    | 0.07%             | 2055-03-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                       | CUSIP: 38385GTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11762535 | PA      | $961563.73    | 0.08%             | 2055-05-20      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds          | Indonesia Government International Bonds                       | CUSIP: 455780CH7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   6280000 | PA      | $6379820.60   | 0.52%             | 2029-02-11      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AID-ISRAEL                                        | Israel Government AID Bond                                     | CUSIP: 46513EFG2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |  10047000 | PA      | $10897582.74  | 0.88%             | 2033-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                           | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   7000000 | PA      | $7251204.17   | 0.59%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2018-4                                | CUSIP: 46649CAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    320381 | PA      | $290320.53    | 0.02%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS3                           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    712448 | PA      | $712490.59    | 0.06%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS5                           | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549621 | PA      | $550062.46    | 0.04%             | 2067-07-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-1                   | CUSIP: 576433JG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88381 | PA      | $79357.07     | 0.01%             | 2034-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                     | MASTR Reperforming Loan Trust 2005-2                           | CUSIP: 57643QAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1628420 | PA      | $702893.78    | 0.06%             | 2035-05-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32    | CUSIP: 61691GAR1<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   3129700 | PA      | $3111618.64   | 0.25%             | 2049-12-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2005-3AR                    | CUSIP: 61745M4P5<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |     43199 | PA      | $38618.13     | 0.00%             | 2035-07-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2006-8AR                    | CUSIP: 61749LAB7<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |    394095 | PA      | $69951.35     | 0.01%             | 2036-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2024-INV3       | CUSIP: 61776GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1749119 | PA      | $1795101.59   | 0.15%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL           | MTN Commercial Mortgage Trust 2022-LPFL                        | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2980000 | PA      | $2978145.25   | 0.24%             | 2039-03-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2016-3                     | CUSIP: 64829HAD9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    754786 | PA      | $718267.41    | 0.06%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-1                     | CUSIP: 64829JAA1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    605340 | PA      | $591387.35    | 0.05%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-4                     | CUSIP: 64829NAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    971446 | PA      | $941280.80    | 0.08%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-RPL3                  | CUSIP: 64830NAA9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    718386 | PA      | $696432.91    | 0.06%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM3                  | CUSIP: 64831TAA5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    378309 | PA      | $341882.45    | 0.03%             | 2056-11-27      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM3 Trust                                            | CUSIP: 67114JAA8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    516698 | PA      | $425229.54    | 0.03%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2023-NQM3 Trust                                            | CUSIP: 67117PAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    432288 | PA      | $432200.05    | 0.03%             | 2063-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM4 Trust                                            | CUSIP: 67120QAC0<br>LEI: 254900IAVXYLOCPK6W54 | Long             | ABS-MBS          | CORP              | US        |   2239886 | PA      | $2252059.06   | 0.18%             | 2055-02-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| INT DEVELOPMENT FIN CORP                          | United States International Development Finance Corp           | CUSIP: 690353XN2<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | USGA              | US        |   5294444 | PA      | $5225192.15   | 0.42%             | 2030-06-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2021-AFC1 Trust                                          | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1183685 | PA      | $1006086.49   | 0.08%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2021-AFC2 Trust                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656247 | PA      | $587932.48    | 0.05%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2024-HOME1 Trust                                         | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560398 | PA      | $567383.46    | 0.05%             | 2059-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                            | CUSIP: 715638AU6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    320000 | PA      | $353632.00    | 0.03%             | 2037-03-14      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                          | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara      | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |   4000000 | PA      | $4096764.00   | 0.33%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds              | CUSIP: 731011AU6<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   5010000 | PA      | $5000691.07   | 0.40%             | 2026-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| RESOLUTION FUNDING STRIP                          | Resolution Funding Corp Interest Strip                         | CUSIP: 76116EGH7<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  14517000 | PA      | $14497423.83  | 1.17%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING STRIP                          | Resolution Funding Corp Interest Strip                         | CUSIP: 76116EGJ3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   4230000 | PA      | $4145777.87   | 0.34%             | 2026-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING STRIP                          | Resolution Funding Corp Interest Strip                         | CUSIP: 76116EGQ7<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  14000000 | PA      | $12229329.70  | 0.99%             | 2029-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING STRIP                          | Resolution Funding Corp Interest Strip                         | CUSIP: 76116EHK9<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  10000000 | PA      | $9194679.30   | 0.74%             | 2028-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                               | Resolution Funding Corp Principal Strip                        | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  51000000 | PA      | $43671341.82  | 3.53%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                               | Resolution Funding Corp Principal Strip                        | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  69000000 | PA      | $58411438.71  | 4.72%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SACO I Trust                                      | SACO I Trust 2007-VA1                                          | CUSIP: 78386KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1004 | PA      | $734.56       | 0.00%             | 2049-06-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                   | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  14155333 | PA      | $14155333.19  | 1.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1 | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4521265 | PA      | $78649.21     | 0.01%             | 2036-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp                               | CUSIP: 86359DEX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    966053 | PA      | $879088.49    | 0.07%             | 2035-04-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp                               | CUSIP: 86359DME4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33364 | PA      | $30284.90     | 0.00%             | 2035-06-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR6        | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63134 | PA      | $55493.93     | 0.00%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                             | Tennessee Valley Authority                                     | CUSIP: 880591EZ1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  15000000 | PA      | $15106010.85  | 1.22%             | 2028-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                             | Tennessee Valley Authority                                     | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  20000000 | PA      | $20692510.80  | 1.67%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-2                               | CUSIP: 89176UAN4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    571440 | PA      | $524116.95    | 0.04%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-2                               | CUSIP: 89176UAV6<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    940000 | PA      | $744544.95    | 0.06%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| INT DEVELOPMENT FIN CORP                          | United States International Development Finance Corp           | CUSIP: 90376PAZ4<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | USGA              | US        |   7000000 | PA      | $6636327.60   | 0.54%             | 2029-05-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                           | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  12000000 | PA      | $12328920.00  | 1.00%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                          | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4049408 | PA      | $3840433.44   | 0.31%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                            | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30527343.60  | 2.47%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                            | CUSIP: 91282CJV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70000000 | PA      | $70027972.70  | 5.66%             | 2026-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Notes                                            | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $60796875.00  | 4.91%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Notes                                            | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58100000 | PA      | $60473929.98  | 4.89%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                          | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10375900 | PA      | $10416709.24  | 0.84%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                          | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9284940 | PA      | $9448851.78   | 0.76%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                            | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25135742.25  | 2.03%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                            | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11057578.18  | 0.89%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                          | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10139500 | PA      | $10112351.89  | 0.82%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                            | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $29907.42     | 0.00%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TBA Western/Lehman Receivable                     | TBA Western/Lehman Receivable                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    428796 | PA      | $0.00         | 0.00%             | 2099-09-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-3                              | CUSIP: 92540MAC9<br>LEI: 2138005NRONUFED1TZ38 | Long             | ABS-MBS          | CORP              | US        |    430655 | PA      | $435680.76    | 0.04%             | 2069-04-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2025-R2                             | CUSIP: 92541EAD4<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    970000 | PA      | $971903.82    | 0.08%             | 2067-07-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       562 | NC      | $58856.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-15

**Name of Applicant:** Brighthouse Funds Trust II

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer