# EDGAR Filing Document

**Accession Number:** 0000934563
**File Stem:** 0001752724-25-209748
**Filing Date:** 2025-8
**Character Count:** 769964
**Document Hash:** 01a89b3cfac5ebdb599b769fb916f9b4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-209748.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-209748

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20250630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** HC CAPITAL TRUST
- **CENTRAL INDEX KEY:** 0000934563

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08918
- **FILM NUMBER:** 251266200

**BUSINESS ADDRESS:**
- **STREET 1:** 300 BARR HARBOR DRIVE, 5TH FLOOR
- **CITY:** WEST CONSHOHOCKEN
- **STATE:** PA
- **ZIP:** 19428
- **BUSINESS PHONE:** 610-828-7200

**MAIL ADDRESS:**
- **STREET 1:** 300 BARR HARBOR DRIVE, 5TH FLOOR
- **CITY:** WEST CONSHOHOCKEN
- **STATE:** PA
- **ZIP:** 19428

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HIRTLE CALLAGHAN TRUST
- **DATE OF NAME CHANGE:** 20100305

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HC CAPITAL TRUST
- **DATE OF NAME CHANGE:** 20100305

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HIRTLE CALLAGHAN TRUST
- **DATE OF NAME CHANGE:** 19941222

## Series and Classes Contracts Data

### The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio (Series ID: S000029854)

| Class ID   | Class Name                                                       | Ticker Symbol   |
|:---|:---|:---|
| C000091790 | The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio | HCASX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** HC Capital Trust

- **b. Investment Company Act file number:** 811-08918

- **c. CIK number of Registrant:** 0000934563

- **d. LEI of Registrant:** 549300WBB2KZ0XDJW948

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

  - **Street Address 1:** Five Tower Bridge, 300 Barr Harbor

  - **City:** West Conshohocken

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19428

  - **Telephone number:** 610-828-7200

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

- **a. Name of Series:** The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

- **b. EDGAR series identifier (if any):** S000029854

- **c. LEI of Series:** 549300PE1Q71JBWDLD38

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

- **a. Date of fiscal year-end:** 2025-06-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $250141607.37

**Total Liabilities:** $16426347.05

**Net Assets:** $233715260.32

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -503.11045794 | **1-Year:** -8764.02994982 | **5-Year:** -24413.72760493 | **10-Year:** -41864.22228026 | **30-Year:** -11366.84791708

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000091790 | 0.53%                | -0.92%               | 1.64%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-299038.78              | $788766.94                                 |
| Month 2  | $-110546.90              | $-2651258.16                               |
| Month 3  | $-17852.44               | $3130667.93                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Securitized Index

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YYCV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24171 | PA      | $22377.96     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57851 | PA      | $54563.42     | 0.02%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XHLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178243 | PA      | $155479.41    | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    320937 | PA      | $292270.53    | 0.13%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SUT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9615 | PA      | $8301.65      | 0.00%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K3BL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66047 | PA      | $57813.63     | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38863 | PA      | $36214.55     | 0.02%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10603 | PA      | $10004.53     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VKL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    197018 | PA      | $174840.69    | 0.07%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KUHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313445 | PA      | $250420.87    | 0.11%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18215 | PA      | $13719.73     | 0.01%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5EU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    444653 | PA      | $436828.16    | 0.19%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42332 | PA      | $39744.59     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139485 | PA      | $118317.70    | 0.05%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331649 | PA      | $332515.95    | 0.14%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J4CN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22053 | PA      | $21000.91     | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775000 | PA      | $642644.53    | 0.27%             | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179V7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    438980 | PA      | $357644.47    | 0.15%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40557 | PA      | $33977.38     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E06D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86413 | PA      | $82683.13     | 0.04%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18561 | PA      | $18168.20     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132ACGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36393 | PA      | $32669.99     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26330 | PA      | $25911.67     | 0.01%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XXFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17794 | PA      | $17495.48     | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109663 | PA      | $95412.74     | 0.04%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TNQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27994 | PA      | $25121.05     | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E9J80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6347 | PA      | $6186.40      | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397138 | PA      | $331633.34    | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KLZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196041 | PA      | $156667.65    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30320 | PA      | $27888.89     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UV90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7040 | PA      | $6700.19      | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310987 | PA      | $271097.45    | 0.12%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405232 | PA      | $322521.29    | 0.14%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YENY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60923 | PA      | $56038.47     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WR34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    300614 | PA      | $266330.38    | 0.11%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19817 | PA      | $19354.45     | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11612 | PA      | $11544.55     | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JPM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76775 | PA      | $72440.06     | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS MORTGAGE TRUST 2024 5C29                     | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $50989.60     | 0.02%             | 2057-09-15      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FLYV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97276.92     | 0.04%             | 2029-04-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9170 | PA      | $8886.35      | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    140069 | PA      | $125722.61    | 0.05%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20838 | PA      | $19952.46     | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132Y1W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33717 | PA      | $30660.12     | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST                                                                                   | FORD CREDIT AUTO LEASE TRUST                       | CUSIP: 345279AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $151478.88    | 0.06%             | 2028-01-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33911 | PA      | $31845.73     | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3622A2MZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51232 | PA      | $47462.16     | 0.02%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65993 | PA      | $63525.58     | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FE2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53845 | PA      | $50782.63     | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250090 | PA      | $258147.28    | 0.11%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AE87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7949 | PA      | $7715.41      | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NQ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     70257 | PA      | $64521.35     | 0.03%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X8TA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205940 | PA      | $166036.52    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103739 | PA      | $91267.91     | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCSE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38611 | PA      | $37233.48     | 0.02%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H060671<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1100000 | PA      | $1115984.38   | 0.48%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J8YC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       120 | PA      | $119.81       | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31348 | PA      | $30639.51     | 0.01%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X5FA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38408 | PA      | $36232.16     | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24990 | PA      | $23834.84     | 0.01%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138M1EN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36672 | PA      | $34012.86     | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9504 | PA      | $8800.01      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259870 | PA      | $215959.83    | 0.09%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AXMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152658 | PA      | $121499.07    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5D36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51197 | PA      | $47093.23     | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MEAS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29552 | PA      | $29057.55     | 0.01%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21945 | PA      | $20674.41     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HJ2R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16431 | PA      | $15944.32     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3131XVRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97439 | PA      | $86877.52     | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                                                        | CARMAX AUTO OWNER TRUST 2025 1                     | CUSIP: 14319WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $127692.35    | 0.05%             | 2030-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XCWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411725 | PA      | $341796.17    | 0.15%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MDNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16835 | PA      | $15805.78     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5EP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59458 | PA      | $54469.27     | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9T91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18205 | PA      | $18559.46     | 0.01%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52891 | PA      | $49297.15     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293149 | PA      | $267935.34    | 0.11%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FCH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420844 | PA      | $427998.95    | 0.18%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243412 | PA      | $204026.10    | 0.09%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KH3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200150 | PA      | $166672.28    | 0.07%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWAP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274246 | PA      | $229866.24    | 0.10%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35711 | PA      | $31837.39     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31334XEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68500 | PA      | $59960.14     | 0.03%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FQZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30949 | PA      | $28398.04     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SUV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     86065 | PA      | $79203.39     | 0.03%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219326 | PA      | $175240.94    | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     72955 | PA      | $67215.59     | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KHMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281839 | PA      | $225212.18    | 0.10%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RF79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4875 | PA      | $4215.23      | 0.00%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H4BP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $176140.82    | 0.08%             | 2031-09-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325829 | PA      | $260326.13    | 0.11%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SYT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12388 | PA      | $11774.00     | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146793 | PA      | $127719.26    | 0.05%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LUFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79309 | PA      | $75144.84     | 0.03%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ5G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17976 | PA      | $16465.13     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414963 | PA      | $421971.23    | 0.18%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7PZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174033 | PA      | $160727.39    | 0.07%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    287110 | PA      | $234360.88    | 0.10%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176XJ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31368 | PA      | $28955.56     | 0.01%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67857 | PA      | $61787.56     | 0.03%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12860 | PA      | $12534.98     | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363954 | PA      | $357509.02    | 0.15%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414207 | PA      | $328707.45    | 0.14%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23884 | PA      | $21083.36     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9084 | PA      | $8814.88      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F030470<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95308.59     | 0.04%             | 2040-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307EM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13919 | PA      | $13200.27     | 0.01%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132QWSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1538 | PA      | $1378.58      | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417769 | PA      | $424770.17    | 0.18%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MDE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       519 | PA      | $517.51       | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YN6T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18446 | PA      | $17559.04     | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JQRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79074 | PA      | $69217.34     | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J4KM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5412 | PA      | $5187.69      | 0.00%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356844 | PA      | $356895.12    | 0.15%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P74X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19162 | PA      | $18789.60     | 0.01%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    490699 | PA      | $399752.69    | 0.17%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17565 | PA      | $17279.90     | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26012 | PA      | $22770.98     | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72591 | PA      | $64720.81     | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140LQH94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78962 | PA      | $70207.26     | 0.03%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E6C75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16899 | PA      | $15556.17     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FBVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59150 | PA      | $52736.29     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307PPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8412 | PA      | $8198.91      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5C64<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    516559 | PA      | $517487.19    | 0.22%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319432 | PA      | $319972.32    | 0.14%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJCJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4360 | PA      | $4061.13      | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18700 | PA      | $17835.41     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    309390 | PA      | $252450.53    | 0.11%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWGW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347989 | PA      | $323807.80    | 0.14%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TB46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11171 | PA      | $10966.01     | 0.00%             | 2032-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                                                             | PG E WILDFIRE RECOVERY                             | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $94281.08     | 0.04%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W94X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16278 | PA      | $16519.36     | 0.01%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H5L25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23060 | PA      | $21989.73     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11810 | PA      | $11493.39     | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36184SQY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64327 | PA      | $60064.77     | 0.03%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WAZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22200 | PA      | $21925.66     | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133ANDA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358554 | PA      | $285406.42    | 0.12%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GUGL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50865 | PA      | $46913.93     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $87985.34     | 0.04%             | 2031-11-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385452 | PA      | $306280.34    | 0.13%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MACM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302393 | PA      | $275299.50    | 0.12%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WNXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13713 | PA      | $12486.52     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387774 | PA      | $307054.63    | 0.13%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237146 | PA      | $187729.99    | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122212 | PA      | $124265.17    | 0.05%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202898 | PA      | $161280.69    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DB35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5593 | PA      | $5407.48      | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273182 | PA      | $219786.83    | 0.09%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UXU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11185 | PA      | $10645.74     | 0.00%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128KTAF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1809 | PA      | $1851.87      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132A5GR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61046 | PA      | $57572.20     | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37801 | PA      | $36273.71     | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TCX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40660 | PA      | $37690.36     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307L6L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2237 | PA      | $2175.44      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98820 | PA      | $86545.63     | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5609 | PA      | $5565.04      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113462 | PA      | $99316.34     | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QHJT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411742 | PA      | $328989.29    | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P75B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9522 | PA      | $9235.68      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WGY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5067 | PA      | $4828.79      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7168 | PA      | $6900.61      | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49540 | PA      | $45203.23     | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EMJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14564 | PA      | $14486.03     | 0.01%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47437 | PA      | $44737.93     | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347661 | PA      | $263153.66    | 0.11%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32737 | PA      | $31899.87     | 0.01%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417YRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10715 | PA      | $10661.04     | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C3C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19305 | PA      | $17665.47     | 0.01%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9990 | PA      | $9813.35      | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJUN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40229 | PA      | $38301.96     | 0.02%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19019 | PA      | $15989.04     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45146 | PA      | $45078.83     | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8499 | PA      | $8156.11      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XATJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319929 | PA      | $257307.65    | 0.11%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KY4G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48003 | PA      | $47115.65     | 0.02%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q8KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16337 | PA      | $14991.97     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21627 | PA      | $20821.34     | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23520 | PA      | $23137.94     | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418B5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4407 | PA      | $4149.46      | 0.00%             | 2036-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HJ6B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147503 | PA      | $146161.27    | 0.06%             | 2034-10-25      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34031 | PA      | $32439.69     | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244305 | PA      | $194267.34    | 0.08%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AKB74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342829 | PA      | $259536.74    | 0.11%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179U4B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    284822 | PA      | $253094.31    | 0.11%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341394 | PA      | $285109.20    | 0.12%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118497 | PA      | $105649.14    | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GDZ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26977 | PA      | $27870.70     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51349 | PA      | $50776.20     | 0.02%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X0Y93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79184 | PA      | $73983.07     | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128P8D65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4169 | PA      | $3986.70      | 0.00%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3118 | PA      | $3075.06      | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AUE53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356989 | PA      | $298110.68    | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334687 | PA      | $268990.41    | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393051 | PA      | $376172.39    | 0.16%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8553 | PA      | $7896.75      | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D53Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11368 | PA      | $11083.57     | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TZ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36643 | PA      | $33757.89     | 0.01%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TRUST                                                                                           | CHASE ISSUANCE TRUST                               | CUSIP: 161571HW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101676.84    | 0.04%             | 2031-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128PY5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13681 | PA      | $13493.29     | 0.01%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31329NRH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50405 | PA      | $47776.77     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J6GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55890 | PA      | $51395.15     | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235598 | PA      | $188304.16    | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KH5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121501 | PA      | $102731.65    | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324362 | PA      | $329806.42    | 0.14%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 065404BB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $294111.73    | 0.13%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293306 | PA      | $255701.44    | 0.11%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    375030 | PA      | $376158.85    | 0.16%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186816 | PA      | $155579.97    | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYUK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97313 | PA      | $87974.18     | 0.04%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133A9UL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255940 | PA      | $214528.77    | 0.09%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26254 | PA      | $23584.50     | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QVKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435096 | PA      | $428120.36    | 0.18%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75265 | PA      | $67540.92     | 0.03%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31329NVV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34038 | PA      | $31237.43     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39009 | PA      | $37285.32     | 0.02%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9195 | PA      | $8873.96      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21330 | PA      | $19619.87     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VKK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74474 | PA      | $63307.82     | 0.03%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31046 | PA      | $30388.71     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34721 | PA      | $32354.89     | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS MORTGAGE TRUST 2023 C21                      | CUSIP: 05553WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $53227.52     | 0.02%             | 2056-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437193 | PA      | $428681.39    | 0.18%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176HKG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7916 | PA      | $7651.79      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    347504 | PA      | $353877.56    | 0.15%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4281 | PA      | $4223.69      | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28097 | PA      | $26109.85     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X14D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25087 | PA      | $24584.25     | 0.01%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QL58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    146702 | PA      | $137563.50    | 0.06%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WY85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    411885 | PA      | $335548.20    | 0.14%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73174 | PA      | $71320.48     | 0.03%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36177Q6H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12208 | PA      | $11406.98     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HEDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12925 | PA      | $12547.53     | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23438 | PA      | $24162.96     | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UUM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2901 | PA      | $2890.08      | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SSS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7374 | PA      | $7111.84      | 0.00%             | 2046-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NM88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28298 | PA      | $24651.86     | 0.01%             | 2043-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5435 | PA      | $5320.09      | 0.00%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WRJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13338 | PA      | $12763.72     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140GYGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67622 | PA      | $62053.13     | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H9PC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $71604.25     | 0.03%             | 2032-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJVN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6356 | PA      | $5930.94      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H5EQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9125 | PA      | $8729.19      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31116 | PA      | $29651.03     | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7226 | PA      | $7151.58      | 0.00%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133A3XX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66580 | PA      | $60448.88     | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WJR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    306842 | PA      | $260680.14    | 0.11%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435711 | PA      | $436445.09    | 0.19%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FUZJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $231868.01    | 0.10%             | 2035-05-25      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    292215 | PA      | $248254.12    | 0.11%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36201 | PA      | $33347.13     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19466 | PA      | $19123.44     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262528 | PA      | $219227.27    | 0.09%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    401114 | PA      | $407825.54    | 0.17%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KVXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325553 | PA      | $259171.58    | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387706 | PA      | $339217.90    | 0.15%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15427 | PA      | $15191.99     | 0.01%             | 2043-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31419AG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49499 | PA      | $49593.09     | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMV42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22490 | PA      | $21552.24     | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNW24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324569 | PA      | $284031.71    | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36241LUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34881 | PA      | $36543.17     | 0.02%             | 2040-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    347199 | PA      | $294944.29    | 0.13%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YVZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5798 | PA      | $5661.08      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66707 | PA      | $63401.14     | 0.03%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KNP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241661 | PA      | $217601.83    | 0.09%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62288 | PA      | $55269.56     | 0.02%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43180 | PA      | $38313.96     | 0.02%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    261192 | PA      | $213127.83    | 0.09%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H37E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68975 | PA      | $63120.03     | 0.03%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4265 | PA      | $4092.03      | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8G47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5824 | PA      | $5764.21      | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37231 | PA      | $33526.25     | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KDQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204517 | PA      | $171438.55    | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8D40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4381 | PA      | $4247.69      | 0.00%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366708 | PA      | $292065.35    | 0.12%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36200MJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26845 | PA      | $27249.56     | 0.01%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P75V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3279 | PA      | $3246.75      | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19653 | PA      | $18000.19     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34775 | PA      | $30258.47     | 0.01%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QYT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38018 | PA      | $36513.27     | 0.02%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57912 | PA      | $53002.37     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D6HZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91385 | PA      | $90944.21     | 0.04%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21149 | PA      | $19218.42     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AADV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325042 | PA      | $259685.22    | 0.11%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418B7E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7403 | PA      | $7146.65      | 0.00%             | 2036-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YMK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    341810 | PA      | $342957.44    | 0.15%             | 2053-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209150 | PA      | $177411.06    | 0.08%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270594 | PA      | $275178.32    | 0.12%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ANZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76698 | PA      | $74443.01     | 0.03%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XTC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    324898 | PA      | $321072.67    | 0.14%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FPF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9261 | PA      | $8936.32      | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62518 | PA      | $57213.91     | 0.02%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213960 | PA      | $179348.24    | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K0E79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201940 | PA      | $169454.20    | 0.07%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     94328 | PA      | $86284.34     | 0.04%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163714 | PA      | $145829.33    | 0.06%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FRUS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32884 | PA      | $31865.37     | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41921 | PA      | $37789.22     | 0.02%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CM84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78403 | PA      | $69565.15     | 0.03%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345323 | PA      | $345693.60    | 0.15%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    344407 | PA      | $281118.97    | 0.12%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WVT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    514550 | PA      | $419181.60    | 0.18%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QJV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27456 | PA      | $27575.46     | 0.01%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ECKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40184 | PA      | $37728.23     | 0.02%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36180AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    430178 | PA      | $430939.80    | 0.18%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417UEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26901 | PA      | $26140.81     | 0.01%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341923 | PA      | $275636.18    | 0.12%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4953 | PA      | $4335.26      | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85846 | PA      | $79127.86     | 0.03%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31368HNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241212 | PA      | $232793.89    | 0.10%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $167398.44    | 0.07%             | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212859 | PA      | $184349.41    | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132Y33P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18345 | PA      | $17824.03     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128PXT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16903 | PA      | $16482.93     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397187 | PA      | $315780.63    | 0.14%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337683 | PA      | $338774.45    | 0.14%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17346 | PA      | $16896.76     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5J22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18801 | PA      | $18314.06     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DUQR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    444393 | PA      | $435744.99    | 0.19%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    409846 | PA      | $383170.81    | 0.16%             | 2053-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SEG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    103146 | PA      | $92581.26     | 0.04%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                                                           | VERIZON MASTER TRUST                               | CUSIP: 92348KDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250277.54    | 0.11%             | 2030-08-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36230MTK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18400 | PA      | $17344.95     | 0.01%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RNV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44474 | PA      | $40076.49     | 0.02%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132Y1ZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25851 | PA      | $25116.35     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8039 | PA      | $7868.56      | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AN4G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370488 | PA      | $294879.99    | 0.13%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EXPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32109 | PA      | $29578.40     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCPB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10434 | PA      | $10282.89     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK MORTGAGE TRUST                           | CUSIP: 08162CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $195034.62    | 0.08%             | 2051-10-10      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X5LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48077 | PA      | $42070.95     | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UKX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34660 | PA      | $32984.23     | 0.01%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWLL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410925 | PA      | $411299.15    | 0.18%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F020471<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $182718.75    | 0.08%             | 2040-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438951 | PA      | $352851.64    | 0.15%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XUTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27728 | PA      | $26738.90     | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7378 | PA      | $6975.25      | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ETZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18789 | PA      | $18386.84     | 0.01%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 312946KG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35994 | PA      | $35808.48     | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356146 | PA      | $283456.90    | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179M5L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24702 | PA      | $22685.30     | 0.01%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133B76S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316400 | PA      | $274065.84    | 0.12%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16889 | PA      | $15932.18     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59128 | PA      | $55321.32     | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49544 | PA      | $43717.03     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24590 | PA      | $22825.55     | 0.01%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15227 | PA      | $14098.80     | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309730 | PA      | $283853.40    | 0.12%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34553 | PA      | $33348.41     | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271313 | PA      | $226561.88    | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    350532 | PA      | $297976.42    | 0.13%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226803 | PA      | $231179.13    | 0.10%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YFRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19546 | PA      | $18687.53     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197687 | PA      | $201590.53    | 0.09%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WAVV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26268 | PA      | $25859.97     | 0.01%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JP6G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15745 | PA      | $15432.32     | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20707 | PA      | $19220.79     | 0.01%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KQVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439342 | PA      | $351073.37    | 0.15%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22695 | PA      | $20068.00     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    491068 | PA      | $442758.28    | 0.19%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96193 | PA      | $84202.53     | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360869 | PA      | $345913.37    | 0.15%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140LNHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375418 | PA      | $298806.65    | 0.13%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7062 | PA      | $6880.08      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DNCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380306 | PA      | $345854.74    | 0.15%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292LK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18777 | PA      | $17366.61     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HMZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59875 | PA      | $56652.76     | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SS INST TREAS PLUS MM FUN                                                                                      | SS INST TREAS PLUS MM FUN                          | CUSIP: 930SJLII0<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  18553345 | NS      | $18553344.55  | 7.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21203 | PA      | $18790.23     | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K14D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121786 | PA      | $106604.15    | 0.05%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HNMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407299 | PA      | $324146.70    | 0.14%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QANA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2405 | PA      | $2269.75      | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12721 | PA      | $11631.11     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYS83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45697 | PA      | $41313.09     | 0.02%             | 2040-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45661 | PA      | $42033.72     | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YT3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21047 | PA      | $19486.84     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409456 | PA      | $324700.10    | 0.14%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                                                                             | BMO MORTGAGE TRUST                                 | CUSIP: 05613XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $156125.85    | 0.07%             | 2058-02-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7738 | PA      | $7197.67      | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51445 | PA      | $50754.89     | 0.02%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422855 | PA      | $351060.85    | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST                                                                                 | HYUNDAI AUTO RECEIVABLES TRUST                     | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100994.55    | 0.04%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    343925 | PA      | $292164.21    | 0.13%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    114517 | PA      | $102674.08    | 0.04%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89836 | PA      | $78636.40     | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2583 | PA      | $2477.18      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D6CU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67663 | PA      | $65324.77     | 0.03%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31335BHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51532 | PA      | $47578.31     | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XYGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11648 | PA      | $11479.60     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376262 | PA      | $312384.41    | 0.13%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58251 | PA      | $53678.10     | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JAJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4307 | PA      | $3911.05      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YJLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55632 | PA      | $49331.92     | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A9M87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20213 | PA      | $19850.30     | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43774 | PA      | $40427.96     | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                                                                        | CAPITAL ONE MULTI ASSET EXECUTION TRUST            | CUSIP: 14041NFX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $129264.66    | 0.06%             | 2030-07-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48025 | PA      | $47293.19     | 0.02%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179T4P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10043 | PA      | $9467.85      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E2UA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45088 | PA      | $41745.31     | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176752 | PA      | $154721.75    | 0.07%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK 2019 B9 A5 4 0156 3 15 52                | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $241276.78    | 0.10%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132M5VZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11378 | PA      | $11055.21     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37809 | PA      | $34696.57     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349581 | PA      | $279339.17    | 0.12%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y3XQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35951 | PA      | $33502.29     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6873 | PA      | $5758.93      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6LH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187431 | PA      | $160404.95    | 0.07%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26313 | PA      | $25782.51     | 0.01%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EBVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22990 | PA      | $21620.30     | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132XTTT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41881 | PA      | $38679.59     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36241KYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55797 | PA      | $56709.82     | 0.02%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    347151 | PA      | $294932.47    | 0.13%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49369 | PA      | $46619.98     | 0.02%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13034 | PA      | $13066.70     | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6AH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103286 | PA      | $96871.33     | 0.04%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196864 | PA      | $164327.59    | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21217 | PA      | $20596.91     | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6663 | PA      | $6389.76      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3644 | PA      | $3495.43      | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D55F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83221 | PA      | $80061.85     | 0.03%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179ME22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     67297 | PA      | $61679.90     | 0.03%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GVKH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49537 | PA      | $45688.61     | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J9RM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17864 | PA      | $16852.83     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620AUFH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14469 | PA      | $13805.03     | 0.01%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35308 | PA      | $33861.24     | 0.01%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17084 | PA      | $17097.43     | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J97M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10533 | PA      | $9565.08      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H9M89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $143987.65    | 0.06%             | 2032-11-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334741 | PA      | $335099.14    | 0.14%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73389 | PA      | $68569.43     | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5DN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72826 | PA      | $64579.54     | 0.03%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67461 | PA      | $60146.54     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M6YJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69005 | PA      | $69694.07     | 0.03%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QL66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20595 | PA      | $19780.06     | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114110 | PA      | $96788.15     | 0.04%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175693 | PA      | $152039.91    | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138M0BF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60677 | PA      | $56968.56     | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36184FQT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2219 | PA      | $2050.56      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SJT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45022 | PA      | $41459.29     | 0.02%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    103579 | PA      | $97273.92     | 0.04%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55125 | PA      | $51100.46     | 0.02%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11181 | PA      | $11410.85     | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279917 | PA      | $236246.91    | 0.10%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65747 | PA      | $61758.74     | 0.03%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     94001 | PA      | $84371.13     | 0.04%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209822 | PA      | $189409.42    | 0.08%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FVTD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15123 | PA      | $13416.54     | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QJT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62208 | PA      | $59746.10     | 0.03%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50514 | PA      | $46353.95     | 0.02%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YR5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64834 | PA      | $59639.09     | 0.03%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F0JJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80019 | PA      | $70618.45     | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91215 | PA      | $79846.68     | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61749 | PA      | $59411.36     | 0.03%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16630 | PA      | $16000.14     | 0.01%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363538 | PA      | $290446.98    | 0.12%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128P8AJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2966 | PA      | $2839.45      | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H5Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10271 | PA      | $9452.58      | 0.00%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3128LDV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       467 | PA      | $476.72       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YYE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10411 | PA      | $10018.73     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJWA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31032 | PA      | $27876.98     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312316 | PA      | $287045.69    | 0.12%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    415583 | PA      | $387264.94    | 0.17%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YW59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    417414 | PA      | $418741.58    | 0.18%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MX47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54188 | PA      | $50525.89     | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DMN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286859 | PA      | $243525.09    | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29322 | PA      | $25678.95     | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J8KS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16646 | PA      | $16503.49     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320964 | PA      | $255461.40    | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    271977 | PA      | $231055.22    | 0.10%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8DH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10104 | PA      | $9147.67      | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8D81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20637 | PA      | $19511.94     | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    129665 | PA      | $130385.33    | 0.06%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6743 | PA      | $6468.57      | 0.00%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350833 | PA      | $344427.56    | 0.15%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93347 | PA      | $81750.35     | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43845 | PA      | $41085.62     | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7290 | PA      | $6730.87      | 0.00%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33440 | PA      | $30662.93     | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JAJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31977 | PA      | $30535.39     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36186NMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6487 | PA      | $5740.07      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374668 | PA      | $313766.91    | 0.13%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36178LUG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43223 | PA      | $41287.79     | 0.02%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HESE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45816 | PA      | $44871.91     | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220169 | PA      | $184532.16    | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                                   | GS MORTGAGE SECURITIES TRUST                       | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $186532.47    | 0.08%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QBF60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33364 | PA      | $29203.64     | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36180AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    153632 | PA      | $157755.24    | 0.07%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25285 | PA      | $24095.12     | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140MAXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52388 | PA      | $47880.58     | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202F2H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       794 | PA      | $786.33       | 0.00%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JMZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17559 | PA      | $16568.95     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164295 | PA      | $124367.70    | 0.05%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83582 | PA      | $75266.59     | 0.03%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140L2RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449942 | PA      | $359453.33    | 0.15%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XX50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    334721 | PA      | $330777.66    | 0.14%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54225 | PA      | $52078.33     | 0.02%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H050672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $98187.50     | 0.04%             | 2055-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328965 | PA      | $293038.30    | 0.13%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15453 | PA      | $15052.71     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JWNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101871 | PA      | $89175.23     | 0.04%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10158 | PA      | $9307.34      | 0.00%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 312945DN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12090 | PA      | $11373.26     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227231 | PA      | $189757.15    | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132HPNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4328 | PA      | $3952.43      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18220 | PA      | $17750.50     | 0.01%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20461 | PA      | $19514.44     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK 2021 BNK37                                    | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $262889.75    | 0.11%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    107811 | PA      | $96097.45     | 0.04%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274479 | PA      | $263096.13    | 0.11%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6XZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165599 | PA      | $145024.29    | 0.06%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138M5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10738 | PA      | $9775.42      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132AEKF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7041 | PA      | $6561.89      | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133B0QP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122753 | PA      | $97696.91     | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26812 | PA      | $25652.18     | 0.01%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133L74L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240537 | PA      | $219780.44    | 0.09%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82368 | PA      | $72240.46     | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XZBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4096 | PA      | $3950.19      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4860 | PA      | $4660.65      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50521 | PA      | $47647.44     | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118296 | PA      | $103562.53    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XDS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35476 | PA      | $34247.82     | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59606 | PA      | $52201.93     | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X43L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12028 | PA      | $11905.96     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P73Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27874 | PA      | $27441.00     | 0.01%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NAH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4087 | PA      | $4000.93      | 0.00%             | 2028-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369221 | PA      | $295008.61    | 0.13%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WG28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    304773 | PA      | $248772.60    | 0.11%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65866 | PA      | $60444.44     | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349708 | PA      | $335332.02    | 0.14%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5BD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103022 | PA      | $96256.92     | 0.04%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436084 | PA      | $427601.88    | 0.18%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ENNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20754 | PA      | $20871.98     | 0.01%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99370 | PA      | $93194.67     | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42109 | PA      | $37341.97     | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QHKB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416137 | PA      | $345398.74    | 0.15%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179Q3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15193 | PA      | $13691.04     | 0.01%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X3AW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31477 | PA      | $28712.22     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J8FX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247 | PA      | $249.24       | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QWC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443801 | PA      | $454962.28    | 0.19%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NHJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4682 | PA      | $4584.10      | 0.00%             | 2028-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63364 | PA      | $47724.65     | 0.02%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243782 | PA      | $222438.20    | 0.10%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AM7J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363853 | PA      | $289593.56    | 0.12%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202714 | PA      | $161131.47    | 0.07%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FMDF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56468 | PA      | $50345.32     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352920 | PA      | $267138.17    | 0.11%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35491 | PA      | $34688.83     | 0.01%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77684 | PA      | $64620.08     | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KJVV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338908 | PA      | $271739.36    | 0.12%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VTV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    155619 | PA      | $126982.37    | 0.05%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6263 | PA      | $5360.50      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292MDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89035 | PA      | $79928.22     | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMVT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237644 | PA      | $189882.49    | 0.08%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 312938PW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3826 | PA      | $3874.94      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EUFD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20697 | PA      | $19163.26     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64756 | PA      | $59651.73     | 0.03%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140L6WT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319757 | PA      | $267029.23    | 0.11%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34458 | PA      | $32803.91     | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1125000 | PA      | $890156.25    | 0.38%             | 2055-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360448 | PA      | $354579.59    | 0.15%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143268 | PA      | $130452.49    | 0.06%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WVPE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103583 | PA      | $94316.47     | 0.04%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335552 | PA      | $336383.54    | 0.14%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83615 | PA      | $77022.39     | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31416WRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21797 | PA      | $21764.40     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ESDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18944 | PA      | $18564.79     | 0.01%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ERZG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       167 | PA      | $166.53       | 0.00%             | 2029-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179YHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    246160 | PA      | $247203.44    | 0.11%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386224 | PA      | $322478.16    | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42472 | PA      | $38975.49     | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8GL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7850 | PA      | $7583.17      | 0.00%             | 2038-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273299 | PA      | $243872.12    | 0.10%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24313 | PA      | $21759.37     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185423 | PA      | $190695.82    | 0.08%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MAGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140915 | PA      | $128285.70    | 0.05%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AJPG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201529 | PA      | $160391.65    | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HPBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41107 | PA      | $40440.44     | 0.02%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33212 | PA      | $32054.14     | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CG99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20578 | PA      | $19741.14     | 0.01%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4SD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32251 | PA      | $30366.44     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJRD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18093 | PA      | $17277.86     | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179Y5M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    128305 | PA      | $130242.25    | 0.06%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2885 | PA      | $2892.61      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST                                                                                 | MERCEDES BENZ AUTO LEASE TRUST 2025 A              | CUSIP: 58768YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101368.21    | 0.04%             | 2031-02-18      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307VT89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14721 | PA      | $14193.62     | 0.01%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316630 | PA      | $264985.85    | 0.11%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VSF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    270820 | PA      | $220990.99    | 0.09%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274856 | PA      | $240040.93    | 0.10%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315280 | PA      | $250952.37    | 0.11%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344216 | PA      | $320566.90    | 0.14%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X5DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59400 | PA      | $54621.24     | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK 2024 V11 MORTGAGE TRUST                  | CUSIP: 081921BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $104555.83    | 0.04%             | 2057-11-15      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301194 | PA      | $252742.36    | 0.11%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST                                                                   | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST       | CUSIP: 02582JKP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100587.90    | 0.04%             | 2030-04-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS TRUST                                        | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $139553.68    | 0.06%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8EM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6962 | PA      | $6657.45      | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24368 | PA      | $20669.75     | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XC7K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352403 | PA      | $296140.66    | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WDY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12643 | PA      | $11210.84     | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EYXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13602 | PA      | $12126.59     | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MX62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27547 | PA      | $27127.73     | 0.01%             | 2043-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A7UN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38744 | PA      | $38986.20     | 0.02%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38838 | PA      | $37530.78     | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YYY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    300663 | PA      | $309808.51    | 0.13%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J9GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67312 | PA      | $61774.41     | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5HG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48131 | PA      | $45393.70     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147041 | PA      | $120770.85    | 0.05%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MPYS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149561 | PA      | $136181.79    | 0.06%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132ACYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31344 | PA      | $27774.46     | 0.01%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KH3B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48417 | PA      | $42466.79     | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AD3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36693 | PA      | $35742.96     | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179USU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13889 | PA      | $13074.29     | 0.01%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179USW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8067 | PA      | $8040.06      | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AEG42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10540 | PA      | $10190.85     | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KELG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131486 | PA      | $105059.14    | 0.04%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132WGFU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20664 | PA      | $17668.39     | 0.01%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210266 | PA      | $176236.93    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133BFXB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171240 | PA      | $159829.48    | 0.07%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E0FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41593 | PA      | $39447.93     | 0.02%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AKFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331167 | PA      | $263575.54    | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340154 | PA      | $333867.43    | 0.14%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104233 | PA      | $92479.40     | 0.04%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DUNQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429101 | PA      | $432284.20    | 0.18%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434504 | PA      | $434568.31    | 0.19%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309751 | PA      | $246235.10    | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30536 | PA      | $27453.91     | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DTUL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212357 | PA      | $221232.66    | 0.09%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WTX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    380187 | PA      | $309721.93    | 0.13%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2917 | PA      | $2854.11      | 0.00%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42322 | PA      | $38765.58     | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    202819 | PA      | $184958.10    | 0.08%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9097 | PA      | $8810.14      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337701 | PA      | $280339.08    | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366909 | PA      | $307760.28    | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138AW3M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130335 | PA      | $125944.20    | 0.05%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132A5DX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75549 | PA      | $69316.29     | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143921 | PA      | $122082.84    | 0.05%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HNY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3368 | PA      | $3268.61      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FSF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13348 | PA      | $13093.02     | 0.01%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SGK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57768 | PA      | $51915.31     | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK MORTGAGE TRUST                           | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $182833.85    | 0.08%             | 2032-01-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    137326 | PA      | $127934.75    | 0.05%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179X5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    160683 | PA      | $161682.81    | 0.07%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179YMM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    205612 | PA      | $212053.22    | 0.09%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36297GVW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9574 | PA      | $8266.06      | 0.00%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132GKF43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27398 | PA      | $25630.65     | 0.01%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A9UR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28359 | PA      | $26818.99     | 0.01%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VHR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    117256 | PA      | $99678.70     | 0.04%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36551 | PA      | $36479.99     | 0.02%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96887 | PA      | $86386.02     | 0.04%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F3PT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21444 | PA      | $19750.82     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417F3F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93144 | PA      | $84811.47     | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMNT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340994 | PA      | $286053.94    | 0.12%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136BP3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95524.85     | 0.04%             | 2032-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NBB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     90511 | PA      | $84160.30     | 0.04%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140MMY28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348493 | PA      | $334125.75    | 0.14%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14603 | PA      | $14226.17     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AEBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17841 | PA      | $16834.93     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55864 | PA      | $48925.79     | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W95X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7448 | PA      | $7300.60      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4WN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48705 | PA      | $43405.11     | 0.02%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431750 | PA      | $431814.74    | 0.18%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355879 | PA      | $283409.19    | 0.12%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H052678<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    575000 | PA      | $575628.91    | 0.25%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132M8C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34515 | PA      | $32761.64     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51001 | PA      | $48040.02     | 0.02%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DMKB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79350 | PA      | $74542.35     | 0.03%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $348016.48    | 0.15%             | 2028-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5CJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37352 | PA      | $36019.61     | 0.02%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H4KJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13165 | PA      | $12780.26     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KLRF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309938 | PA      | $247666.74    | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MGN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5556 | PA      | $5495.53      | 0.00%             | 2027-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58929 | PA      | $54924.63     | 0.02%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A75C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7734 | PA      | $7693.66      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JBH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18361 | PA      | $16674.43     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52109 | PA      | $48342.08     | 0.02%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56798 | PA      | $54688.54     | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20832 | PA      | $20338.61     | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225061 | PA      | $178817.99    | 0.08%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHV23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7710 | PA      | $7441.56      | 0.00%             | 2030-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RNX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10932 | PA      | $10499.56     | 0.00%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47001 | PA      | $43131.49     | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5626 | PA      | $5330.17      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RZU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12748 | PA      | $12226.03     | 0.01%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351423 | PA      | $265998.39    | 0.11%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201248 | PA      | $207775.42    | 0.09%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST                                                                             | HONDA AUTO RECEIVABLES 2023 1 OWNER TRUST          | CUSIP: 43815JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $75372.19     | 0.03%             | 2029-06-21      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F062671<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1475000 | PA      | $1522476.56   | 0.65%             | 2055-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132M75R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2108 | PA      | $2040.29      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 312946RM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340166 | PA      | $338419.24    | 0.14%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WKRG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36152 | PA      | $34095.10     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36296RZA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6970 | PA      | $7321.99      | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363097 | PA      | $316553.15    | 0.14%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133ASJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359060 | PA      | $299840.42    | 0.13%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133GGSJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176559 | PA      | $157004.45    | 0.07%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DMY41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76358 | PA      | $61617.00     | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                                   | GS MORTGAGE SECURITIES TRUST                       | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97791.33     | 0.04%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H73Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164482 | PA      | $154023.36    | 0.07%             | 2055-04-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST                                                                   | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST       | CUSIP: 02582JKH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101946.11    | 0.04%             | 2029-04-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84703 | PA      | $77508.63     | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WTY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    480170 | PA      | $407916.46    | 0.17%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36180AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    400217 | PA      | $406207.88    | 0.17%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86280 | PA      | $72400.21     | 0.03%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMT29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37090 | PA      | $35544.14     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    353700 | PA      | $288172.21    | 0.12%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435397 | PA      | $426928.10    | 0.18%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARLEY DAVIDSON MOTORCYCLE TRUST                                                                               | HARLEY DAVIDSON MOTORCYCLE TRUST 2024 A            | CUSIP: 412922AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $204127.78    | 0.09%             | 2031-12-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111716 | PA      | $94757.80     | 0.04%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115149 | PA      | $97681.22     | 0.04%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RF95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60048 | PA      | $56213.23     | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HA4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $151479.23    | 0.06%             | 2030-03-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5AM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74920 | PA      | $68220.05     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5EC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48715 | PA      | $46203.63     | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EMUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22941 | PA      | $22567.76     | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31329QWF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20524 | PA      | $19418.05     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48410 | PA      | $44579.74     | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HHHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $49749.06     | 0.02%             | 2034-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12070 | PA      | $11717.31     | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S5K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64994 | PA      | $58147.14     | 0.02%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST                                                                            | TOYOTA AUTO RECEIVABLES 2024 A OWNER TRUST         | CUSIP: 89238DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202749.82    | 0.09%             | 2029-04-16      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165671 | PA      | $143431.69    | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925000 | PA      | $924710.94    | 0.40%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST                                                                             | HONDA AUTO RECEIVABLES 2023 3 OWNER TRUST          | CUSIP: 43815QAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101243.77    | 0.04%             | 2029-12-18      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31419GCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       883 | PA      | $879.26       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307GKF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10272 | PA      | $9907.29      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24559 | PA      | $24102.56     | 0.01%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347291 | PA      | $347555.08    | 0.15%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417YXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7070 | PA      | $7137.67      | 0.00%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7554 | PA      | $7671.31      | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410KXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46596 | PA      | $48989.79     | 0.02%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138AX2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1155 | PA      | $1146.21      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3133A7RB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182105 | PA      | $159487.66    | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45467 | PA      | $43268.21     | 0.02%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138M8HU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27123 | PA      | $26670.07     | 0.01%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST                                                                                 | HYUNDAI AUTO RECEIVABLES TRUST                     | CUSIP: 44918CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $126363.02    | 0.05%             | 2028-10-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354628 | PA      | $283326.75    | 0.12%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NF78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    102340 | PA      | $94442.88     | 0.04%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ3N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64839 | PA      | $59390.30     | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WC2A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22152 | PA      | $21362.02     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46380 | PA      | $43959.97     | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8EX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13136 | PA      | $12560.15     | 0.01%             | 2037-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KMPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340793 | PA      | $285285.26    | 0.12%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8174 | PA      | $8209.64      | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36180MLN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     99063 | PA      | $89667.25     | 0.04%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24392 | PA      | $22455.00     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127842 | PA      | $123537.08    | 0.05%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MCZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     71775 | PA      | $66926.48     | 0.03%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426459 | PA      | $426519.64    | 0.18%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46717 | PA      | $43424.25     | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217783 | PA      | $202919.55    | 0.09%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37169 | PA      | $34795.15     | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y1E92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1906 | PA      | $1879.80      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NJA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    104335 | PA      | $96284.34     | 0.04%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132CWA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2825 | PA      | $2810.81      | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307SHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26359 | PA      | $25288.44     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P77K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15873 | PA      | $15405.10     | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TJX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38046 | PA      | $35268.13     | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QLWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351752 | PA      | $294478.13    | 0.13%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28993 | PA      | $27470.85     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KNKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314485 | PA      | $251301.89    | 0.11%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MU24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6019 | PA      | $5922.00      | 0.00%             | 2027-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45136 | PA      | $42578.28     | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Institutional Investment Trust: State Street Institutional Treasury Plus Money Market Fund; Trust | STATE STREET INSTITUTIONAL TREASURY PLUS MMKT      | CUSIP: 85749Q448<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     99036 | NS      | $99035.88     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13281 | PA      | $12242.49     | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136B3J50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175239 | PA      | $171996.96    | 0.07%             | 2028-11-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17225 | PA      | $15762.10     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE RELATED SECURITIES                                                                         | COMM 2019 GC44 MORTGAGE TRUST                      | CUSIP: 12655TBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43684 | PA      | $42141.44     | 0.02%             | 2057-08-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383348 | PA      | $306249.21    | 0.13%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37346 | PA      | $36360.28     | 0.02%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X83S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337828 | PA      | $269917.03    | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179W7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    353601 | PA      | $312747.51    | 0.13%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378060 | PA      | $300909.25    | 0.13%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RVA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47151 | PA      | $42459.20     | 0.02%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16676 | PA      | $16095.25     | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393366 | PA      | $317427.35    | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179R4D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16933 | PA      | $15253.04     | 0.01%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NXB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3716 | PA      | $3667.02      | 0.00%             | 2029-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJ2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9066 | PA      | $8798.91      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410LPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9011 | PA      | $9042.38      | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79738 | PA      | $71095.03     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5E76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85980 | PA      | $76659.59     | 0.03%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12383 | PA      | $12021.02     | 0.01%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FDET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54862 | PA      | $48936.78     | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111691 | PA      | $110889.26    | 0.05%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9858 | PA      | $8789.43      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGZQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322318 | PA      | $256606.56    | 0.11%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK 2024 V8 MORTGAGE TRUST                   | CUSIP: 08190AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $158164.87    | 0.07%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12595 | PA      | $11883.75     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13318 | PA      | $13125.92     | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43032 | PA      | $42105.15     | 0.02%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8285 | PA      | $8109.92      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WFKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26977 | PA      | $24815.34     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48933 | PA      | $48203.89     | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XLLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412330 | PA      | $413024.02    | 0.18%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179V7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     99863 | PA      | $84869.58     | 0.04%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31427MLM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196026 | PA      | $197334.58    | 0.08%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40131 | PA      | $37990.17     | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315874 | PA      | $321974.44    | 0.14%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179YAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    352370 | PA      | $348218.74    | 0.15%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54936 | PA      | $50639.66     | 0.02%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12940 | PA      | $12442.06     | 0.01%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121814 | PA      | $102114.15    | 0.04%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KKAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    446930 | PA      | $359531.80    | 0.15%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31419BCT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13214 | PA      | $12266.19     | 0.01%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H2NY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $233981.72    | 0.10%             | 2036-08-25      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VZR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    360299 | PA      | $306243.66    | 0.13%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AALF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317868 | PA      | $253960.88    | 0.11%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408461 | PA      | $325105.59    | 0.14%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128PTWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       370 | PA      | $368.87       | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84523 | PA      | $75849.84     | 0.03%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AEKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27692 | PA      | $26193.26     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QEAE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210597 | PA      | $177725.15    | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WDKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22637 | PA      | $21828.76     | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66126 | PA      | $61072.23     | 0.03%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NNB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22146 | PA      | $21091.56     | 0.01%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138055 | PA      | $139902.53    | 0.06%             | 2044-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JABQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4646 | PA      | $4251.29      | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S2Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40026 | PA      | $38042.38     | 0.02%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VXY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    226560 | PA      | $192574.51    | 0.08%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393038 | PA      | $311393.45    | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137866 | PA      | $115558.26    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421287 | PA      | $421346.17    | 0.18%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    675000 | PA      | $583875.00    | 0.25%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS MORTGAGE TRUST 2022 C15                      | CUSIP: 05552FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $367136.67    | 0.16%             | 2055-04-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10540 | PA      | $10592.95     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41855 | PA      | $40368.55     | 0.02%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136B27L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234620 | PA      | $230740.03    | 0.10%             | 2028-08-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49661 | PA      | $46034.27     | 0.02%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213806 | PA      | $170831.53    | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $398182.06    | 0.17%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4211 | PA      | $4123.79      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4058 | PA      | $3901.80      | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36178AHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6381 | PA      | $5791.44      | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H8BK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $183609.60    | 0.08%             | 2032-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FPJF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16574 | PA      | $14705.59     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31335AF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68895 | PA      | $61460.01     | 0.03%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55968 | PA      | $52187.27     | 0.02%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5JY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48230 | PA      | $42077.68     | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268896 | PA      | $225371.46    | 0.10%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44449 | PA      | $43136.10     | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JG6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2880 | PA      | $2805.24      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QBG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62667 | PA      | $60188.34     | 0.03%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376815 | PA      | $312796.55    | 0.13%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HDUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $144536.14    | 0.06%             | 2034-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9553 | PA      | $9228.80      | 0.00%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QRKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39093 | PA      | $40086.38     | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67960 | PA      | $63700.75     | 0.03%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KH4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247682 | PA      | $206246.09    | 0.09%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36180ACA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    442212 | PA      | $443363.71    | 0.19%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31294MFB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       317 | PA      | $315.16       | 0.00%             | 2026-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31329JM87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71420 | PA      | $65056.23     | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40908 | PA      | $39214.07     | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KLS57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350583 | PA      | $280167.96    | 0.12%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QU4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393789 | PA      | $401457.14    | 0.17%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410LAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302229 | PA      | $309723.50    | 0.13%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S4H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7199 | PA      | $6886.03      | 0.00%             | 2032-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76189 | PA      | $73623.26     | 0.03%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TV51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50281 | PA      | $46768.29     | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8EQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7145 | PA      | $6755.95      | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281661 | PA      | $277088.43    | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK 2021 B25 MORTGAGE TRUST                  | CUSIP: 08163DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $139920.65    | 0.06%             | 2054-04-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620ASRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1881 | PA      | $1872.51      | 0.00%             | 2026-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FLN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $245150.49    | 0.10%             | 2029-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306298 | PA      | $311414.77    | 0.13%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5JT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18482 | PA      | $18001.93     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WFG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    314516 | PA      | $267365.03    | 0.11%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J4HX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16800 | PA      | $15587.64     | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TCY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74779 | PA      | $71073.49     | 0.03%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15330 | PA      | $13236.46     | 0.01%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST                                                                               | WORLD OMNI AUTO RECEIVABLES TRUST 2025 A           | CUSIP: 98164YAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $102206.90    | 0.04%             | 2030-11-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312752 | PA      | $278597.54    | 0.12%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5E84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21774 | PA      | $20058.30     | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55667 | PA      | $52567.41     | 0.02%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     79615 | PA      | $74003.27     | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7BW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6228 | PA      | $5958.67      | 0.00%             | 2032-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313702 | PA      | $272950.43    | 0.12%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132Y2LC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26664 | PA      | $24517.04     | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12137 | PA      | $11206.52     | 0.00%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9AB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7921 | PA      | $7679.95      | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302087 | PA      | $252230.59    | 0.11%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3131YBST6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9876 | PA      | $9322.75      | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238523 | PA      | $189674.29    | 0.08%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6466 | PA      | $6277.29      | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QHFZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244705 | PA      | $225683.92    | 0.10%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132QSWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29224 | PA      | $26909.93     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374034 | PA      | $296714.24    | 0.13%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JACX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39646 | PA      | $36274.24     | 0.02%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X6CZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33297 | PA      | $32595.71     | 0.01%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5C49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    443903 | PA      | $425704.84    | 0.18%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327353 | PA      | $247282.09    | 0.11%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36297KCM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35636 | PA      | $34721.19     | 0.01%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFBF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160277 | PA      | $134794.56    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HBP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $208586.59    | 0.09%             | 2033-12-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NTE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41455 | PA      | $39365.95     | 0.02%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YBSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46843 | PA      | $43087.50     | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SSQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     73223 | PA      | $67383.37     | 0.03%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                                                                             | BMO 2024 5C4 MORTGAGE TRUST                        | CUSIP: 09660SAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286000 | PA      | $303301.60    | 0.13%             | 2057-05-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132D55W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174228 | PA      | $160930.39    | 0.07%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140GQ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11416 | PA      | $10766.85     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389282 | PA      | $401856.32    | 0.17%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WTZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    308603 | PA      | $273076.16    | 0.12%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53971 | PA      | $44329.00     | 0.02%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32435 | PA      | $31847.23     | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394778 | PA      | $315421.33    | 0.13%             | 2045-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QWE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36347 | PA      | $34073.41     | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II        | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    375000 | PA      | $340839.84    | 0.15%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36184BTP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3295 | PA      | $2978.54      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110521 | PA      | $106337.23    | 0.05%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7253 | PA      | $7220.43      | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31654 | PA      | $29192.99     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38904 | PA      | $35005.01     | 0.01%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10629 | PA      | $9900.83      | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399312 | PA      | $316509.67    | 0.14%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F060477<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $128515.63    | 0.05%             | 2040-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FPJF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36136 | PA      | $34637.60     | 0.01%             | 2029-06-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18807 | PA      | $17078.45     | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7225 | PA      | $6184.61      | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330000 | PA      | $293444.55    | 0.13%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7JY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247763 | PA      | $210358.06    | 0.09%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X8V46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72883 | PA      | $68805.62     | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7YF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268038 | PA      | $224680.92    | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122892 | PA      | $103119.33    | 0.04%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367530 | PA      | $379383.87    | 0.16%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218097 | PA      | $204765.51    | 0.09%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GUKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41492 | PA      | $38267.91     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10140 | PA      | $9587.29      | 0.00%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SNU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    138920 | PA      | $124587.42    | 0.05%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158501 | PA      | $132860.59    | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49538 | PA      | $44165.90     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36195GXP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11565 | PA      | $11001.47     | 0.00%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132AEEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30295 | PA      | $28425.63     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FRUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52580 | PA      | $49749.04     | 0.02%             | 2029-05-25      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7053 | PA      | $7025.10      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST                                                                                 | MSWF COMMERCIAL MORTGAGE TRUST                     | CUSIP: 55376CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $104830.49    | 0.04%             | 2056-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Vanguard Intermediate Term Treasury ETF                                                                        | VANGUARD INTERMEDIATE TERM TREASURY ETF            | CUSIP: 92206C706<br>LEI: N/A                  | Long             |  | RF                | US        |    529092 | NS      | $31644992.52  | 13.54%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29700 | PA      | $27991.80     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AADG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238479 | PA      | $199887.50    | 0.09%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362844 | PA      | $288324.65    | 0.12%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179V4U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    277509 | PA      | $226139.74    | 0.10%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RLP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75673 | PA      | $70841.94     | 0.03%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YJ3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43101 | PA      | $40204.52     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305587 | PA      | $272191.74    | 0.12%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96273 | PA      | $85834.20     | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATIONS             | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175854 | PA      | $172379.17    | 0.07%             | 2027-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39369 | PA      | $38718.41     | 0.02%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KQWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163843 | PA      | $130939.57    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98199 | PA      | $87553.10     | 0.04%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129793 | PA      | $111085.43    | 0.05%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18933 | PA      | $18327.63     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20324 | PA      | $19554.80     | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39927 | PA      | $35825.34     | 0.02%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35397 | PA      | $33178.86     | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FT5L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26017 | PA      | $24536.45     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F9WG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116219 | PA      | $103618.58    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SSN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    154642 | PA      | $133521.25    | 0.06%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6958 | PA      | $7005.25      | 0.00%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EAT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221320 | PA      | $206654.10    | 0.09%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CLT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3535 | PA      | $3426.22      | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3142GTE44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395320 | PA      | $390757.52    | 0.17%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128PUU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4868 | PA      | $4848.68      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16468 | PA      | $15062.72     | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8EL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3511 | PA      | $3320.25      | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34934 | PA      | $30797.46     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9SV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114422 | PA      | $110816.08    | 0.05%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YDA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14616 | PA      | $13973.47     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                                                             | PG E WILDFIRE RECOVERY FUNDING LLC                 | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $207044.44    | 0.09%             | 2054-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WET25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31474 | PA      | $28950.95     | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QT43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31574 | PA      | $29606.63     | 0.01%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417D3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265444 | PA      | $241664.68    | 0.10%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KTUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272256 | PA      | $249512.89    | 0.11%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X8KA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426714 | PA      | $342180.80    | 0.15%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WENA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56041 | PA      | $49693.68     | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TAK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39137 | PA      | $36279.04     | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16738 | PA      | $15618.74     | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4247 | PA      | $4312.19      | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MD5E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26809 | PA      | $26397.47     | 0.01%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26133 | PA      | $25412.45     | 0.01%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142664 | PA      | $144111.00    | 0.06%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4039 | PA      | $3976.92      | 0.00%             | 2036-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H020675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    950000 | PA      | $773359.38    | 0.33%             | 2055-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351761 | PA      | $345372.37    | 0.15%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                                                 | MORGAN STANLEY CAPITAL I TRUST                     | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $193478.20    | 0.08%             | 2050-06-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1117875.00   | 0.48%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228001 | PA      | $172224.71    | 0.07%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FP3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37623 | PA      | $33380.72     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYWS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218507 | PA      | $190809.39    | 0.08%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    395083 | PA      | $322494.21    | 0.14%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5EB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46410 | PA      | $42968.52     | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QCY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400363 | PA      | $349081.69    | 0.15%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AKPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333837 | PA      | $265715.91    | 0.11%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41088 | PA      | $37849.87     | 0.02%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QPAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205917 | PA      | $186290.87    | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176XU23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6289 | PA      | $6039.70      | 0.00%             | 2042-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FXYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390000 | PA      | $349337.27    | 0.15%             | 2031-01-25      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35878 | PA      | $33880.97     | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KGU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13884 | PA      | $12686.53     | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40031 | PA      | $38682.34     | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E0WT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106391 | PA      | $102808.10    | 0.04%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349045 | PA      | $334590.45    | 0.14%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FANNIEMAE ACES                                     | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154287 | PA      | $151086.21    | 0.06%             | 2027-02-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J5W62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124569 | PA      | $116140.49    | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16118 | PA      | $15238.47     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $225078.13    | 0.10%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UZU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11080 | PA      | $10545.85     | 0.00%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133ARSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356631 | PA      | $283851.25    | 0.12%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36294SFW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4803 | PA      | $4848.37      | 0.00%             | 2036-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     89070 | PA      | $79147.04     | 0.03%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NMP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1873 | PA      | $1850.29      | 0.00%             | 2028-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33937 | PA      | $33453.32     | 0.01%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    174547 | PA      | $154904.41    | 0.07%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMVD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81057 | PA      | $77765.22     | 0.03%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E44L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2704 | PA      | $2606.54      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330535 | PA      | $263078.69    | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    353772 | PA      | $349604.76    | 0.15%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27505 | PA      | $25940.06     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EL5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36170 | PA      | $35452.75     | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132CWKN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102307 | PA      | $96071.28     | 0.04%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42585 | PA      | $37968.78     | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179W5A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    327126 | PA      | $266505.54    | 0.11%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126777 | PA      | $110302.36    | 0.05%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371908 | PA      | $310567.45    | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J5NB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13737 | PA      | $13656.83     | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMT94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9912 | PA      | $9657.43      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FQJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $63752.77     | 0.03%             | 2034-10-25      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31209 | PA      | $29447.86     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151508 | PA      | $124451.40    | 0.05%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC        | CUSIP: 05492VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $53073.55     | 0.02%             | 2053-04-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392651 | PA      | $329737.56    | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     63439 | PA      | $59871.69     | 0.03%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K9EV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121071 | PA      | $110148.08    | 0.05%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TUA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45033 | PA      | $41583.16     | 0.02%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133ASJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375280 | PA      | $298687.20    | 0.13%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QBF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33570 | PA      | $31470.58     | 0.01%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132WKLR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109034 | PA      | $97110.50     | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12877 | PA      | $12672.75     | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KLZW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220452 | PA      | $176152.66    | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2         | CUSIP: 36179XLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    594977 | PA      | $585499.72    | 0.25%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $135066.80    | 0.06%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37615 | PA      | $33376.23     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DMUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286894 | PA      | $242912.68    | 0.10%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XDD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    333580 | PA      | $313004.17    | 0.13%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AD6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43945 | PA      | $43941.56     | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XJ4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333711 | PA      | $311467.65    | 0.13%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LU2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45982 | PA      | $43173.04     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45913 | PA      | $44096.73     | 0.02%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F032476<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $72292.97     | 0.03%             | 2040-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292SA34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26534 | PA      | $23004.31     | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57021 | PA      | $50669.29     | 0.02%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $262274.28    | 0.11%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8523 | PA      | $8260.05      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64161 | PA      | $56941.84     | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SUW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35976 | PA      | $33906.76     | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31416YRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40617 | PA      | $40326.06     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $367558.59    | 0.16%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UQ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34137 | PA      | $32491.26     | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F070674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850000 | PA      | $894625.00    | 0.38%             | 2055-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XPUE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50844 | PA      | $48726.16     | 0.02%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HF2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205360 | PA      | $172123.44    | 0.07%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SJS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41874 | PA      | $37585.05     | 0.02%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56089 | PA      | $54040.28     | 0.02%             | 2033-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    327346 | PA      | $278097.43    | 0.12%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49617 | PA      | $47026.62     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136B8M97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187186 | PA      | $167148.01    | 0.07%             | 2030-02-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QYR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     67628 | PA      | $60963.17     | 0.03%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H1V98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9832 | PA      | $9274.45      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VQT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13086 | PA      | $11650.88     | 0.00%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71913 | PA      | $57466.04     | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36178DZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76634 | PA      | $68844.23     | 0.03%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY                                                                       | SYNCHRONY CARD ISSUANCE TRUST                      | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $152015.05    | 0.07%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MQT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4547 | PA      | $4704.80      | 0.00%             | 2042-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140M7SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348120 | PA      | $293752.62    | 0.13%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36241KE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19386 | PA      | $20118.40     | 0.01%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E4AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2069 | PA      | $2047.05      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129654 | PA      | $113555.15    | 0.05%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MQN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59957 | PA      | $54950.96     | 0.02%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25163 | PA      | $22150.91     | 0.01%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6710 | PA      | $6704.50      | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404702 | PA      | $411723.50    | 0.18%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429063 | PA      | $436364.95    | 0.19%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X3AX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42790 | PA      | $40365.35     | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                                                            | CITIGROUP COMMERCIAL MORTGAGE TRUST                | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $140263.50    | 0.06%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33850 | PA      | $33322.09     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14291 | PA      | $14113.45     | 0.01%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    346658 | PA      | $332522.98    | 0.14%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YAT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    277857 | PA      | $282278.91    | 0.12%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25532 | PA      | $22216.04     | 0.01%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F040479<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $171153.66    | 0.07%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169985 | PA      | $137176.39    | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E4YC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2288 | PA      | $2271.28      | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307VM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61151 | PA      | $58919.40     | 0.03%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16100 | PA      | $15685.54     | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66791 | PA      | $58999.48     | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31335AR91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14350 | PA      | $14113.43     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KJGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165126 | PA      | $138865.80    | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349712 | PA      | $349817.91    | 0.15%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2610 | PA      | $2534.18      | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48935 | PA      | $45611.49     | 0.02%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YAGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4337 | PA      | $4262.59      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29439 | PA      | $28388.36     | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VDN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    103847 | PA      | $92278.65     | 0.04%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WR26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    157900 | PA      | $134140.47    | 0.06%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                                   | GS MORTGAGE SECURITIES TRUST                       | CUSIP: 36258YBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91651.66     | 0.04%             | 2053-02-13      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92216.86     | 0.04%             | 2052-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YRF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    236801 | PA      | $227926.53    | 0.10%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16445 | PA      | $15394.14     | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q87H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8709 | PA      | $8669.71      | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYT58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44429 | PA      | $40166.34     | 0.02%             | 2040-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31686 | PA      | $31127.39     | 0.01%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWH22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267083 | PA      | $267448.05    | 0.11%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132QQRB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20464 | PA      | $19598.89     | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31329KSA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40867 | PA      | $39443.10     | 0.02%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8566 | PA      | $8098.90      | 0.00%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179W2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    360785 | PA      | $294625.66    | 0.13%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89859 | PA      | $92341.53     | 0.04%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F050478<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $377578.13    | 0.16%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307UX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40562 | PA      | $38925.46     | 0.02%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113338 | PA      | $113604.80    | 0.05%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4436 | PA      | $4455.39      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5F42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51972 | PA      | $44476.31     | 0.02%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    210904 | PA      | $179281.96    | 0.08%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    280150 | PA      | $238045.71    | 0.10%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HPX36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29829 | PA      | $28138.60     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AD7M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6334 | PA      | $6308.81      | 0.00%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4W44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49246 | PA      | $45177.68     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y15B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35164 | PA      | $33909.32     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VTW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    182145 | PA      | $154835.34    | 0.07%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36181TPZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10456 | PA      | $9565.84      | 0.00%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    182884 | PA      | $170529.07    | 0.07%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172136 | PA      | $130360.90    | 0.06%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36178GHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6083 | PA      | $5982.83      | 0.00%             | 2028-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q9XC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18060 | PA      | $17036.62     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23024 | PA      | $22112.60     | 0.01%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61153 | PA      | $53861.81     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7461 | PA      | $6568.40      | 0.00%             | 2039-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SB71<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50922 | PA      | $45706.24     | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    180800 | PA      | $180307.14    | 0.08%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132QUH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26315 | PA      | $24427.85     | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJEU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24153 | PA      | $23339.05     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133A4BS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102169 | PA      | $89135.54     | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128823 | PA      | $118059.15    | 0.05%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36185BDG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19671 | PA      | $18843.76     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M7DJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10872 | PA      | $10903.43     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154180 | PA      | $128760.99    | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359645 | PA      | $301606.68    | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180481 | PA      | $152328.82    | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64412 | PA      | $62014.10     | 0.03%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10472 | PA      | $10194.34     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399158 | PA      | $332067.21    | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X3E32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61173 | PA      | $59054.77     | 0.03%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     67615 | PA      | $62411.05     | 0.03%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q9C84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32923 | PA      | $31004.24     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57613 | PA      | $51368.36     | 0.02%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MNG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    107202 | PA      | $98251.21     | 0.04%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CYK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5854 | PA      | $5770.43      | 0.00%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31416H5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8247 | PA      | $8311.16      | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318966 | PA      | $324294.19    | 0.14%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287105 | PA      | $263118.15    | 0.11%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54009 | PA      | $50063.98     | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133ARVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384498 | PA      | $306074.64    | 0.13%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AE5Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331111 | PA      | $263597.11    | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36183RCW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8895 | PA      | $7869.17      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YEQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88613 | PA      | $84911.63     | 0.04%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QDY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29608 | PA      | $27756.17     | 0.01%             | 2044-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SNY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15906 | PA      | $15978.51     | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20848 | PA      | $19666.35     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CYL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45674 | PA      | $41798.60     | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36211EPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23520 | PA      | $23744.09     | 0.01%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5ET2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    444880 | PA      | $425933.22    | 0.18%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226036 | PA      | $208758.65    | 0.09%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YNZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22139 | PA      | $20624.18     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6457 | PA      | $6147.89      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298637 | PA      | $266006.89    | 0.11%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MQP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    104056 | PA      | $95466.24     | 0.04%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36297HXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17704 | PA      | $18025.06     | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E7U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27353 | PA      | $27038.60     | 0.01%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447498 | PA      | $428375.27    | 0.18%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WE4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25941 | PA      | $23861.35     | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3128L1W89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1388 | PA      | $1442.95      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179N5X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48162 | PA      | $46450.42     | 0.02%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YKS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    271062 | PA      | $271970.40    | 0.12%             | 2053-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AWPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391498 | PA      | $311581.19    | 0.13%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41179 | PA      | $40136.94     | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123674 | PA      | $101577.85    | 0.04%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36805 | PA      | $36394.71     | 0.02%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179Q3K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25315 | PA      | $24312.96     | 0.01%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MJSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7320 | PA      | $7230.79      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AEEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24124 | PA      | $22065.20     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $247650.17    | 0.11%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185449 | PA      | $186383.35    | 0.08%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176U5P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11065 | PA      | $9657.84      | 0.00%             | 2042-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37332 | PA      | $34339.31     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179U6U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59825 | PA      | $53138.51     | 0.02%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195278 | PA      | $157477.33    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QC33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3262 | PA      | $3214.01      | 0.00%             | 2029-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11492 | PA      | $11288.56     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620A7ZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133433 | PA      | $133548.40    | 0.06%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355149 | PA      | $340431.62    | 0.15%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140MA2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106872 | PA      | $92560.25     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VMC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    148399 | PA      | $126818.03    | 0.05%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y9QH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19890 | PA      | $18534.98     | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18423 | PA      | $16326.83     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196204 | PA      | $192386.29    | 0.08%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307FDM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37418 | PA      | $36597.71     | 0.02%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18978 | PA      | $18450.48     | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VSG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    166224 | PA      | $141301.59    | 0.06%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136BML55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139077 | PA      | $135610.12    | 0.06%             | 2027-10-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BJK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6207 | PA      | $6011.58      | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363124 | PA      | $274870.02    | 0.12%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11750 | PA      | $11501.75     | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37716 | PA      | $33320.08     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28515 | PA      | $26768.77     | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61255 | PA      | $56211.36     | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KPYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83173 | PA      | $80332.19     | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179N2K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31954 | PA      | $30689.21     | 0.01%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJVV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77462 | PA      | $72197.72     | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14768 | PA      | $13842.87     | 0.01%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XVKA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65522 | PA      | $57885.99     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20357 | PA      | $21036.47     | 0.01%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24049 | PA      | $24609.60     | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H022671<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    450000 | PA      | $382007.81    | 0.16%             | 2055-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16012 | PA      | $15517.58     | 0.01%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36180ACB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    430763 | PA      | $437473.62    | 0.19%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QRY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64838 | PA      | $60798.77     | 0.03%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11583 | PA      | $10926.48     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140M83M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259039 | PA      | $206185.30    | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620A2WH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74998 | PA      | $75066.77     | 0.03%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233011 | PA      | $208686.10    | 0.09%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209083 | PA      | $194692.87    | 0.08%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348301 | PA      | $290859.27    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179DLT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31943 | PA      | $29527.81     | 0.01%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16155 | PA      | $14223.45     | 0.01%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JGLQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31475 | PA      | $29692.12     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H070670<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    350000 | PA      | $361867.19    | 0.15%             | 2055-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35716 | PA      | $31279.53     | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29473 | PA      | $26646.46     | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3617BMR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19683 | PA      | $17937.31     | 0.01%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59718 | PA      | $54798.65     | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132QMHL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10104 | PA      | $9427.70      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5KV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    348775 | PA      | $342633.47    | 0.15%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83456 | PA      | $81986.72     | 0.04%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WXH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    164159 | PA      | $133732.98    | 0.06%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259119 | PA      | $267474.52    | 0.11%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CV92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15752 | PA      | $15291.16     | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WK4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38417 | PA      | $36230.96     | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KKLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123970 | PA      | $103906.83    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18981 | PA      | $18203.66     | 0.01%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128P8EW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3843 | PA      | $3633.72      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19200 | PA      | $16918.43     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260850 | PA      | $256515.69    | 0.11%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST                                                                               | WORLD OMNI AUTO RECEIVABLES TRUST                  | CUSIP: 98164HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100984.38    | 0.04%             | 2029-09-17      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H1WH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23055 | PA      | $21092.99     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420624 | PA      | $349912.64    | 0.15%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9366 | PA      | $8546.49      | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15191 | PA      | $13860.89     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179T7M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7761 | PA      | $7739.97      | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263164 | PA      | $271644.79    | 0.12%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132A5D85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62818 | PA      | $59581.82     | 0.03%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18580 | PA      | $18021.95     | 0.01%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E45H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1300 | PA      | $1264.35      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5FC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24759 | PA      | $22651.56     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TG25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14095 | PA      | $12323.51     | 0.01%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4GK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10598 | PA      | $10632.25     | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9143 | PA      | $8049.05      | 0.00%             | 2039-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    225000 | PA      | $209074.22    | 0.09%             | 2055-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7655 | PA      | $7661.72      | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YFK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    353693 | PA      | $349521.13    | 0.15%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620AGN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9036 | PA      | $8728.88      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179V4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    356631 | PA      | $303757.26    | 0.13%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132WHEG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83723 | PA      | $75090.09     | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620AU7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32008 | PA      | $29839.37     | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620ASVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15611 | PA      | $15160.73     | 0.01%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307BZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20676 | PA      | $20285.79     | 0.01%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 06540MBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $140836.19    | 0.06%             | 2065-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55512 | PA      | $51458.43     | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D55X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26341 | PA      | $24874.48     | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QL41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84268 | PA      | $76822.48     | 0.03%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UEA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4462 | PA      | $4367.32      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HEAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30393 | PA      | $28671.51     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140L0M20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293022 | PA      | $268543.51    | 0.11%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338865 | PA      | $345405.96    | 0.15%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K9EE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148499 | PA      | $130054.11    | 0.06%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9967 | PA      | $9922.54      | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D55N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16480 | PA      | $15562.51     | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33662 | PA      | $30011.96     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418E7F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88541 | PA      | $90262.98     | 0.04%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36180HHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17992 | PA      | $16729.61     | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KQVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296399 | PA      | $248454.94    | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KH5E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148951 | PA      | $125694.65    | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10997 | PA      | $10864.57     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292SCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31862 | PA      | $30844.03     | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ER6B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98642 | PA      | $87948.04     | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224074 | PA      | $189110.70    | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DNHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333799 | PA      | $312383.24    | 0.13%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    222198 | PA      | $202771.34    | 0.09%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205431 | PA      | $170577.00    | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SNV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     61656 | PA      | $57309.78     | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3421 | PA      | $3186.41      | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179N5W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51182 | PA      | $49157.51     | 0.02%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44006 | PA      | $42116.23     | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288266 | PA      | $297685.59    | 0.13%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133ADUS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339296 | PA      | $271089.54    | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12563 | PA      | $11982.34     | 0.01%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34412 | PA      | $32256.62     | 0.01%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31374CPY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       636 | PA      | $631.87       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402803 | PA      | $321827.66    | 0.14%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307EF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13344 | PA      | $13076.60     | 0.01%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436704 | PA      | $436764.60    | 0.19%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87764 | PA      | $79096.55     | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85355 | PA      | $73882.36     | 0.03%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201770 | PA      | $170209.89    | 0.07%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55962 | PA      | $51684.43     | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337391 | PA      | $318617.95    | 0.14%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8D57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10695 | PA      | $10111.76     | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FANNIE MAE                                         | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85109 | PA      | $81447.81     | 0.03%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F022477<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -50000 | PA      | $-46675.78    | -0.02%            | 2040-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133ALHG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329465 | PA      | $275103.16    | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XCLE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33783 | PA      | $32644.75     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VSH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15204 | PA      | $13542.85     | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4W93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31076 | PA      | $29308.70     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18951 | PA      | $15904.22     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E9SV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1155 | PA      | $1056.09      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307KA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6855 | PA      | $6737.76      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16361 | PA      | $14321.71     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QMA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381633 | PA      | $319105.29    | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385258 | PA      | $310246.10    | 0.13%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F012478<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $155469.73    | 0.07%             | 2040-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23516 | PA      | $19733.89     | 0.01%             | 2049-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357964 | PA      | $327170.87    | 0.14%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JAD70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1579 | PA      | $1569.47      | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WG36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    299511 | PA      | $254448.58    | 0.11%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402935 | PA      | $402991.93    | 0.17%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384924 | PA      | $323797.57    | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136AY6U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163307 | PA      | $159608.48    | 0.07%             | 2027-11-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320887 | PA      | $326240.90    | 0.14%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42821 | PA      | $40385.81     | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61988 | PA      | $57021.10     | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X44U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13297 | PA      | $13033.78     | 0.01%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3964 | PA      | $3947.43      | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    438503 | PA      | $357931.78    | 0.15%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    284628 | PA      | $232329.47    | 0.10%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24263 | PA      | $23851.47     | 0.01%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291224 | PA      | $259417.89    | 0.11%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441344 | PA      | $422308.43    | 0.18%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KKVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344037 | PA      | $276525.66    | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3617AX3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3808 | PA      | $3725.86      | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345979 | PA      | $277359.12    | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K5FK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33865 | PA      | $29843.28     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31419AMZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $1.33         | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H74P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $140455.58    | 0.06%             | 2029-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     61231 | PA      | $56759.14     | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21162 | PA      | $19132.10     | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102456 | PA      | $93752.57     | 0.04%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F042475<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $149031.85    | 0.06%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37296 | PA      | $33253.43     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128PW3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       727 | PA      | $711.06       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10782 | PA      | $10194.22     | 0.00%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJ3A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33398 | PA      | $32132.77     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST                                                                          | GM FINANCIAL AUTOMOBILE LEASING TRUST 2024 2       | CUSIP: 36269WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101064.31    | 0.04%             | 2028-05-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25663 | PA      | $25025.23     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78330 | PA      | $69838.21     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316651 | PA      | $255532.98    | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176WJA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48317 | PA      | $45365.42     | 0.02%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    323699 | PA      | $325067.60    | 0.14%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3131XYNZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120406 | PA      | $110491.71    | 0.05%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355563 | PA      | $356275.48    | 0.15%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179U4C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9341 | PA      | $8624.93      | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17258 | PA      | $15313.95     | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31412MTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4860 | PA      | $4959.66      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64008 | PA      | $57068.61     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140GTWR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71870 | PA      | $65952.12     | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620ASXW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10367 | PA      | $10123.83     | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179Y5L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    422509 | PA      | $423331.01    | 0.18%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417EF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62804 | PA      | $55193.39     | 0.02%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5EN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28170 | PA      | $25094.67     | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133BFB74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341437 | PA      | $318161.24    | 0.14%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5D28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81971 | PA      | $72688.28     | 0.03%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CQE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6618 | PA      | $6348.92      | 0.00%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F012676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $263156.25    | 0.11%             | 2055-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29359 | PA      | $27758.59     | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K45H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88161 | PA      | $77642.15     | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307TD99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17348 | PA      | $16813.51     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140L24V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204242 | PA      | $162585.15    | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMXB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56648 | PA      | $54902.76     | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    379319 | PA      | $322240.40    | 0.14%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31407PTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20070 | PA      | $20342.17     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GRZN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29773 | PA      | $27459.67     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QLYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356052 | PA      | $284461.56    | 0.12%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    152122 | PA      | $131343.19    | 0.06%             | 2047-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WF CARD ISSUANCE TRUST                                                                                         | WELLS FARGO CARD ISSUANCE TRUST                    | CUSIP: 92970QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $177123.46    | 0.08%             | 2029-02-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5EZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11789 | PA      | $11233.99     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    303229 | PA      | $268320.25    | 0.11%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132WE7H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34883 | PA      | $30745.53     | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47911 | PA      | $45186.77     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415046 | PA      | $330372.39    | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9050 | PA      | $9140.00      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5381 | PA      | $5396.94      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H74Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $185626.25    | 0.08%             | 2029-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WDY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51777 | PA      | $45913.51     | 0.02%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SWW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    118399 | PA      | $105926.09    | 0.05%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X9BX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107376 | PA      | $93422.57     | 0.04%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133BKFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123950 | PA      | $118836.31    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43742 | PA      | $40026.24     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KJR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326730 | PA      | $263441.92    | 0.11%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133ALQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352041 | PA      | $293945.37    | 0.13%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LQZS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171035 | PA      | $155712.81    | 0.07%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMYA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17058 | PA      | $16437.46     | 0.01%             | 2033-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71760 | PA      | $67525.51     | 0.03%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7468 | PA      | $6853.41      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J6GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24297 | PA      | $22522.80     | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384662 | PA      | $337188.41    | 0.14%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FPFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36558 | PA      | $33548.56     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST              | CUSIP: 95002DBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99653.91     | 0.04%             | 2061-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S2N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51960 | PA      | $46626.90     | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XBU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    317519 | PA      | $306687.55    | 0.13%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FV86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    129328 | PA      | $123451.97    | 0.05%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93022.76     | 0.04%             | 2061-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9968 | PA      | $9722.61      | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QL6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366602 | PA      | $307418.62    | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205839 | PA      | $163809.66    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E1M20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54153 | PA      | $50932.64     | 0.02%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351276 | PA      | $279614.04    | 0.12%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132XVQ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33353 | PA      | $30803.35     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X7XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9514 | PA      | $9386.04      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417YRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19164 | PA      | $19130.06     | 0.01%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406667 | PA      | $337615.47    | 0.14%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323752 | PA      | $329783.38    | 0.14%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9788 | PA      | $9282.92      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57913 | PA      | $53683.09     | 0.02%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312086 | PA      | $312323.44    | 0.13%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JXRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83182 | PA      | $72812.68     | 0.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ETYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7471 | PA      | $7356.08      | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339183 | PA      | $339546.56    | 0.15%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XJDM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2719 | PA      | $2683.81      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307VYC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8649 | PA      | $8396.66      | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3129446X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174781 | PA      | $168897.10    | 0.07%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J5QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13080 | PA      | $12474.77     | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14665 | PA      | $14347.49     | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46361 | PA      | $42644.75     | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128M4NK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88021 | PA      | $92040.43     | 0.04%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DVA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432442 | PA      | $362485.92    | 0.16%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $557906.25    | 0.24%             | 2055-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9752 | PA      | $9708.39      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36491 | PA      | $32442.70     | 0.01%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31294MBC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $127.71       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5EY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57816 | PA      | $53259.18     | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XUVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7520 | PA      | $7125.09      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JNFE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204094 | PA      | $185323.45    | 0.08%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6668 | PA      | $6084.74      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34524 | PA      | $31499.87     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    215791 | PA      | $175804.11    | 0.08%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418E2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260643 | PA      | $269072.58    | 0.12%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212327 | PA      | $177979.53    | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41944 | PA      | $38677.25     | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                                                             | MORGAN STANLEY BAML TRUST                          | CUSIP: 61767CAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $194595.75    | 0.08%             | 2050-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FCUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18610 | PA      | $18130.14     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25762 | PA      | $23880.79     | 0.01%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179X2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    506613 | PA      | $485639.92    | 0.21%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293494 | PA      | $271087.69    | 0.12%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYTK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45218 | PA      | $40879.57     | 0.02%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5DC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84245 | PA      | $77492.87     | 0.03%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202EVP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20143 | PA      | $20765.21     | 0.01%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42104 | PA      | $40017.63     | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV5Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121952 | PA      | $102225.75    | 0.04%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70712 | PA      | $61898.27     | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179YHR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    182936 | PA      | $180186.27    | 0.08%             | 2053-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4XP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3136 | PA      | $2752.73      | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KRM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200466 | PA      | $180510.69    | 0.08%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415524 | PA      | $408879.43    | 0.17%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344181 | PA      | $337758.42    | 0.14%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5AX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    401874 | PA      | $365928.17    | 0.16%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UQ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2940 | PA      | $2877.39      | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307EMG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6221 | PA      | $6038.97      | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                                                            | CITIGROUP COMMERCIAL MORTGAGE                      | CUSIP: 17328RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $88926.73     | 0.04%             | 2053-02-15      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13727 | PA      | $13092.29     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36180DVH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11220 | PA      | $10330.99     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DPQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21494 | PA      | $19374.80     | 0.01%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JM5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73486 | PA      | $67926.34     | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XAJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331558 | PA      | $251074.37    | 0.11%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46113 | PA      | $40321.55     | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                                                          | BANK5 2024 5YR8                                    | CUSIP: 065923BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $157469.14    | 0.07%             | 2057-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7HL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7486 | PA      | $6869.30      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102583 | PA      | $90962.97     | 0.04%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15860 | PA      | $14500.73     | 0.01%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12742 | PA      | $12046.96     | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9828 | PA      | $9545.78      | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382042 | PA      | $304068.80    | 0.13%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W5HC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10782 | PA      | $9817.49      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12157 | PA      | $11522.99     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TE27<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46791 | PA      | $44472.00     | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343660 | PA      | $309730.94    | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65387 | PA      | $59944.88     | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F1E99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23974 | PA      | $22722.89     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KHW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123557 | PA      | $113389.49    | 0.05%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    378874 | PA      | $347234.00    | 0.15%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323734 | PA      | $329134.00    | 0.14%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4EA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36062 | PA      | $32995.42     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D5F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75235 | PA      | $61792.79     | 0.03%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48485 | PA      | $43227.82     | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EJ7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1193 | PA      | $1185.95      | 0.00%             | 2027-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114725 | PA      | $94215.25     | 0.04%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S2R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32610 | PA      | $32004.69     | 0.01%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5JC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21397 | PA      | $19580.06     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RQ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     85582 | PA      | $80073.04     | 0.03%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26597 | PA      | $26033.84     | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140M2TH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367571 | PA      | $306903.91    | 0.13%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WMXL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106879 | PA      | $97317.03     | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30698 | PA      | $28238.14     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CNS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3664 | PA      | $3463.91      | 0.00%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50525 | PA      | $46335.82     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375880 | PA      | $299140.00    | 0.13%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313526 | PA      | $249542.20    | 0.11%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XG6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12929 | PA      | $12659.43     | 0.01%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188893 | PA      | $183051.90    | 0.08%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS MORTGAGE TRUST 2024 C28                      | CUSIP: 07336WBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $154298.05    | 0.07%             | 2057-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18612 | PA      | $16694.26     | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XX68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    145344 | PA      | $146113.16    | 0.06%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6A59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443766 | PA      | $406688.92    | 0.17%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292SB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5579 | PA      | $5511.97      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128PS6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       647 | PA      | $644.55       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                                                                  | UBS COMMERCIAL MORTGAGE TRUST 2018 C9              | CUSIP: 90291JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98431.73     | 0.04%             | 2051-03-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132DV3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47261 | PA      | $43121.06     | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9A26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50162 | PA      | $46369.41     | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QBE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27712 | PA      | $26469.51     | 0.01%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32603 | PA      | $30304.71     | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397321 | PA      | $300725.45    | 0.13%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31346Y2X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137151 | PA      | $115078.91    | 0.05%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AER55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409020 | PA      | $325537.08    | 0.14%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9802 | PA      | $9117.17      | 0.00%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FNLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39963 | PA      | $38615.77     | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X63C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230356 | PA      | $198006.98    | 0.08%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8A35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6522 | PA      | $6244.31      | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KJ4M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216685 | PA      | $180013.00    | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H042679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    450000 | PA      | $430664.06    | 0.18%             | 2055-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95487 | PA      | $80224.64     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132XXRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8670 | PA      | $8008.83      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365444 | PA      | $359255.55    | 0.15%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EQEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27968 | PA      | $26624.70     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST                                                             | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST | CUSIP: 36268GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $301446.25    | 0.13%             | 2028-12-18      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179W5B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    254100 | PA      | $215856.88    | 0.09%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204544 | PA      | $200885.56    | 0.09%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17751 | PA      | $17290.65     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8668 | PA      | $8605.34      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179ME48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16751 | PA      | $16010.58     | 0.01%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     81169 | PA      | $72839.66     | 0.03%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18332 | PA      | $16033.35     | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140MAVR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318870 | PA      | $287856.60    | 0.12%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26429 | PA      | $25018.98     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    124087 | PA      | $111379.07    | 0.05%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11391 | PA      | $10841.50     | 0.00%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A46Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235495 | PA      | $221099.56    | 0.09%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5709 | PA      | $5089.72      | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5542 | PA      | $5444.48      | 0.00%             | 2030-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29510 | PA      | $27004.44     | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49905 | PA      | $44646.89     | 0.02%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34949 | PA      | $33777.02     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57842 | PA      | $52122.90     | 0.02%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43740 | PA      | $40946.86     | 0.02%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36156 | PA      | $29696.24     | 0.01%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23940 | PA      | $22832.90     | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XJWW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307746 | PA      | $310067.54    | 0.13%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353175 | PA      | $364626.98    | 0.16%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5976 | PA      | $5748.82      | 0.00%             | 2039-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295783 | PA      | $311107.47    | 0.13%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350271 | PA      | $343690.81    | 0.15%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MFTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108329 | PA      | $101708.92    | 0.04%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SZU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3592 | PA      | $3435.73      | 0.00%             | 2032-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15950 | PA      | $15669.80     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST              | CUSIP: 95002BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122000 | PA      | $114503.99    | 0.05%             | 2052-10-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43402 | PA      | $43091.35     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M8C44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       915 | PA      | $937.47       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M7VA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10809 | PA      | $11305.94     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12112 | PA      | $12121.37     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179M5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     90238 | PA      | $83274.23     | 0.04%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179R7H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46531 | PA      | $41759.74     | 0.02%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289547 | PA      | $218087.73    | 0.09%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73191 | PA      | $62083.25     | 0.03%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EHGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160796 | PA      | $159643.70    | 0.07%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QMYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397224 | PA      | $332498.48    | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424324 | PA      | $338734.61    | 0.14%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427MG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409809 | PA      | $426033.85    | 0.18%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H030674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $265171.88    | 0.11%             | 2055-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16136 | PA      | $15600.84     | 0.01%             | 2034-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EH4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25882 | PA      | $25689.03     | 0.01%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025 C64     | CUSIP: 95004BAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $208195.84    | 0.09%             | 2058-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KEFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114028 | PA      | $99860.47     | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48662 | PA      | $44615.58     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35488 | PA      | $34221.82     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7YP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27898 | PA      | $24395.41     | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UEB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7414 | PA      | $7433.26      | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7716 | PA      | $6612.20      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133WJDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104382 | PA      | $95400.97     | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12521 | PA      | $12098.96     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1620 | PA      | $1608.38      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373948 | PA      | $380771.39    | 0.16%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369324 | PA      | $375610.11    | 0.16%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93010 | PA      | $87829.90     | 0.04%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411293 | PA      | $311308.84    | 0.13%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15838 | PA      | $14973.61     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6AQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277616 | PA      | $254423.49    | 0.11%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J7LC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99934 | PA      | $90749.28     | 0.04%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P76A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19507 | PA      | $18841.22     | 0.01%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76771 | PA      | $65184.96     | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WPGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87001 | PA      | $79218.68     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WGL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33011 | PA      | $30409.73     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18736 | PA      | $17679.06     | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40903 | PA      | $38848.39     | 0.02%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XVR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    339158 | PA      | $326487.13    | 0.14%             | 2053-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A9LB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118415 | PA      | $116811.63    | 0.05%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51286 | PA      | $48430.32     | 0.02%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132ACYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12108 | PA      | $11079.65     | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TJW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     61181 | PA      | $54739.11     | 0.02%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145950 | PA      | $127824.56    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E12G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1275 | PA      | $1209.23      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK MORTGAGE TRUST                           | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $81934.57     | 0.04%             | 2043-09-15      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F052474<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $127265.63    | 0.05%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31416WT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9229 | PA      | $9215.50      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36296LSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37514 | PA      | $38283.77     | 0.02%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282172 | PA      | $259458.56    | 0.11%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H062677<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    550000 | PA      | $564437.50    | 0.24%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WAE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44473 | PA      | $43031.56     | 0.02%             | 2028-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24125 | PA      | $23117.69     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5A33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    539636 | PA      | $530152.00    | 0.23%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68742 | PA      | $56461.40     | 0.02%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JGUU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26098 | PA      | $24575.96     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65584 | PA      | $58192.43     | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36177Y5P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34026 | PA      | $31124.81     | 0.01%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6718 | PA      | $6603.92      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57936 | PA      | $54639.95     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417A6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11554 | PA      | $11425.24     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8DJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9942 | PA      | $9529.21      | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186462 | PA      | $149995.25    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133A26A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58694 | PA      | $51323.42     | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LTK98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20504 | PA      | $20179.94     | 0.01%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319329 | PA      | $324754.48    | 0.14%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7995 | PA      | $7872.66      | 0.00%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HMN26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39411 | PA      | $37178.80     | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 065403BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97194.48     | 0.04%             | 2052-04-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    125630 | PA      | $112394.24    | 0.05%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16988 | PA      | $15852.25     | 0.01%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33794 | PA      | $31858.22     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TQN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62194 | PA      | $55811.60     | 0.02%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179R7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38450 | PA      | $36874.59     | 0.02%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22742 | PA      | $21433.93     | 0.01%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56655 | PA      | $50255.42     | 0.02%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44375 | PA      | $43445.89     | 0.02%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49693 | PA      | $45452.72     | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48071 | PA      | $42652.26     | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TUB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35192 | PA      | $33072.26     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3048 | PA      | $3037.79      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418618 | PA      | $377931.17    | 0.16%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369115 | PA      | $294919.75    | 0.13%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ETXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3235 | PA      | $2979.79      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90578 | PA      | $83663.04     | 0.04%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JMCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40369 | PA      | $36659.24     | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                                   | GS MORTGAGE SECURITIES TRUST                       | CUSIP: 36252HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $240944.57    | 0.10%             | 2050-03-10      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YPH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    302922 | PA      | $307634.97    | 0.13%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182268 | PA      | $152780.92    | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7471 | PA      | $7366.06      | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    322524 | PA      | $274186.93    | 0.12%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28797 | PA      | $27997.09     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340657 | PA      | $284788.40    | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJY79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27631 | PA      | $25437.29     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264141 | PA      | $242074.42    | 0.10%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XBGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411519 | PA      | $325779.36    | 0.14%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    347423 | PA      | $295246.11    | 0.13%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QUZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396242 | PA      | $405156.17    | 0.17%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132ADPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43103 | PA      | $38196.25     | 0.02%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337854 | PA      | $304221.39    | 0.13%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133A4EP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202184 | PA      | $169654.05    | 0.07%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347504 | PA      | $324348.04    | 0.14%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LSZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180946 | PA      | $169885.08    | 0.07%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YRS41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22378 | PA      | $21854.74     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179Q6P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55607 | PA      | $52055.61     | 0.02%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** HC Capital Trust

**Signature:** Colette Bergman

**Name of Signer:** Colette Bergman

**Title:** Treasurer