# EDGAR Filing Document

**Accession Number:** 0001034106
**File Stem:** 0001145549-23-008212
**Filing Date:** 2023-2
**Character Count:** 177584
**Document Hash:** 1ea9cdd2cd0bb4d0d139999420ce2596
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-008212.hdr.sgml**: 20230222

**ACCESSION NUMBER**: 0001145549-23-008212

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230222

**DATE AS OF CHANGE**: 20230222

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FEDERATED HERMES CORE TRUST
- **CENTRAL INDEX KEY:** 0001034106
- **IRS NUMBER:** 232934777
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1212

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08519
- **FILM NUMBER:** 23652801

**BUSINESS ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561
- **BUSINESS PHONE:** 8003417400

**MAIL ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED CORE TRUST
- **DATE OF NAME CHANGE:** 20180601

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERATED CORE TRUST/PA
- **DATE OF NAME CHANGE:** 19971126

## Series and Classes Contracts Data

### Mortgage Core Fund (Series ID: S000009127)

| Class ID   | Class Name         | Ticker Symbol   |
|:---|:---|:---|
| C000024828 | Mortgage Core Fund |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Federated Hermes Core Trust

- **b. Investment Company Act file number:** 811-08519

- **c. CIK number of Registrant:** 0001034106

- **d. LEI of Registrant:** 254900HYFNGKM5PJOV84

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

  - **Street Address 1:** Federated Hermes Funds

  - **City:** Warrendale

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 15086-7561

  - **Telephone number:** 8003417400

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

- **a. Name of Series:** Mortgage Core Fund

- **b. EDGAR series identifier (if any):** S000009127

- **c. LEI of Series:** 254900WC9GWJKY8X3D48

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3225056834.00

**Total Liabilities:** $42588469.25

**Net Assets:** $3182468364.75

**Delayed Delivery Securities:** $29773895.37

**Cash Not Reported:** $2164853.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -349.323717000000 | **1-Year:** -6382.319817000000 | **5-Year:** -16884.943893000000 | **10-Year:** -32312.072293000000 | **30-Year:** -20432.767090000000

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

- **3-Month:** -16.593803000000 | **1-Year:** -291.080405000000 | **5-Year:** -5367.525106000000 | **10-Year:** -1456.906890000000 | **30-Year:** -0.488498000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000024828 | -1.63%               | 4.00%                | -0.50%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-11006564.92            | $-52730705.40                              |
| Month 2  | $-110547901.89           | $238877719.59                              |
| Month 3  | $-39788107.65            | $24146241.26                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US MBS index

- **Index Identifier:** LEHMMBS

### Schedule of Portfolio Investments

| Name                                     | Title                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X5WY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349313 | PA      | $344474.69    | 0.01%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31388LYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5007 | PA      | $5313.89      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4406276 | PA      | $3962289.74   | 0.12%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140J8B51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8739692 | PA      | $7867254.38   | 0.25%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust             | CSMC Mortgage-Backed Trust 2007-4                | CUSIP: 126379BQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221662 | PA      | $23072.24     | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                   | CHL Mortgage Pass-Through Trust 2005-21          | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460152 | PA      | $288713.10    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36296XJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320776 | PA      | $321506.22    | 0.01%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WG2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       377 | PA      | $379.78       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21822 | PA      | $22529.70     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGZ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5404 | PA      | $5432.69      | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       944 | PA      | $950.42       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHNZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165429 | PA      | $170774.30    | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82346 | PA      | $85023.72     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WKFU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194765 | PA      | $203127.60    | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WKGF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78584 | PA      | $81176.76     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WKYX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93182 | PA      | $96236.88     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WLQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27506 | PA      | $27747.47     | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WM2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48245 | PA      | $48724.19     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WNX58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127787 | PA      | $129192.09    | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WQ2E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690332 | PA      | $668292.43    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WQE86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186421 | PA      | $184712.20    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WUGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1488 | PA      | $1536.77      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25953 | PA      | $27766.65     | 0.00%             | 2031-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVQ74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7352 | PA      | $7484.21      | 0.00%             | 2031-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10611 | PA      | $11312.23     | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WWVW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6742 | PA      | $7073.50      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WWVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106872 | PA      | $113722.27    | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X45J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29884 | PA      | $29670.29     | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X4MQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11903 | PA      | $11867.04     | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X4WH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35537 | PA      | $35216.13     | 0.00%             | 2024-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X5AK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33476 | PA      | $33236.85     | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X6R69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50742 | PA      | $49932.20     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X6TS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640187 | PA      | $629976.51    | 0.02%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X6VW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117282 | PA      | $114470.58    | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XCYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2738841 | PA      | $2604288.06   | 0.08%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XG5D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430341 | PA      | $426398.22    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XLET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13540229 | PA      | $12319749.00  | 0.39%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XUHY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1547252 | PA      | $1442558.12   | 0.05%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XULW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11802906 | PA      | $10561980.72  | 0.33%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XUSA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17467814 | PA      | $16209448.82  | 0.51%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XVHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2609136 | PA      | $2331557.07   | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XVKV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3524571 | PA      | $3169427.35   | 0.10%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XVQX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5360485 | PA      | $4832076.13   | 0.15%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XYF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3041946 | PA      | $2912686.38   | 0.09%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XYNZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5735905 | PA      | $5315525.85   | 0.17%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XYSD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2185517 | PA      | $2014415.27   | 0.06%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131Y1M80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3055028 | PA      | $2918530.24   | 0.09%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131Y3W44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1766405 | PA      | $1729562.91   | 0.05%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329H3L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17743 | PA      | $18267.66     | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329HV57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10781 | PA      | $11313.25     | 0.00%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329HV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6253 | PA      | $6574.27      | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217831 | PA      | $220385.49    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JER4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1289777 | PA      | $1277847.34   | 0.04%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329NCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4483383 | PA      | $4048440.02   | 0.13%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329NGU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1834468 | PA      | $1639303.54   | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A0FG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       129 | PA      | $132.12       | 0.00%             | 2025-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128839 | PA      | $137043.33    | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1V27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    792193 | PA      | $795335.69    | 0.02%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1WT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305748 | PA      | $307969.31    | 0.01%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2F64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133424 | PA      | $137772.95    | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2UN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53357 | PA      | $53846.62     | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2ZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302317 | PA      | $304966.16    | 0.01%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A3AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50174 | PA      | $50642.72     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A43G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1442862 | PA      | $1458007.31   | 0.05%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A45M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274269 | PA      | $271749.25    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A4WE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31917 | PA      | $32846.50     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A7CU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41400 | PA      | $41084.40     | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A9AQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1827904 | PA      | $1738102.76   | 0.05%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A9JZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28027 | PA      | $27827.44     | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132AA2E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4923578 | PA      | $4458239.12   | 0.14%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132AA4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4547714 | PA      | $4098002.44   | 0.13%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55209 | PA      | $56855.93     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGWV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11270 | PA      | $11636.93     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGYS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80880 | PA      | $83043.65     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WGZP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62012 | PA      | $62478.72     | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHMH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11212 | PA      | $11666.18     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHNM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72610 | PA      | $73266.08     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WHRF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117692 | PA      | $118279.63    | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WLKH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50886 | PA      | $51336.28     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132AC2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3624293 | PA      | $3389428.20   | 0.11%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132ACJL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11006875 | PA      | $10220828.56  | 0.32%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WUD96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4073 | PA      | $4205.85      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WUFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7550 | PA      | $7680.48      | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132ACSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4471076 | PA      | $4034532.33   | 0.13%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132ADTK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11269586 | PA      | $10507039.59  | 0.33%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23837 | PA      | $25172.87     | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131WVNH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13338 | PA      | $14228.64     | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132ADTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3991951 | PA      | $3736584.93   | 0.12%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132CWS21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35877327 | PA      | $32136140.15  | 1.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X47B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59134 | PA      | $58711.95     | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131X4K95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3982 | PA      | $3969.97      | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132CWYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15779375 | PA      | $14099428.17  | 0.44%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132D6C40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37782312 | PA      | $37554533.38  | 1.18%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DM6S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25964968 | PA      | $22068787.11  | 0.69%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DNMP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38615739 | PA      | $33955429.61  | 1.07%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XB4F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1484970 | PA      | $1415265.44   | 0.04%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XCYF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2310828 | PA      | $2197302.49   | 0.07%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31357332 | PA      | $29495731.62  | 0.93%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPFC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  95658416 | PA      | $78602549.12  | 2.47%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XGXE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386687 | PA      | $383134.63    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3131XHZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526632 | PA      | $509295.68    | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DPFD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  72908933 | PA      | $62036913.31  | 1.95%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29832189 | PA      | $25607419.81  | 0.80%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329HWV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1432 | PA      | $1515.56      | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JDT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342487 | PA      | $365818.99    | 0.01%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JE45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705892 | PA      | $699334.39    | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JEV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126896 | PA      | $125728.98    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JFE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2191274 | PA      | $2171187.68   | 0.07%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329JWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       512 | PA      | $527.37       | 0.00%             | 2025-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29593363 | PA      | $24344618.70  | 0.76%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWD83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9712710 | PA      | $9120916.43   | 0.29%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31329K4X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163951 | PA      | $159875.12    | 0.01%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1GB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52732 | PA      | $53107.74     | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16882873 | PA      | $15854203.16  | 0.50%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133B2LZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2807128 | PA      | $2409150.25   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133B5PM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13168505 | PA      | $11219250.08  | 0.35%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BFF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7949834 | PA      | $7232423.04   | 0.23%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BKRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5038742 | PA      | $5070068.07   | 0.16%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133GAVR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18088964 | PA      | $16163127.92  | 0.51%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KHCV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13295456 | PA      | $12140620.24  | 0.38%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KHZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6690140 | PA      | $5775103.05   | 0.18%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KJ6L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10921265 | PA      | $8984245.68   | 0.28%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KL3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8359202 | PA      | $7639461.36   | 0.24%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KLUX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7074589 | PA      | $5802138.02   | 0.18%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 313615MN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40 | PA      | $40.38        | 0.00%             | 2023-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371EXL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       781 | PA      | $786.56       | 0.00%             | 2024-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371G6Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12823 | PA      | $13045.89     | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371J5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2318 | PA      | $2464.58      | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21795 | PA      | $23239.68     | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371LR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394791 | PA      | $409705.67    | 0.01%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371NFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152494 | PA      | $166098.29    | 0.01%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1HV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    674562 | PA      | $690253.08    | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A1WV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31740 | PA      | $33179.96     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31372BR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       454 | PA      | $454.49       | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31373UBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       141 | PA      | $144.11       | 0.00%             | 2025-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2HA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11710 | PA      | $12107.73     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2HQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1426 | PA      | $1523.44      | 0.00%             | 2038-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2JX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1173 | PA      | $1253.52      | 0.00%             | 2038-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A2PC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273753 | PA      | $274840.86    | 0.01%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31374JJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       577 | PA      | $584.14       | 0.00%             | 2025-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31374TRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4567 | PA      | $4648.98      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A43J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431103 | PA      | $426961.66    | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A44F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388185 | PA      | $384541.72    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A4YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23282 | PA      | $25379.63     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A5DW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472872 | PA      | $426849.51    | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31376QEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       528 | PA      | $529.69       | 0.00%             | 2026-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31383B3T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9076 | PA      | $9270.66      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A6Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3574 | PA      | $3560.65      | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A84T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25422609 | PA      | $24141874.17  | 0.76%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A9HJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3786 | PA      | $3774.99      | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132A9LS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58036 | PA      | $56496.01     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132AAYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641778 | PA      | $579116.80    | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132AC2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6010085 | PA      | $5590270.52   | 0.18%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132ACFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5542339 | PA      | $5037571.71   | 0.16%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132ACGV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7628467 | PA      | $6874108.78   | 0.22%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132ADTJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8840792 | PA      | $8253638.95   | 0.26%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132CWLK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5830291 | PA      | $5224146.72   | 0.16%             | 2035-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DN2Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37024669 | PA      | $36594027.96  | 1.15%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35176482 | PA      | $29003459.77  | 0.91%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  38767645 | PA      | $37404815.15  | 1.18%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30000892 | PA      | $30095529.53  | 0.95%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 31339S3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1606498 | PA      | $1379742.21   | 0.04%             | 2049-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133AAE57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8124960 | PA      | $6952739.44   | 0.22%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133AARF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17494462 | PA      | $14490011.96  | 0.46%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133APCL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14727969 | PA      | $13469072.26  | 0.42%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133B44K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11958302 | PA      | $10188186.31  | 0.32%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133B7SA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9148704 | PA      | $7768745.39   | 0.24%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BAFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9686121 | PA      | $8574670.31   | 0.27%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133BGCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9284035 | PA      | $8993931.79   | 0.28%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133G9BB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3067968 | PA      | $2740378.78   | 0.09%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KJWS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8815172 | PA      | $7265467.40   | 0.23%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KKYV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25436305 | PA      | $20869224.36  | 0.66%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3284258 | PA      | $2698675.70   | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KLS57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44736222 | PA      | $36759767.45  | 1.16%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KLZW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16218448 | PA      | $13301362.53  | 0.42%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KMMQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  74164598 | PA      | $63012630.20  | 1.98%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                              | Freddie Mac Pool                                 | CUSIP: 3133KN7C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64770456 | PA      | $58925427.70  | 1.85%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31384NND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       735 | PA      | $773.83       | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13915 | PA      | $14675.48     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5755 | PA      | $6077.80      | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371EVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171 | PA      | $171.98       | 0.00%             | 2024-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387FEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5637 | PA      | $5985.37      | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387H6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4232 | PA      | $4412.14      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371H2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1333 | PA      | $1411.18      | 0.00%             | 2029-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5799 | PA      | $5898.96      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371HE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7546 | PA      | $7675.89      | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31371NWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510714 | PA      | $534479.31    | 0.02%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387H6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11550 | PA      | $12002.00     | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387NSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1879 | PA      | $1911.94      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2196 | PA      | $2262.30      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31382DU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3538 | PA      | $3613.54      | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387WGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76816 | PA      | $81622.47     | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31388UL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21382 | PA      | $21593.80     | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31382F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2513 | PA      | $2547.93      | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31385HUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7725 | PA      | $8134.75      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389AMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5405 | PA      | $5739.18      | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389AXM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2380 | PA      | $2478.32      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31386PZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25164 | PA      | $25679.11     | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31387NSV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1726 | PA      | $1794.22      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389E6Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32483 | PA      | $33979.98     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389K5Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24438 | PA      | $25967.75     | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389XCN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101615 | PA      | $108217.60    | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A4Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130996 | PA      | $127857.05    | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600742 | PA      | $1586057.30   | 0.05%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138ER6R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4620221 | PA      | $4280165.43   | 0.13%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389FHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16471 | PA      | $16816.82     | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389K3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35242 | PA      | $36811.14     | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138ERRE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3459043 | PA      | $3111582.79   | 0.10%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138WKNT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1104707 | PA      | $986489.74    | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138X3L75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2421181 | PA      | $2196132.98   | 0.07%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138X67H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1676812 | PA      | $1520952.58   | 0.05%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389PR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23595 | PA      | $25026.72     | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389XNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112949 | PA      | $118164.02    | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138YR3W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11043393 | PA      | $10282347.62  | 0.32%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31390CF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4741 | PA      | $5043.77      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31389XQ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14558 | PA      | $15270.45     | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A1V57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34939 | PA      | $34101.95     | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31390MUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45741 | PA      | $47592.15     | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31402QSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681554 | PA      | $699119.82    | 0.02%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A2CK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90001 | PA      | $88713.72     | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A3J24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116841 | PA      | $113988.24    | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1031129 | PA      | $1038327.48   | 0.03%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351840 | PA      | $362258.29    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138A5GV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072556 | PA      | $1037887.07   | 0.03%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138AAL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349531 | PA      | $361523.37    | 0.01%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212757 | PA      | $220560.16    | 0.01%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140914 | PA      | $149732.86    | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794050 | PA      | $786761.78    | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138ERX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794833 | PA      | $766522.90    | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73637 | PA      | $75834.38     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31406TC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22083 | PA      | $22636.87     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138ESA65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761348 | PA      | $686298.14    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138ET5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4445556 | PA      | $4109186.59   | 0.13%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31407X7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292088 | PA      | $300514.60    | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140FDF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2863330 | PA      | $2574814.10   | 0.08%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138WHST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6476044 | PA      | $5835645.76   | 0.18%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3138WHU34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4190591 | PA      | $3901800.03   | 0.12%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140FHWA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2657498 | PA      | $2374773.89   | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140FNJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1137581 | PA      | $1079703.29   | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31401HUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2663 | PA      | $2777.24      | 0.00%             | 2033-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50734 | PA      | $52235.20     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140FPYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876457 | PA      | $787595.38    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140GYMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3287732 | PA      | $3147412.14   | 0.10%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140H23D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7328824 | PA      | $6819184.36   | 0.21%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | FNMA POOL BJ1649 FN 11/47 FIXED 4                | CUSIP: 3140H2ZP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2734990 | PA      | $2614500.94   | 0.08%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140H7KE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1199640 | PA      | $1142666.61   | 0.04%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140H7NY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677854 | PA      | $646932.04    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DP37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247244 | PA      | $253613.01    | 0.01%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31403DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230897 | PA      | $237577.17    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140HJMV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2878166 | PA      | $2746871.70   | 0.09%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140J7YG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5799604 | PA      | $5226096.46   | 0.16%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31408F6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135926 | PA      | $139898.36    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31409JYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98917 | PA      | $103344.80    | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140J8CZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8995879 | PA      | $8109112.03   | 0.25%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140J8H97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1205476 | PA      | $1154064.43   | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140F7R68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035134 | PA      | $997683.12    | 0.03%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140FAVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1441572 | PA      | $1288207.32   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140J8NF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7305598 | PA      | $6995166.82   | 0.22%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140J8Y64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7258066 | PA      | $6780563.97   | 0.21%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140FFE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3074461 | PA      | $2771396.69   | 0.09%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140FHAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2291230 | PA      | $2203965.65   | 0.07%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140K4EK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1227993 | PA      | $1093128.99   | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140KNGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15941967 | PA      | $13641955.28  | 0.43%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140GYH85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3348286 | PA      | $3201824.65   | 0.10%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140H1K25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5108417 | PA      | $4891348.67   | 0.15%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140L4F61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12726948 | PA      | $10485577.37  | 0.33%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140LP3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15918494 | PA      | $13604457.62  | 0.43%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140H6CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2937864 | PA      | $2821519.30   | 0.09%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140H6DJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3174312 | PA      | $3032980.68   | 0.10%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140LUFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17362971 | PA      | $14272584.24  | 0.45%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MX2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8163091 | PA      | $7878678.67   | 0.25%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140HBDG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1982294 | PA      | $1888150.17   | 0.06%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140HDFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3748467 | PA      | $3584500.31   | 0.11%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140Q72C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7074931 | PA      | $6556415.63   | 0.21%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140Q8JU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3567120 | PA      | $3173132.43   | 0.10%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140HDNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2237583 | PA      | $1921050.82   | 0.06%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140HJ4N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392087 | PA      | $1323255.05   | 0.04%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QERV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8254174 | PA      | $6790195.83   | 0.21%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QFFF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36772583 | PA      | $31375323.64  | 0.99%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140HLTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2519405 | PA      | $2404476.99   | 0.08%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140J9CV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6834464 | PA      | $6391801.18   | 0.20%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140M9MK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24917585 | PA      | $21244758.00  | 0.67%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MAT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13000336 | PA      | $12547387.79  | 0.39%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QHKC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17642906 | PA      | $15034088.47  | 0.47%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140X7UJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3361383 | PA      | $2879573.76   | 0.09%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MFR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7132438 | PA      | $6076666.09   | 0.19%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MN3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35273888 | PA      | $33135680.15  | 1.04%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XBGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15748249 | PA      | $13407287.34  | 0.42%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XBQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18949490 | PA      | $15641862.54  | 0.49%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MNSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12738534 | PA      | $11970339.72  | 0.38%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140MTPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6928268 | PA      | $6684713.18   | 0.21%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XCPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14767875 | PA      | $13533257.20  | 0.43%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XFA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17689085 | PA      | $15059619.94  | 0.47%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XFA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17487460 | PA      | $14852444.47  | 0.47%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XFGX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44922885 | PA      | $39561068.94  | 1.24%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140Q97G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1068955 | PA      | $951891.07    | 0.03%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QEVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7003292 | PA      | $5995087.49   | 0.19%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XG6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2651108 | PA      | $2443706.45   | 0.08%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XGP45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20191062 | PA      | $17867894.13  | 0.56%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QHC45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21754650 | PA      | $18537838.05  | 0.58%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QKNX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31615733 | PA      | $28220133.54  | 0.89%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XGUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14452674 | PA      | $13617239.81  | 0.43%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHDN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12830587 | PA      | $11906283.41  | 0.37%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QKQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8745286 | PA      | $7177805.58   | 0.23%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8317669 | PA      | $7069558.73   | 0.22%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9175016 | PA      | $8434298.98   | 0.27%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38298503 | PA      | $33847029.52  | 1.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XBLK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2522791 | PA      | $2244543.22   | 0.07%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XCAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6178413 | PA      | $5526422.73   | 0.17%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJGS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9818082 | PA      | $9885870.93   | 0.31%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJRA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  76035957 | PA      | $62407485.08  | 1.96%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XCQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44709800 | PA      | $38084688.42  | 1.20%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XDG42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15649186 | PA      | $12819818.01  | 0.40%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJS20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48150502 | PA      | $43820342.05  | 1.38%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 126210049 | PA      | $111165836.81 | 3.49%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XFRA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13884286 | PA      | $11850772.95  | 0.37%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XH7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42572829 | PA      | $42037079.26  | 1.32%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 126767793 | PA      | $103610524.70 | 3.26%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 331975753 | PA      | $272784575.98 | 8.57%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10384073 | PA      | $9304495.67   | 0.29%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHXF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33087303 | PA      | $28184416.79  | 0.89%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJUE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  82391309 | PA      | $70182539.84  | 2.21%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410CHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191599 | PA      | $197863.68    | 0.01%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XHXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28681841 | PA      | $26952188.06  | 0.85%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJBM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23460838 | PA      | $21640112.28  | 0.68%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410K4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31289 | PA      | $33452.86     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410SQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26051 | PA      | $27153.19     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 3140XJWG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  67158053 | PA      | $57080630.86  | 1.79%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410EDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3095 | PA      | $3266.98      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31411FRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23422 | PA      | $24897.84     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31412MRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17363 | PA      | $17310.43     | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410GF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244748 | PA      | $252160.79    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31410UYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12850 | PA      | $13723.52     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31413EY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94847 | PA      | $99224.06     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31413QTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58267 | PA      | $62358.74     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31415RGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124337 | PA      | $128419.15    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31415WZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30584 | PA      | $32082.04     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31413UUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       193 | PA      | $205.78       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31415SMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4703 | PA      | $4687.79      | 0.00%             | 2023-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416AJP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39527 | PA      | $41407.76     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416HAC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45812 | PA      | $45617.27     | 0.00%             | 2023-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2663537 | PA      | $2395152.54   | 0.08%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14418928 | PA      | $12966044.04  | 0.41%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39770302 | PA      | $32716554.06  | 1.03%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418DSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5639563 | PA      | $5187794.53   | 0.16%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31415VKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46113 | PA      | $48275.66     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416BXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91895 | PA      | $90954.57     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11205848 | PA      | $9218354.44   | 0.29%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27099546 | PA      | $22293110.82  | 0.70%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416L5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289552 | PA      | $303857.57    | 0.01%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416WFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486186 | PA      | $481706.30    | 0.02%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29917218 | PA      | $29193320.37  | 0.92%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31419JTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110331 | PA      | $107788.69    | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31416WWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1215687 | PA      | $1204541.23   | 0.04%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31417Y3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117455 | PA      | $115515.15    | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6101695 | PA      | $5525162.57   | 0.17%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 3617BRAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10488328 | PA      | $9724063.75   | 0.31%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31417Y6Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570834 | PA      | $577843.44    | 0.02%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31417YT72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73562 | PA      | $71866.75     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3617GSY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2991085 | PA      | $2849002.32   | 0.09%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36181BRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702235 | PA      | $657663.13    | 0.02%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36181LUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455129 | PA      | $426241.47    | 0.01%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36200XHQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9485 | PA      | $9950.72      | 0.00%             | 2031-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3601031 | PA      | $3332613.14   | 0.10%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418DJH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7147266 | PA      | $6419837.28   | 0.20%             | 2034-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36201CNF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49385 | PA      | $51337.00     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36201XQG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93274 | PA      | $97208.85     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1819376 | PA      | $1800787.78   | 0.06%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36207TRK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2080 | PA      | $2194.08      | 0.00%             | 2029-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36207TSJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7469 | PA      | $7883.30      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36208E4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7778 | PA      | $7962.43      | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16858380 | PA      | $15831202.74  | 0.50%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8862705 | PA      | $8890662.49   | 0.28%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209DR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21330 | PA      | $22118.48     | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209JLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3068 | PA      | $3251.82      | 0.00%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567414 | PA      | $573922.57    | 0.02%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                               | Fannie Mae Pool                                  | CUSIP: 31419ATE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147816 | PA      | $146460.27    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209MTA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4967 | PA      | $5113.86      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209VKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3570 | PA      | $3603.02      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36176M4Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348826 | PA      | $344122.71    | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36182AJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359386 | PA      | $354090.55    | 0.01%             | 2043-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620A94G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186219 | PA      | $183256.03    | 0.01%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620AR3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97540 | PA      | $96017.55     | 0.00%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620AS3K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1095551 | PA      | $1051248.52   | 0.03%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620C3BR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    647404 | PA      | $621404.38    | 0.02%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36197FN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8402468 | PA      | $7795448.02   | 0.24%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36202EYL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82595 | PA      | $84978.58     | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210A5T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2213 | PA      | $2273.99      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210AXX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4206 | PA      | $4303.39      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 36202FAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    339606 | PA      | $342812.39    | 0.01%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36208QTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6137 | PA      | $6324.56      | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210FFY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9088 | PA      | $9347.79      | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210KJL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9008 | PA      | $9216.72      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211L6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       677 | PA      | $713.89       | 0.00%             | 2029-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211NGL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7993 | PA      | $8335.58      | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209EVF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9168 | PA      | $9415.95      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209PNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5558 | PA      | $5652.56      | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211PA86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33639 | PA      | $35156.24     | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36225A7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4034 | PA      | $4132.46      | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241K5Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244757 | PA      | $245431.44    | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241KXB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114866 | PA      | $117778.40    | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209R5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62986 | PA      | $66820.66     | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36209RZK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2734 | PA      | $2880.70      | 0.00%             | 2030-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620A1ZV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110554 | PA      | $108785.22    | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488800 | PA      | $481051.67    | 0.02%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241KY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174455 | PA      | $171535.25    | 0.01%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241LPY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1749590 | PA      | $1681147.02   | 0.05%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620AM4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48490 | PA      | $47723.41     | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 3620C2GA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66063 | PA      | $65019.29     | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36290TNT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53975 | PA      | $56144.47     | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust      | GS Mortgage-Backed Securities Trust 2022-PJ3     | CUSIP: 362924AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35944375 | PA      | $28763925.21  | 0.90%             | 2052-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36295FJM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77758 | PA      | $81018.22     | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36296JDL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161648 | PA      | $166138.46    | 0.01%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210JJ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9135 | PA      | $9510.69      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210JUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6066 | PA      | $6282.01      | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210MTM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4326 | PA      | $4416.53      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36210U5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17597 | PA      | $18225.09     | 0.00%             | 2030-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2022-3                  | CUSIP: 46654UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42621064 | PA      | $34080203.68  | 1.07%             | 2052-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | J.P. Morgan Mortgage Trust 2022-1                | CUSIP: 46654WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37409743 | PA      | $31289740.58  | 0.98%             | 2052-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federated Government Obligations Fund    | Federated Hermes Government Obligations Fund     | CUSIP: 608919718<br>LEI: 254900VAJ9169N7JRF45 | Long             | STIV             | RF                | US        | 117293489 | NS      | $117293489.28 | 3.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Navient Student Loan Trust               | Navient Private Education Refi Loan Trust 2020-G | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8700256 | PA      | $7499444.27   | 0.24%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211BU77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6826 | PA      | $7165.17      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211EE87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       453 | PA      | $459.22       | 0.00%             | 2029-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust               | Navient Private Education Refi Loan Trust 2020-F | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4237524 | PA      | $3874485.42   | 0.12%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2022-SFR4 Trust             | CUSIP: 74332XAC5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |  14808453 | PA      | $13310070.79  | 0.42%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36211SAT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12332 | PA      | $12833.29     | 0.00%             | 2030-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36212P5E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1556 | PA      | $1626.66      | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2022-SFR1 Trust             | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16726000 | PA      | $13082010.08  | 0.41%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I            | RFMSI Series 2005-SA3 Trust                      | CUSIP: 76111XWD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138138 | PA      | $122416.76    | 0.00%             | 2035-08-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5948 | PA      | $6286.25      | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36213UR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34883 | PA      | $36480.48     | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36225BLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7565 | PA      | $7816.94      | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae II Pool                               | CUSIP: 3622ABRS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44688912 | PA      | $39851905.14  | 1.25%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241LS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    827897 | PA      | $794766.23    | 0.02%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    557491 | PA      | $548754.11    | 0.02%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust         | SMB Private Education Loan Trust 2018-A          | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   8998589 | PA      | $8755088.33   | 0.28%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                   | Sequoia Mortgage Trust 2021-3                    | CUSIP: 81748VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14827124 | PA      | $11930043.59  | 0.37%             | 2051-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36295QHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108644 | PA      | $106944.34    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association | Ginnie Mae I Pool                                | CUSIP: 36296QH85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162788 | PA      | $167267.89    | 0.01%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US 10YR ULTRA FUT MAR23                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       300 | NC      | $-764767.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Home Partners of America Trust           | Home Partners of America 2022-1 Trust            | CUSIP: 43730NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14739416 | PA      | $13509930.16  | 0.42%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                 | JP Morgan Mortgage Trust 2022-2                  | CUSIP: 46655DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37398256 | PA      | $29903996.66  | 0.94%             | 2052-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust               | Navient Private Education Refi Loan Trust 2020-H | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7136133 | PA      | $6340469.05   | 0.20%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust               | Progress Residential 2022-SFR2 Trust             | CUSIP: 74332VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $12707729.30  | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust         | SMB Private Education Loan Trust 2020-B          | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10985329 | PA      | $10752745.21  | 0.34%             | 2053-07-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                   | Sequoia Mortgage Trust 2012-6                    | CUSIP: 81744NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1784903 | PA      | $1463864.94   | 0.05%             | 2042-12-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                   | Sequoia Mortgage Trust 2013-2                    | CUSIP: 81745MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3039115 | PA      | $2477957.77   | 0.08%             | 2043-02-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                   | Tesla Auto Lease Trust 2020-A                    | CUSIP: 88167HAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522911 | PA      | $521178.55    | 0.02%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                   | US ULTRA BOND CBT MAR23                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -100 | NC      | $87942.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                   | US 10YR NOTE (CBT)MAR23                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       250 | NC      | $-466025.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Federated Hermes Core Trust

**Signature:** Stephen Van Meter

**Name of Signer:** Federated Hermes Core Trust

**Title:** Chief Compliance Officer