# EDGAR Filing Document

**Accession Number:** 0000934563
**File Stem:** 0001752724-23-041001
**Filing Date:** 2023-2
**Character Count:** 622827
**Document Hash:** 39b6c9c95243e47d7f6d3c603590d589
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-041001.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-041001

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** HC CAPITAL TRUST
- **CENTRAL INDEX KEY:** 0000934563
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08918
- **FILM NUMBER:** 23670788

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

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

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

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

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

## Series and Classes Contracts Data

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

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000091790 | HC Strategic Shares | HCASX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** West Conshohocken

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19428

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2023-06-30

- **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:** $233626750.39

**Total Liabilities:** $17755933.55

**Net Assets:** $215870816.84

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -386.82993871 | **1-Year:** -7725.90873282 | **5-Year:** -25247.03508708 | **10-Year:** -48093.30929364 | **30-Year:** -15901.76216490

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000091790 | -1.26%               | 3.60%                | -0.28%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-607779.53              | $-2581640.21                               |
| Month 2  | $-88306.39               | $7057248.44                                |
| Month 3  | $451244.22               | $-1650214.66                               |

### Schedule of Portfolio Investments

| Name                                                    | Title                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YYCV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29417 | PA      | $27461.62     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198137 | PA      | $182389.64    | 0.08%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XHLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365347 | PA      | $321683.00    | 0.15%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31371LE39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13203 | PA      | $12302.74     | 0.01%             | 2023-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    491990 | PA      | $452348.27    | 0.21%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SUT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12193 | PA      | $10581.38     | 0.00%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140K3BL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80626 | PA      | $71767.35     | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51320 | PA      | $47501.93     | 0.02%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-254765.63   | -0.12%            | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13678 | PA      | $13023.78     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VKL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    254482 | PA      | $228401.39    | 0.11%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KUHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369669 | PA      | $303076.96    | 0.14%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140M2LX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264668 | PA      | $233050.69    | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21111 | PA      | $16210.30     | 0.01%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54235 | PA      | $51418.18     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170628 | PA      | $145366.32    | 0.07%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132J4CN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29327 | PA      | $27184.52     | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $222851.56    | 0.10%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XFTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47201 | PA      | $40240.15     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E06D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92193 | PA      | $86707.40     | 0.04%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24600 | PA      | $24248.44     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132ACGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45573 | PA      | $41015.44     | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57145 | PA      | $54474.51     | 0.03%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138XXFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46727 | PA      | $44936.96     | 0.02%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135456 | PA      | $115706.70    | 0.05%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179TNQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    160904 | PA      | $146254.93    | 0.07%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E9J80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12638 | PA      | $12077.04     | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474850 | PA      | $404783.24    | 0.19%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KLZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233384 | PA      | $191275.05    | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YHK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39594 | PA      | $36966.22     | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UV90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9357 | PA      | $9007.13      | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QNB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390514 | PA      | $343562.48    | 0.16%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469495 | PA      | $384225.89    | 0.18%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YENY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76645 | PA      | $71554.01     | 0.03%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WR34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    381853 | PA      | $341637.46    | 0.16%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37233 | PA      | $35372.39     | 0.02%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13150 | PA      | $12943.98     | 0.01%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JPM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103830 | PA      | $98810.30     | 0.05%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FLYV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $93341.53     | 0.04%             | 2029-04-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12459 | PA      | $12114.56     | 0.01%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    179352 | PA      | $163313.92    | 0.08%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30315 | PA      | $27762.02     | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE TRUST 2014                   | CUSIP: 12591QAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95584.03     | 0.04%             | 2047-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132Y1W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37398 | PA      | $34400.65     | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42795 | PA      | $41525.39     | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3622A2MZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66330 | PA      | $62131.24     | 0.03%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86845 | PA      | $84335.51     | 0.04%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FE2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70022 | PA      | $67045.57     | 0.03%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AE87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13104 | PA      | $11986.92     | 0.01%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NQ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     89077 | PA      | $80726.43     | 0.04%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X8TA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249067 | PA      | $205282.50    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131500 | PA      | $115701.31    | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WCSE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48366 | PA      | $46673.06     | 0.02%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J8YC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12624 | PA      | $12548.20     | 0.01%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53014 | PA      | $50880.18     | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X5FA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47515 | PA      | $45399.05     | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34786 | PA      | $32547.34     | 0.02%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138M1EN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46129 | PA      | $43740.27     | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12424 | PA      | $11598.96     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310862 | PA      | $264051.59    | 0.12%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133AXMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423143 | PA      | $346294.54    | 0.16%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5D36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65181 | PA      | $60798.59     | 0.03%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MEAS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58982 | PA      | $56226.10     | 0.03%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28091 | PA      | $26816.11     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HJ2R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21857 | PA      | $21333.50     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3131XVRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119564 | PA      | $107299.22    | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XCWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475857 | PA      | $404856.80    | 0.19%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138MDNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22014 | PA      | $20467.47     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A5EP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75333 | PA      | $70266.33     | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W9T91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24113 | PA      | $24021.80     | 0.01%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66416 | PA      | $62009.11     | 0.03%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385384 | PA      | $344245.75    | 0.16%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291086 | PA      | $248643.48    | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KH3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253144 | PA      | $217476.53    | 0.10%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWAP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328181 | PA      | $280751.43    | 0.13%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48630 | PA      | $43713.60     | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31334XEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88213 | PA      | $78532.37     | 0.04%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FQZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33078 | PA      | $30695.56     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179SUV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    109669 | PA      | $102555.44    | 0.05%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KMVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256317 | PA      | $209303.49    | 0.10%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     94475 | PA      | $87578.00     | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KHMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342516 | PA      | $280932.27    | 0.13%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RF79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6373 | PA      | $5633.25      | 0.00%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137H4BP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $165053.46    | 0.08%             | 2031-09-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307EZH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5565 | PA      | $5522.76      | 0.00%             | 2023-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384162 | PA      | $315046.28    | 0.15%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SYT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16128 | PA      | $15564.36     | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181323 | PA      | $154035.82    | 0.07%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138LUFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114426 | PA      | $109096.20    | 0.05%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJ5G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23331 | PA      | $21622.77     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X7PZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240209 | PA      | $214148.01    | 0.10%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    356341 | PA      | $298860.91    | 0.14%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36176XJ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41869 | PA      | $38282.62     | 0.02%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85164 | PA      | $76996.30     | 0.04%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17383 | PA      | $16782.90     | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476324 | PA      | $388678.50    | 0.18%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5GL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29465 | PA      | $26445.17     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11954 | PA      | $11668.20     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307EM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39629 | PA      | $36974.52     | 0.02%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132QWSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1653 | PA      | $1481.40      | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MDE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11663 | PA      | $11447.98     | 0.01%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YN6T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38940 | PA      | $37473.04     | 0.02%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JQRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98151 | PA      | $87382.98     | 0.04%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132J4KM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7132 | PA      | $6529.11      | 0.00%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P74X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30427 | PA      | $30111.26     | 0.01%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    604085 | PA      | $507677.91    | 0.24%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28783 | PA      | $27686.79     | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32801 | PA      | $29201.19     | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88748 | PA      | $79725.01     | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447543 | PA      | $368273.91    | 0.17%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E6C75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20921 | PA      | $19241.58     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FBVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75484 | PA      | $67807.97     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307PPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14980 | PA      | $14234.53     | 0.01%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJCJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6203 | PA      | $5425.71      | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24959 | PA      | $23350.73     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    383452 | PA      | $321592.32    | 0.15%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $125664.06    | 0.06%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TB46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19540 | PA      | $18604.61     | 0.01%             | 2032-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W94X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22934 | PA      | $23002.25     | 0.01%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140H5L25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29751 | PA      | $27818.50     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18137 | PA      | $17138.76     | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36184SQY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     85769 | PA      | $77921.08     | 0.04%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WAZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25907 | PA      | $25229.02     | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133ANDA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419807 | PA      | $343636.66    | 0.16%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132GUGL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65028 | PA      | $60924.77     | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448473 | PA      | $367034.79    | 0.17%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138MACM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405336 | PA      | $363696.10    | 0.17%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WNXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16624 | PA      | $15025.98     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438833 | PA      | $359407.53    | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XFMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265791 | PA      | $217593.96    | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238176 | PA      | $194940.83    | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DB35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8838 | PA      | $8325.02      | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329266 | PA      | $270136.15    | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UXU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14940 | PA      | $14382.22     | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128KTAF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2047 | PA      | $2038.27      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3132A5GR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77466 | PA      | $74103.61     | 0.03%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MMV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61148 | PA      | $56628.91     | 0.03%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TCX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52565 | PA      | $49083.35     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307L6L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4334 | PA      | $4041.97      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120301 | PA      | $106811.40    | 0.05%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26958 | PA      | $26110.20     | 0.01%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QDJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146183 | PA      | $130995.81    | 0.06%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QHJT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490194 | PA      | $401666.16    | 0.19%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P75B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14339 | PA      | $13357.01     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WGY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6024 | PA      | $5781.90      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10367 | PA      | $9437.80      | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63013 | PA      | $58144.48     | 0.03%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138EMJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26814 | PA      | $25627.12     | 0.01%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59885 | PA      | $57342.55     | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400316 | PA      | $307341.55    | 0.14%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q7EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45506 | PA      | $43937.15     | 0.02%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417YRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20965 | PA      | $20035.17     | 0.01%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C3C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24229 | PA      | $22457.08     | 0.01%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13180 | PA      | $13014.34     | 0.01%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJUN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51318 | PA      | $49519.86     | 0.02%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XDS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23317 | PA      | $19839.88     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59718 | PA      | $59145.81     | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13772 | PA      | $12754.09     | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XATJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386899 | PA      | $320414.65    | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q8KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20015 | PA      | $18576.87     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31024 | PA      | $28243.57     | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WBQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30471 | PA      | $29454.04     | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418B5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5938 | PA      | $5584.63      | 0.00%             | 2036-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42259 | PA      | $40527.98     | 0.02%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284303 | PA      | $232685.84    | 0.11%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133AKB74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400966 | PA      | $307866.39    | 0.14%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179U4B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    366044 | PA      | $326794.55    | 0.15%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409461 | PA      | $349029.30    | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145918 | PA      | $130963.25    | 0.06%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132GDZ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68819 | PA      | $70903.65     | 0.03%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83629 | PA      | $81099.17     | 0.04%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X0Y93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100577 | PA      | $94118.20     | 0.04%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128P8D65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5684 | PA      | $5185.95      | 0.00%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8873 | PA      | $8653.27      | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QL6Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441693 | PA      | $361555.03    | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133AUE53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431114 | PA      | $367451.06    | 0.17%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394294 | PA      | $324152.62    | 0.15%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463942 | PA      | $447754.21    | 0.21%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11323 | PA      | $10515.70     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D53Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17352 | PA      | $16678.10     | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179TZ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48267 | PA      | $44998.92     | 0.02%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BA CREDIT CARD TRUST                                    | Bank of America Credit Card Trust                | CUSIP: 05522RDE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97224.52     | 0.05%             | 2027-11-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128PY5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49026 | PA      | $45520.96     | 0.02%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31329NRH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61404 | PA      | $58078.26     | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J6GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69839 | PA      | $64933.02     | 0.03%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276365 | PA      | $226644.40    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KH5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334241 | PA      | $286918.77    | 0.13%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST                     | CUSIP: 36252TAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224180 | PA      | $206486.82    | 0.10%             | 2049-05-10      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK                                             | CUSIP: 065404BB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $279088.54    | 0.13%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWCK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372742 | PA      | $328829.42    | 0.15%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225253 | PA      | $191988.83    | 0.09%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KYUK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122666 | PA      | $108322.11    | 0.05%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133A9UL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307048 | PA      | $262656.95    | 0.12%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32733 | PA      | $29498.97     | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     97628 | PA      | $88736.97     | 0.04%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31329NVV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39986 | PA      | $37039.04     | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50288 | PA      | $48914.21     | 0.02%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY                | SYNCHRONY CARD FUNDING LLC                       | CUSIP: 87166PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96287.52     | 0.04%             | 2028-04-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12190 | PA      | $11846.64     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WEJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26784 | PA      | $25004.18     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VKK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     94576 | PA      | $82674.69     | 0.04%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41411 | PA      | $40818.35     | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YHX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47988 | PA      | $44423.63     | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2275000 | PA      | $1907800.78   | 0.88%             | 2053-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36176HKG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12983 | PA      | $12349.64     | 0.01%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F032427<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $23958.01     | 0.01%             | 2037-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WBJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9370 | PA      | $9168.50      | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJVJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48003 | PA      | $46322.45     | 0.02%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35520 | PA      | $33163.71     | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X14D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62855 | PA      | $60144.78     | 0.03%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QL58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    192894 | PA      | $180994.02    | 0.08%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WY85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    432220 | PA      | $362475.84    | 0.17%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DV3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98040 | PA      | $94669.56     | 0.04%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36177Q6H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14431 | PA      | $13875.07     | 0.01%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HEDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16469 | PA      | $15541.32     | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31560 | PA      | $32734.79     | 0.02%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UUM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4188 | PA      | $4155.49      | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SSS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9585 | PA      | $9624.92      | 0.00%             | 2046-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NM88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35615 | PA      | $29500.94     | 0.01%             | 2043-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERICAL MORTGAGE TRUST              | CUSIP: 17290XAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93444.42     | 0.04%             | 2049-04-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7294 | PA      | $7117.18      | 0.00%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WRJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19168 | PA      | $18510.31     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140GYGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84321 | PA      | $78264.28     | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJVN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8135 | PA      | $7602.81      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140H5EQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21743 | PA      | $20521.98     | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST                          | HYUNDAI AUTO RECEIVABLES TRUST 2022 A            | CUSIP: 448977AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95243.61     | 0.04%             | 2026-10-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39014 | PA      | $37735.75     | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10121 | PA      | $9829.56      | 0.00%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133A3XX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81847 | PA      | $75285.99     | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WJR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    384733 | PA      | $335023.07    | 0.16%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FUZJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $210569.81    | 0.10%             | 2035-05-25      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    582991 | PA      | $506647.24    | 0.23%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44820 | PA      | $41736.52     | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25708 | PA      | $24831.05     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312031 | PA      | $265968.78    | 0.12%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KVXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387854 | PA      | $317415.99    | 0.15%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QNBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467178 | PA      | $412054.03    | 0.19%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20207 | PA      | $20209.98     | 0.01%             | 2043-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31419AG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65312 | PA      | $64033.36     | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MMV42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35248 | PA      | $31435.71     | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QNW24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387513 | PA      | $340781.10    | 0.16%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36241LUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53942 | PA      | $55987.89     | 0.03%             | 2040-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    431990 | PA      | $374880.24    | 0.17%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YVZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14791 | PA      | $14050.05     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179S5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     86711 | PA      | $83679.14     | 0.04%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KNP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331899 | PA      | $288094.05    | 0.13%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERT   | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $330254.48    | 0.15%             | 2026-03-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77528 | PA      | $69460.98     | 0.03%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55375 | PA      | $49607.67     | 0.02%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    324270 | PA      | $271969.18    | 0.13%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140H37E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85994 | PA      | $79699.37     | 0.04%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6064 | PA      | $5819.48      | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8G47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7921 | PA      | $7693.18      | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47587 | PA      | $43525.49     | 0.02%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KDQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248749 | PA      | $212776.26    | 0.10%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8D40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6086 | PA      | $5899.05      | 0.00%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XDUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431074 | PA      | $352928.75    | 0.16%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36200MJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39278 | PA      | $40383.27     | 0.02%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST            | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST     | CUSIP: 02582JJR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138911.36    | 0.06%             | 2026-11-16      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P75V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4971 | PA      | $4799.80      | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24499 | PA      | $22706.57     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DQZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43528 | PA      | $37183.69     | 0.02%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QYT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49552 | PA      | $48197.26     | 0.02%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73230 | PA      | $67870.06     | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KJ6L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370543 | PA      | $305280.10    | 0.14%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26771 | PA      | $24701.66     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H042620<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    150000 | PA      | $145734.38    | 0.07%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133AADV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373554 | PA      | $306317.67    | 0.14%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418B7E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10544 | PA      | $10013.76     | 0.00%             | 2036-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256432 | PA      | $218470.20    | 0.10%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418ANZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120798 | PA      | $110504.08    | 0.05%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36202FPF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12141 | PA      | $11808.90     | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78172 | PA      | $72449.34     | 0.03%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256382 | PA      | $219321.96    | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140K0E79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243118 | PA      | $208648.82    | 0.10%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    122725 | PA      | $113540.26    | 0.05%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216406 | PA      | $187834.42    | 0.09%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FRUS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41793 | PA      | $40488.05     | 0.02%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54001 | PA      | $49485.05     | 0.02%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CM84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95039 | PA      | $85147.98     | 0.04%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST            | CUSIP: 95000DBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $461236.73    | 0.21%             | 2049-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    423844 | PA      | $355444.09    | 0.16%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WVT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    423872 | PA      | $355664.62    | 0.16%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QJV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38402 | PA      | $39696.07     | 0.02%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ECKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53539 | PA      | $49787.18     | 0.02%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417UEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35509 | PA      | $34264.63     | 0.02%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QFV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410557 | PA      | $338337.92    | 0.16%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6142 | PA      | $5467.75      | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108223 | PA      | $101045.62    | 0.05%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1225000 | PA      | $1160878.91   | 0.54%             | 2053-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31368HNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325882 | PA      | $316706.35    | 0.15%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246963 | PA      | $217890.81    | 0.10%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132Y33P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27016 | PA      | $26487.25     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128PXT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73969 | PA      | $69811.31     | 0.03%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471975 | PA      | $386237.16    | 0.18%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23838 | PA      | $23350.30     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5J22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24558 | PA      | $24053.48     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SEG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133545 | PA      | $121603.02    | 0.06%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36230MTK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20270 | PA      | $19407.01     | 0.01%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RNV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56095 | PA      | $51301.86     | 0.02%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132Y1ZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27542 | PA      | $27001.34     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10710 | PA      | $10557.04     | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133AN4G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434007 | PA      | $355190.49    | 0.16%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140EXPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41717 | PA      | $38840.71     | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WCPB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22003 | PA      | $21162.93     | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                | BENCHMARK MORTGAGE TRUST                         | CUSIP: 08162CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $191128.54    | 0.09%             | 2051-10-10      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X5LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58886 | PA      | $52172.15     | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UKX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44927 | PA      | $43420.58     | 0.02%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138XUTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36410 | PA      | $35134.01     | 0.02%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10369 | PA      | $9397.70      | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ETZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33948 | PA      | $32240.67     | 0.01%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 312946KG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41165 | PA      | $40847.77     | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417406 | PA      | $341644.75    | 0.16%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179M5L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31720 | PA      | $28746.90     | 0.01%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2050000 | PA      | $1926679.69   | 0.89%             | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133B76S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384187 | PA      | $338292.20    | 0.16%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21453 | PA      | $20498.39     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75657 | PA      | $70967.64     | 0.03%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58324 | PA      | $52810.16     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32185 | PA      | $29279.10     | 0.01%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19344 | PA      | $18059.47     | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415188 | PA      | $370112.29    | 0.17%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53546 | PA      | $50206.57     | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325055 | PA      | $277111.23    | 0.13%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    444377 | PA      | $388467.92    | 0.18%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YFRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22664 | PA      | $21315.66     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WAVV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58819 | PA      | $56067.98     | 0.03%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132JP6G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17014 | PA      | $16347.98     | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26666 | PA      | $23951.72     | 0.01%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KQVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522822 | PA      | $428775.74    | 0.20%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27580 | PA      | $24775.10     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581816 | PA      | $530010.35    | 0.25%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2219500.00   | 1.03%             | 2051-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118547 | PA      | $105528.95    | 0.05%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140LNHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436297 | PA      | $357116.79    | 0.17%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11527 | PA      | $10987.13     | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DNCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475887 | PA      | $437483.22    | 0.20%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31292LK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24371 | PA      | $22688.15     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HMZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80033 | PA      | $76272.18     | 0.04%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SS INST TREAS PLUS MM FUN                               | SS INST TREAS PLUS MM FUN                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  41960739 | NS      | $41960738.63  | 19.44%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27020 | PA      | $24262.94     | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140K14D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146886 | PA      | $130757.06    | 0.06%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $73183.59     | 0.03%             | 2038-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HNMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479125 | PA      | $392148.44    | 0.18%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QANA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2991 | PA      | $2812.89      | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16689 | PA      | $15400.37     | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KYS83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123235 | PA      | $108834.76    | 0.05%             | 2040-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58977 | PA      | $54903.28     | 0.03%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YT3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25966 | PA      | $24240.10     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472750 | PA      | $386891.12    | 0.18%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179UQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10332 | PA      | $9632.19      | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W9GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99247 | PA      | $94181.33     | 0.04%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XFHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479242 | PA      | $407862.74    | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    429056 | PA      | $372539.84    | 0.17%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MBZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1229 | PA      | $1227.11      | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    147582 | PA      | $133907.11    | 0.06%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110346 | PA      | $98229.77     | 0.05%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3384 | PA      | $3257.62      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31335BHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65271 | PA      | $60061.52     | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138XYGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20191 | PA      | $19419.31     | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XFA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435056 | PA      | $370404.05    | 0.17%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74988 | PA      | $70124.88     | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132JAJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5627 | PA      | $5086.92      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YJLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71863 | PA      | $64748.74     | 0.03%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A9M87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52892 | PA      | $49437.63     | 0.02%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55618 | PA      | $51625.98     | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                 | CAPITAL ONE MULTI ASSET EXECUTION TRUST          | CUSIP: 14041NFX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $116665.80    | 0.05%             | 2030-07-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36202FZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62187 | PA      | $64494.29     | 0.03%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179T4P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13138 | PA      | $12696.85     | 0.01%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E2UA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50461 | PA      | $47107.21     | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219686 | PA      | $195566.71    | 0.09%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                | BENCHMARK 2019 B9 A5 4 0156 3 15 52              | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $234995.18    | 0.11%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132M5VZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17219 | PA      | $16949.19     | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5GM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47646 | PA      | $44181.07     | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QKLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405222 | PA      | $332078.19    | 0.15%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H040624<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $47404.30     | 0.02%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138Y3XQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46972 | PA      | $43487.67     | 0.02%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9620 | PA      | $8302.07      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X6LH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225626 | PA      | $194742.30    | 0.09%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64154 | PA      | $60022.54     | 0.03%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140EBVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24529 | PA      | $23264.75     | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132XTTT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52245 | PA      | $48493.52     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36241KYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     82961 | PA      | $85450.38     | 0.04%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    434358 | PA      | $377424.50    | 0.17%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71013 | PA      | $65369.88     | 0.03%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18086 | PA      | $18330.67     | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D6AH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151735 | PA      | $139342.53    | 0.06%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236334 | PA      | $202170.90    | 0.09%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $22767.58     | 0.01%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35404 | PA      | $33388.16     | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8564 | PA      | $8329.97      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5109 | PA      | $4902.89      | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D55F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124551 | PA      | $117224.63    | 0.05%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179ME22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     85617 | PA      | $78333.94     | 0.04%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132GVKH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67068 | PA      | $62839.19     | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J9RM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23412 | PA      | $22371.84     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3620AUFH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22996 | PA      | $22397.87     | 0.01%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45804 | PA      | $44553.91     | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23950 | PA      | $23622.94     | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132J97M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13641 | PA      | $12332.55     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94739 | PA      | $87781.77     | 0.04%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5DN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90593 | PA      | $81562.82     | 0.04%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82264 | PA      | $73906.86     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128M6YJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97477 | PA      | $97920.60     | 0.05%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QL66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26745 | PA      | $26014.07     | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139758 | PA      | $118703.87    | 0.05%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197615 | PA      | $173769.57    | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138M0BF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284981 | PA      | $265054.26    | 0.12%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36184FQT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2484 | PA      | $2333.58      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SJT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57575 | PA      | $53841.81     | 0.02%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    136142 | PA      | $129256.09    | 0.06%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     71180 | PA      | $66466.79     | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15756 | PA      | $16231.25     | 0.01%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QGA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348203 | PA      | $297476.78    | 0.14%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WCPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89793 | PA      | $84680.66     | 0.04%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    121213 | PA      | $110374.79    | 0.05%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FVTD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17789 | PA      | $15940.71     | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QJT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     79401 | PA      | $77233.19     | 0.04%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5GW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63893 | PA      | $59249.95     | 0.03%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YR5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82004 | PA      | $76556.14     | 0.04%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140F0JJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98486 | PA      | $88476.26     | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112267 | PA      | $99940.24     | 0.05%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98912 | PA      | $91605.54     | 0.04%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26735 | PA      | $24759.76     | 0.01%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST                         | CSAIL COMMERCIAL MORTGAGE TRUST                  | CUSIP: 12637UAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129415 | PA      | $124026.48    | 0.06%             | 2049-11-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425870 | PA      | $349256.90    | 0.16%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128P8AJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4307 | PA      | $3944.39      | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140H5Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14416 | PA      | $13155.94     | 0.01%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3128LDV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       673 | PA      | $686.64       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YYE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15041 | PA      | $14035.69     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJWA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38900 | PA      | $35057.22     | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D6N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415504 | PA      | $371797.99    | 0.17%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179XFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    248316 | PA      | $235391.19    | 0.11%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MX47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     69986 | PA      | $65665.78     | 0.03%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DMN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363911 | PA      | $313102.51    | 0.15%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35942 | PA      | $31912.14     | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J8KS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21662 | PA      | $21365.66     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375637 | PA      | $307462.35    | 0.14%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    342311 | PA      | $298536.82    | 0.14%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8DH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13792 | PA      | $11729.07     | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8D81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29226 | PA      | $26690.01     | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36202FB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    173488 | PA      | $179446.41    | 0.08%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9237 | PA      | $8863.84      | 0.00%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114227 | PA      | $101416.27    | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58978 | PA      | $55496.83     | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9550 | PA      | $8867.96      | 0.00%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47133 | PA      | $42125.79     | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JAJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40610 | PA      | $38483.63     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36186NMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7539 | PA      | $6760.30      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453189 | PA      | $387295.33    | 0.18%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36178LUG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47295 | PA      | $46058.18     | 0.02%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HESE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56293 | PA      | $54422.00     | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262213 | PA      | $224310.54    | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST                     | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $170846.22    | 0.08%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QBF60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38810 | PA      | $34546.46     | 0.02%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31719 | PA      | $30679.93     | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140MAXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70183 | PA      | $62696.27     | 0.03%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128PRV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3238 | PA      | $3222.93      | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $120649.41    | 0.06%             | 2053-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36202F2H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3643 | PA      | $3547.81      | 0.00%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JMZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23554 | PA      | $22416.77     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190257 | PA      | $146080.70    | 0.07%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114149 | PA      | $99085.08     | 0.05%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140L2RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531678 | PA      | $435913.89    | 0.20%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     69716 | PA      | $67811.60     | 0.03%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440015 | PA      | $381934.22    | 0.18%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20564 | PA      | $20162.59     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JWNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126577 | PA      | $112682.45    | 0.05%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13697 | PA      | $12685.49     | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 312945DN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16640 | PA      | $15572.52     | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271752 | PA      | $230863.26    | 0.11%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132HPNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5711 | PA      | $5123.40      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30317 | PA      | $28896.86     | 0.01%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26576 | PA      | $24865.88     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK 2021 BNK37                                  | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $246279.70    | 0.11%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    139699 | PA      | $125388.29    | 0.06%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X6XZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199000 | PA      | $176674.63    | 0.08%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138M5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159558 | PA      | $143154.48    | 0.07%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3132AEKF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10930 | PA      | $10068.96     | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133B0QP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141481 | PA      | $115790.34    | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42598 | PA      | $39461.92     | 0.02%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133L74L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325734 | PA      | $291873.39    | 0.14%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101112 | PA      | $89618.22     | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138XZBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5492 | PA      | $5300.35      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6650 | PA      | $6400.88      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64538 | PA      | $61798.97     | 0.03%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148661 | PA      | $131536.40    | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138XDS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44086 | PA      | $42539.48     | 0.02%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72815 | PA      | $64647.12     | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X43L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13092 | PA      | $12708.73     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P73Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43361 | PA      | $39200.97     | 0.02%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NAH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11732 | PA      | $10964.33     | 0.01%             | 2028-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KNGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431584 | PA      | $353221.53    | 0.16%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WG28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    376404 | PA      | $315681.84    | 0.15%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82662 | PA      | $76729.64     | 0.04%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5BD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131707 | PA      | $121913.52    | 0.06%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ENNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26994 | PA      | $27742.09     | 0.01%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131155 | PA      | $124369.42    | 0.06%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YHU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52980 | PA      | $47749.93     | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QHKB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481171 | PA      | $409984.35    | 0.19%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179Q3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19719 | PA      | $18035.66     | 0.01%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X3AW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40698 | PA      | $37550.22     | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J8FX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7276 | PA      | $7211.09      | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NHJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12383 | PA      | $11571.71     | 0.01%             | 2028-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73180 | PA      | $56193.63     | 0.03%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DV4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309784 | PA      | $285863.12    | 0.13%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133AM7J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429055 | PA      | $351126.93    | 0.16%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235572 | PA      | $192797.39    | 0.09%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FMDF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70362 | PA      | $63193.89     | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405013 | PA      | $310946.91    | 0.14%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57856 | PA      | $55526.34     | 0.03%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242559 | PA      | $206174.09    | 0.10%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KJVV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426478 | PA      | $348254.87    | 0.16%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VTV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    191829 | PA      | $160895.83    | 0.07%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7726 | PA      | $6670.90      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31292MDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108967 | PA      | $99316.35     | 0.05%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KMVT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    465047 | PA      | $380651.16    | 0.18%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 312938PW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4390 | PA      | $4361.64      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140EUFD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25987 | PA      | $24261.59     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81023 | PA      | $75457.49     | 0.03%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140L6WT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393234 | PA      | $335156.48    | 0.16%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44056 | PA      | $42511.39     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180314 | PA      | $162843.08    | 0.08%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WVPE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129850 | PA      | $117392.93    | 0.05%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140F9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100102 | PA      | $93237.52     | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31416WRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28768 | PA      | $28492.39     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ESDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32841 | PA      | $31657.29     | 0.01%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H052629<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    225000 | PA      | $226019.53    | 0.10%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ERZG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6942 | PA      | $6888.03      | 0.00%             | 2029-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    452125 | PA      | $385262.45    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53871 | PA      | $50004.48     | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8GL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10557 | PA      | $9753.51      | 0.00%             | 2038-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QKKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371584 | PA      | $322861.13    | 0.15%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31206 | PA      | $28416.16     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293206 | PA      | $304725.31    | 0.14%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138MAGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186592 | PA      | $167385.40    | 0.08%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133AJPG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237112 | PA      | $194085.82    | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HPBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69816 | PA      | $67149.03     | 0.03%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52143 | PA      | $48894.48     | 0.02%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CG99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28067 | PA      | $26932.37     | 0.01%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4SD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42720 | PA      | $40706.35     | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJRD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22426 | PA      | $21727.54     | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3925 | PA      | $3978.39      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31307VT89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23302 | PA      | $22067.78     | 0.01%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286976 | PA      | $243326.24    | 0.11%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VSF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    334455 | PA      | $280525.40    | 0.13%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418EBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349195 | PA      | $305723.04    | 0.14%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368655 | PA      | $301740.50    | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X5DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76350 | PA      | $71159.90     | 0.03%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367264 | PA      | $315150.61    | 0.15%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8EM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9469 | PA      | $8638.90      | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178878 | PA      | $152397.74    | 0.07%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XC7K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429628 | PA      | $366787.33    | 0.17%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WDY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15836 | PA      | $14269.98     | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140EYXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15466 | PA      | $13917.02     | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MX62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35825 | PA      | $36768.11     | 0.02%             | 2043-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    975000 | PA      | $947121.09    | 0.44%             | 2053-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138A7UN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60506 | PA      | $62246.54     | 0.03%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50393 | PA      | $49041.28     | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $271003.91    | 0.13%             | 2053-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $601968.75    | 0.28%             | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J9GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85384 | PA      | $79446.05     | 0.04%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5HG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62196 | PA      | $59497.38     | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175694 | PA      | $142706.81    | 0.07%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138MPYS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350588 | PA      | $314524.83    | 0.15%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132ACYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43113 | PA      | $38409.25     | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KH3B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61144 | PA      | $54201.90     | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132AD3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50401 | PA      | $49235.33     | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179USU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18183 | PA      | $17442.52     | 0.01%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179USW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11158 | PA      | $11059.83     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132AEG42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16907 | PA      | $15910.67     | 0.01%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KELG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153504 | PA      | $125881.93    | 0.06%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132WGFU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24429 | PA      | $21079.95     | 0.01%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252022 | PA      | $215594.42    | 0.10%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133BFXB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194319 | PA      | $182636.75    | 0.08%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E0FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55456 | PA      | $53377.73     | 0.02%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133AKFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395119 | PA      | $323370.56    | 0.15%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130598 | PA      | $117001.08    | 0.05%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363866 | PA      | $298399.48    | 0.14%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39737 | PA      | $36344.03     | 0.02%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WTX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    466655 | PA      | $391281.59    | 0.18%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5064 | PA      | $4702.64      | 0.00%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56815 | PA      | $52849.32     | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    248190 | PA      | $228183.60    | 0.11%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13204 | PA      | $12023.80     | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391867 | PA      | $333994.62    | 0.15%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KNBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441345 | PA      | $376975.31    | 0.17%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138AW3M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163514 | PA      | $158673.57    | 0.07%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3132A5DX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96113 | PA      | $89649.19     | 0.04%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242950 | PA      | $204307.31    | 0.09%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HNY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4324 | PA      | $4239.67      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FSF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15666 | PA      | $15142.82     | 0.01%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31415CNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       556 | PA      | $552.32       | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SGK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74402 | PA      | $67750.76     | 0.03%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                | BENCHMARK MORTGAGE TRUST                         | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $176456.99    | 0.08%             | 2032-01-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE TRUST | BANK OF AMERICA COMMERCIAL MORTGAGE TRUST        | CUSIP: 06427DAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82263 | PA      | $79097.23     | 0.04%             | 2050-02-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36297GVW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10664 | PA      | $9246.57      | 0.00%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132GKF43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36570 | PA      | $34225.31     | 0.02%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A9UR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44352 | PA      | $41451.79     | 0.02%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VHR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    148594 | PA      | $129897.72    | 0.06%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67418 | PA      | $64476.08     | 0.03%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119516 | PA      | $107371.08    | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140F3PT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23099 | PA      | $21371.00     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417F3F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124805 | PA      | $112831.34    | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KMNT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409934 | PA      | $350116.74    | 0.16%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NBB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    116399 | PA      | $111008.72    | 0.05%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23829 | PA      | $22712.90     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132AEBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22169 | PA      | $21192.73     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69169 | PA      | $61414.75     | 0.03%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W95X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8139 | PA      | $8057.04      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4WN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60180 | PA      | $54065.06     | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QKXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420223 | PA      | $343975.17    | 0.16%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132M8C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37848 | PA      | $35606.88     | 0.02%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67660 | PA      | $64394.97     | 0.03%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DMKB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107720 | PA      | $102983.23    | 0.05%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $485378.07    | 0.22%             | 2028-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -425000 | PA      | $-346773.44   | -0.16%            | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5CJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47700 | PA      | $45984.71     | 0.02%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140H4KJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23809 | PA      | $22472.76     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM MORTGAGE TRUST                              | CUSIP: 12629NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $76216.99     | 0.04%             | 2048-02-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KLRF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373763 | PA      | $306222.79    | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MGN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19826 | PA      | $18502.43     | 0.01%             | 2027-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73744 | PA      | $68849.10     | 0.03%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138A75C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45729 | PA      | $45121.41     | 0.02%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132JBH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23020 | PA      | $20807.91     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65834 | PA      | $61044.30     | 0.03%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74423 | PA      | $70833.41     | 0.03%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34752 | PA      | $33426.96     | 0.02%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261623 | PA      | $214120.79    | 0.10%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YHV23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16833 | PA      | $15743.82     | 0.01%             | 2030-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RNX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13991 | PA      | $13609.14     | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59377 | PA      | $55112.83     | 0.03%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WCZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7147 | PA      | $6888.05      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RZU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16370 | PA      | $15923.02     | 0.01%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407407 | PA      | $312789.64    | 0.14%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132M75R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3023 | PA      | $2916.94      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 312946RM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526355 | PA      | $522294.59    | 0.24%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WKRG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46099 | PA      | $44138.48     | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36296RZA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7751 | PA      | $7790.95      | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QNQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437234 | PA      | $384639.18    | 0.18%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133ASJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422094 | PA      | $359781.51    | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133GGSJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340605 | PA      | $295809.73    | 0.14%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DMY41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453816 | PA      | $370470.80    | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST                     | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93667.42     | 0.04%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107319 | PA      | $99470.51     | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WTY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    595576 | PA      | $517743.55    | 0.24%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105631 | PA      | $90647.06     | 0.04%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMT29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68459 | PA      | $63837.79     | 0.03%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    437578 | PA      | $369441.18    | 0.17%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138528 | PA      | $116491.32    | 0.05%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142862 | PA      | $121717.25    | 0.06%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RF95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78013 | PA      | $73179.01     | 0.03%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5AM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94626 | PA      | $85456.19     | 0.04%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5EC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64572 | PA      | $62089.77     | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138EMUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28416 | PA      | $27465.05     | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31329QWF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25171 | PA      | $23913.00     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62406 | PA      | $58358.83     | 0.03%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MMYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18716 | PA      | $17666.10     | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179S5K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83465 | PA      | $75869.80     | 0.04%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196701 | PA      | $173199.19    | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31419GCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18121 | PA      | $17925.66     | 0.01%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307GKF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20817 | PA      | $19989.68     | 0.01%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31326 | PA      | $31026.36     | 0.01%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417YXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12973 | PA      | $12406.94     | 0.01%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9863 | PA      | $9995.16      | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31410KXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65607 | PA      | $69430.04     | 0.03%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138AX2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4026 | PA      | $3898.06      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3133A7RB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214705 | PA      | $190649.03    | 0.09%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59031 | PA      | $57048.75     | 0.03%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138M8HU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82626 | PA      | $77320.21     | 0.04%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418853 | PA      | $342802.23    | 0.16%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NF78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    131580 | PA      | $123458.17    | 0.06%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJ3N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82452 | PA      | $76418.71     | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WC2A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27598 | PA      | $26632.05     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57315 | PA      | $54884.15     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8EX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17915 | PA      | $16343.33     | 0.01%             | 2037-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KMPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    416549 | PA      | $356533.35    | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14482 | PA      | $14231.84     | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36180MLN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133723 | PA      | $121208.79    | 0.06%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30758 | PA      | $28645.22     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170247 | PA      | $165216.10    | 0.08%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MCZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     93081 | PA      | $87332.34     | 0.04%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60733 | PA      | $56793.51     | 0.03%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47809 | PA      | $44846.25     | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138Y1E92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4845 | PA      | $4740.41      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NJA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133909 | PA      | $125642.51    | 0.06%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132CWA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43956 | PA      | $43084.96     | 0.02%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31307SHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41503 | PA      | $38904.56     | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P77K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23322 | PA      | $21359.30     | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TJX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49235 | PA      | $45976.01     | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QLWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432476 | PA      | $370085.80    | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WCZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35100 | PA      | $33870.84     | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KNKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372290 | PA      | $305316.41    | 0.14%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MU24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19561 | PA      | $18293.96     | 0.01%             | 2027-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57318 | PA      | $54770.07     | 0.03%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST      | MORGAN STANLEY BAML TRUST                        | CUSIP: 61764RBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182570 | PA      | $173589.56    | 0.08%             | 2048-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17139 | PA      | $16027.72     | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3136B3J50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184371 | PA      | $175541.13    | 0.08%             | 2028-11-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22687 | PA      | $21027.61     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XDP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448057 | PA      | $367347.10    | 0.17%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49084 | PA      | $48396.88     | 0.02%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X83S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399408 | PA      | $327502.81    | 0.15%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179W7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    438586 | PA      | $390948.17    | 0.18%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439002 | PA      | $359281.63    | 0.17%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJVL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46409 | PA      | $44782.47     | 0.02%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RVA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59848 | PA      | $54738.06     | 0.03%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26570 | PA      | $24314.99     | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480946 | PA      | $394903.23    | 0.18%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179R4D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21945 | PA      | $19983.20     | 0.01%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NXB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8914 | PA      | $8622.81      | 0.00%             | 2029-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJ2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12070 | PA      | $11700.44     | 0.01%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31410LPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11998 | PA      | $12316.85     | 0.01%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98618 | PA      | $88597.78     | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5E76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107214 | PA      | $96225.43     | 0.04%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $76116.21     | 0.04%             | 2050-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WEFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24574 | PA      | $22953.93     | 0.01%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FDET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68325 | PA      | $61365.75     | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146727 | PA      | $145377.25    | 0.07%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12124 | PA      | $10891.39     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H050623<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    175000 | PA      | $173345.70    | 0.08%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QGZQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387006 | PA      | $316729.80    | 0.15%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16290 | PA      | $15503.42     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138Y6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31281 | PA      | $30608.63     | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65437 | PA      | $61925.46     | 0.03%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10971 | PA      | $10813.72     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WFKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33788 | PA      | $31544.53     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79236 | PA      | $74906.03     | 0.03%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179V7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    331656 | PA      | $288887.34    | 0.13%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51012 | PA      | $48846.03     | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     70623 | PA      | $66043.97     | 0.03%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19336 | PA      | $18211.85     | 0.01%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146071 | PA      | $124957.14    | 0.06%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KKAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    531070 | PA      | $435621.77    | 0.20%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31419BCT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17878 | PA      | $16729.22     | 0.01%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137H2NY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $227499.09    | 0.11%             | 2036-08-25      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VZR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    452929 | PA      | $395905.36    | 0.18%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133AALF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369438 | PA      | $302985.45    | 0.14%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473280 | PA      | $387312.35    | 0.18%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128PTWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5788 | PA      | $5517.99      | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    108347 | PA      | $98490.52     | 0.05%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132AEKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34453 | PA      | $32803.16     | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QEAE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263616 | PA      | $225256.02    | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WDKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29421 | PA      | $28393.41     | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84584 | PA      | $78511.10     | 0.04%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NNB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28595 | PA      | $27814.35     | 0.01%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JABQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5972 | PA      | $5535.11      | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179S2Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52214 | PA      | $50389.09     | 0.02%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VXY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    285186 | PA      | $249283.77    | 0.12%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454735 | PA      | $371042.47    | 0.17%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DV6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165640 | PA      | $141695.59    | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16544 | PA      | $16835.95     | 0.01%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FHLMC MULTIFAMILY STRUCTURED                     | CUSIP: 3137BSP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62398 | PA      | $59391.59     | 0.03%             | 2026-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55327 | PA      | $55555.87     | 0.03%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F032419<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $143671.88    | 0.07%             | 2036-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3136B27L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239165 | PA      | $227372.55    | 0.11%             | 2028-08-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64468 | PA      | $60198.68     | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251267 | PA      | $206066.37    | 0.10%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $388099.18    | 0.18%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $70508.79     | 0.03%             | 2053-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10100 | PA      | $9449.80      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6395 | PA      | $6023.71      | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36178AHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8979 | PA      | $8093.89      | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137H8BK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $177310.19    | 0.08%             | 2032-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FPJF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21220 | PA      | $19007.69     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31335AF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85810 | PA      | $77331.67     | 0.04%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     73012 | PA      | $68503.62     | 0.03%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A5JY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60182 | PA      | $53594.24     | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST                     | TOYOTA AUTO RECEIVABLES OWNER TRUST              | CUSIP: 89231CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97135.49     | 0.04%             | 2027-04-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321127 | PA      | $274717.56    | 0.13%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59844 | PA      | $58409.58     | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JG6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4368 | PA      | $4283.48      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QDXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241569 | PA      | $206419.83    | 0.10%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QBG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     81437 | PA      | $79212.43     | 0.04%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436012 | PA      | $370571.47    | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18431 | PA      | $16827.16     | 0.01%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101778 | PA      | $93857.71     | 0.04%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KH4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304186 | PA      | $261294.06    | 0.12%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31294MFB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3026 | PA      | $3005.55      | 0.00%             | 2026-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31329JM87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90802 | PA      | $82017.63     | 0.04%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53259 | PA      | $51474.56     | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KLS57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424994 | PA      | $348337.93    | 0.16%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31410LAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475178 | PA      | $485326.93    | 0.22%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322350 | PA      | $277243.70    | 0.13%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31416T2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4636 | PA      | $4603.01      | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179S4H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12283 | PA      | $11388.62     | 0.01%             | 2032-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101562 | PA      | $98561.60     | 0.05%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179TV51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     65177 | PA      | $60760.00     | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8EQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10093 | PA      | $9216.92      | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3620ASRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15604 | PA      | $14987.82     | 0.01%             | 2026-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FLN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $236456.30    | 0.11%             | 2029-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A5JT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25107 | PA      | $24592.36     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WFG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    394818 | PA      | $343879.05    | 0.16%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132J4HX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23923 | PA      | $21075.05     | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179TCY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98453 | PA      | $95011.43     | 0.04%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19769 | PA      | $17157.31     | 0.01%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FHLMC MULTIFAMILY STRUCTURED PASS THROUGH        | CUSIP: 3137BKRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $96841.50     | 0.04%             | 2025-05-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412433 | PA      | $357989.46    | 0.17%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5E84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27800 | PA      | $25866.39     | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80941 | PA      | $74512.60     | 0.03%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    103175 | PA      | $96484.49     | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q7BW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10166 | PA      | $9417.78      | 0.00%             | 2032-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389408 | PA      | $332671.22    | 0.15%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132Y2LC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34175 | PA      | $31477.42     | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15888 | PA      | $14724.57     | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W9AB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18017 | PA      | $16905.07     | 0.01%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355526 | PA      | $303065.81    | 0.14%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3131YBST6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16003 | PA      | $15230.61     | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285593 | PA      | $233711.56    | 0.11%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9709 | PA      | $8619.15      | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QHFZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347348 | PA      | $311127.81    | 0.14%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132QSWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37884 | PA      | $34528.36     | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431459 | PA      | $352065.28    | 0.16%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JACX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50007 | PA      | $46339.38     | 0.02%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X6CZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58458 | PA      | $55925.37     | 0.03%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QFRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401242 | PA      | $308193.51    | 0.14%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36297KCM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46958 | PA      | $45746.89     | 0.02%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QFBF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309025 | PA      | $264345.97    | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NTE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54369 | PA      | $52615.53     | 0.02%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YBSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59941 | PA      | $55963.03     | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SSQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     93858 | PA      | $87929.14     | 0.04%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3132D55W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242595 | PA      | $216278.59    | 0.10%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140GQ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14519 | PA      | $13901.59     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WTZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    393764 | PA      | $352264.44    | 0.16%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65333 | PA      | $53065.03     | 0.02%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94229 | PA      | $88179.53     | 0.04%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QGE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464132 | PA      | $380577.86    | 0.18%             | 2045-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $109921.88    | 0.05%             | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QWE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47071 | PA      | $44167.91     | 0.02%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36184BTP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4154 | PA      | $3724.11      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180838 | PA      | $167464.19    | 0.08%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10088 | PA      | $10049.78     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40284 | PA      | $37742.31     | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50526 | PA      | $46212.08     | 0.02%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13985 | PA      | $12232.29     | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KNBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469704 | PA      | $384444.51    | 0.18%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FPJF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46209 | PA      | $42260.42     | 0.02%             | 2029-06-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23566 | PA      | $21304.65     | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9051 | PA      | $7814.13      | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426654 | PA      | $370529.24    | 0.17%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X7JY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300713 | PA      | $258824.82    | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X8V46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92155 | PA      | $88646.76     | 0.04%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X7YF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329865 | PA      | $282185.66    | 0.13%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148021 | PA      | $127026.01    | 0.06%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281835 | PA      | $262074.74    | 0.12%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132GUKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52136 | PA      | $48845.15     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13679 | PA      | $12397.42     | 0.01%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SNU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    178305 | PA      | $162361.94    | 0.08%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190464 | PA      | $162935.27    | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3131XVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59200 | PA      | $53130.70     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36195GXP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12299 | PA      | $11667.46     | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132AEEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38491 | PA      | $36597.75     | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FRUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96899 | PA      | $85516.89     | 0.04%             | 2029-05-25      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST                        | WORLD OMNI AUTO RECEIVABLES TRUST 2021 C         | CUSIP: 98164CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $181769.33    | 0.08%             | 2027-09-15      | Fixed         | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9593 | PA      | $9723.18      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38341 | PA      | $37295.52     | 0.02%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133AADG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305486 | PA      | $261369.12    | 0.12%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425850 | PA      | $349235.67    | 0.16%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179V4U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    344246 | PA      | $288713.46    | 0.13%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RLP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     97427 | PA      | $91388.36     | 0.04%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YJ3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53201 | PA      | $49951.77     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398000 | PA      | $345439.50    | 0.16%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117216 | PA      | $105303.66    | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATIONS           | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207371 | PA      | $194904.15    | 0.09%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64043 | PA      | $61640.90     | 0.03%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KQWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193259 | PA      | $158508.48    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120877 | PA      | $108583.48    | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163362 | PA      | $141044.02    | 0.07%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24128 | PA      | $23282.71     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33311 | PA      | $30848.60     | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51423 | PA      | $47032.63     | 0.02%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51779 | PA      | $47747.11     | 0.02%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FT5L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27963 | PA      | $26771.01     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140F9WG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141622 | PA      | $127210.87    | 0.06%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SSN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    198907 | PA      | $172643.20    | 0.08%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179TUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9606 | PA      | $9695.61      | 0.00%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418EAT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433043 | PA      | $397710.25    | 0.18%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CLT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5034 | PA      | $4895.07      | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128PUU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57804 | PA      | $56679.73     | 0.03%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20972 | PA      | $19351.06     | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8EL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4955 | PA      | $4525.22      | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJ2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42350 | PA      | $37941.14     | 0.02%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W9SV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146328 | PA      | $142935.65    | 0.07%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YDA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20881 | PA      | $19640.45     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                      | PG E WILDFIRE RECOVERY FUNDING LLC               | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $211568.18    | 0.10%             | 2054-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WET25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39918 | PA      | $37270.43     | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QT43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40672 | PA      | $38163.97     | 0.02%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417D3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336500 | PA      | $301942.44    | 0.14%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KTUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365970 | PA      | $326235.45    | 0.15%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X8KA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519216 | PA      | $423867.95    | 0.20%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WENA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71373 | PA      | $64317.51     | 0.03%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TAK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50762 | PA      | $47399.34     | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21332 | PA      | $19936.72     | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5690 | PA      | $6058.72      | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MD5E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58238 | PA      | $55516.96     | 0.03%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMSX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53143 | PA      | $50424.64     | 0.02%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225636 | PA      | $226275.83    | 0.10%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5731 | PA      | $5631.54      | 0.00%             | 2036-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                          | MORGAN STANLEY CAPITAL I TRUST                   | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $184173.14    | 0.09%             | 2050-06-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST                     | TOYOTA AUTO RECEIVABLES 2021 A OWNER TRUST       | CUSIP: 89240BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91995.45     | 0.04%             | 2026-06-15      | Fixed         | 0.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QFRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400078 | PA      | $307174.78    | 0.14%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FP3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44546 | PA      | $39893.26     | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KYWS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263986 | PA      | $231103.87    | 0.11%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    488018 | PA      | $410697.10    | 0.19%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5EB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58924 | PA      | $54961.52     | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK                                             | CUSIP: 06540RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249998 | PA      | $237209.26    | 0.11%             | 2054-11-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F022428<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -100000 | PA      | $-91773.44    | -0.04%            | 2038-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QCY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477021 | PA      | $421805.69    | 0.20%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133AKPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396200 | PA      | $324240.23    | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51198 | PA      | $47682.13     | 0.02%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QPAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245496 | PA      | $223489.59    | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36176XU23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10248 | PA      | $9849.61      | 0.00%             | 2042-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FXYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390000 | PA      | $325553.21    | 0.15%             | 2031-01-25      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52053 | PA      | $47917.55     | 0.02%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KGU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17159 | PA      | $15878.42     | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67075 | PA      | $62886.57     | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138E0WT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127933 | PA      | $124143.80    | 0.06%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1475000 | PA      | $1342480.47   | 0.62%             | 2053-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIEMAE ACES                                   | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179980 | PA      | $169194.25    | 0.08%             | 2027-02-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J5W62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168428 | PA      | $158027.95    | 0.07%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJ4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20691 | PA      | $19771.45     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UZU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14918 | PA      | $14361.10     | 0.01%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133ARSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412778 | PA      | $337826.78    | 0.16%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36294SFW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5836 | PA      | $6074.31      | 0.00%             | 2036-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    113792 | PA      | $101587.48    | 0.05%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NMP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4726 | PA      | $4571.76      | 0.00%             | 2028-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31307DNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3062 | PA      | $2883.58      | 0.00%             | 2023-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    224320 | PA      | $201897.68    | 0.09%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMVD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137814 | PA      | $129205.52    | 0.06%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E44L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7031 | PA      | $6687.50      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385695 | PA      | $315679.10    | 0.15%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q7HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31766 | PA      | $30413.71     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138EL5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47044 | PA      | $45458.11     | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132CWKN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140104 | PA      | $129179.45    | 0.06%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST                                 | BMW VEHICLE LEASE TRUST 2022 1                   | CUSIP: 05601XAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96629.04     | 0.04%             | 2025-03-25      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52842 | PA      | $47465.66     | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179W5A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    395091 | PA      | $331607.56    | 0.15%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156748 | PA      | $133898.47    | 0.06%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443450 | PA      | $377957.27    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J5NB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17647 | PA      | $17411.84     | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMT94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17999 | PA      | $17098.96     | 0.01%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FQJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $63627.50     | 0.03%             | 2034-10-25      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40879 | PA      | $38905.95     | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F012411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $151921.88    | 0.07%             | 2037-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184699 | PA      | $150017.66    | 0.07%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                             | BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC      | CUSIP: 05492VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $47173.23     | 0.02%             | 2053-04-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KNQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473368 | PA      | $403107.46    | 0.19%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83070 | PA      | $80280.57     | 0.04%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140K9EV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149780 | PA      | $137784.50    | 0.06%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TUA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58801 | PA      | $54909.49     | 0.03%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133ASJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437830 | PA      | $358326.35    | 0.17%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QBF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44058 | PA      | $41340.66     | 0.02%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132WKLR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133246 | PA      | $119705.07    | 0.06%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WBSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29178 | PA      | $28064.09     | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMBB COMMERCIAL MORTGAGE SECURITIES             | CUSIP: 46643GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136928 | PA      | $131633.46    | 0.06%             | 2047-11-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KLZW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262161 | PA      | $214853.92    | 0.10%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK                                             | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $125078.58    | 0.06%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45896 | PA      | $41122.32     | 0.02%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DMUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352615 | PA      | $299754.72    | 0.14%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132AD6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58273 | PA      | $58133.54     | 0.03%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138EGYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        89 | PA      | $89.37        | 0.00%             | 2024-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138LU2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61217 | PA      | $56936.60     | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60014 | PA      | $58375.08     | 0.03%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31292SA34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33112 | PA      | $28921.18     | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KLA49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347693 | PA      | $299098.74    | 0.14%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74496 | PA      | $66510.65     | 0.03%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $239907.56    | 0.11%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14818 | PA      | $14003.39     | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76430 | PA      | $67231.50     | 0.03%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SUW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46335 | PA      | $45071.43     | 0.02%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31416YRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52945 | PA      | $52457.92     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $46001.95     | 0.02%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST                          | HYUNDAI AUTO RECEIVABLES TRUST                   | CUSIP: 44918MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98065.41     | 0.05%             | 2026-11-16      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179UQ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45581 | PA      | $43878.74     | 0.02%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3131XPUE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70968 | PA      | $68934.23     | 0.03%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HF2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242309 | PA      | $207228.04    | 0.10%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SJS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53605 | PA      | $48811.07     | 0.02%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87768 | PA      | $82108.48     | 0.04%             | 2033-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    405561 | PA      | $352396.90    | 0.16%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q7FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62649 | PA      | $59990.46     | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3136B8M97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $166494.42    | 0.08%             | 2030-02-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QYR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     87643 | PA      | $80315.64     | 0.04%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140H1V98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12552 | PA      | $11994.02     | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VQT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16820 | PA      | $15096.35     | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QGUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422147 | PA      | $346025.57    | 0.16%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36178DZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    103922 | PA      | $96011.44     | 0.04%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2075000 | PA      | $2046144.53   | 0.95%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MQT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7846 | PA      | $8095.54      | 0.00%             | 2042-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140M7SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433340 | PA      | $371558.10    | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36241KE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29080 | PA      | $29845.73     | 0.01%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138E4AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8569 | PA      | $8086.33      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160257 | PA      | $142288.05    | 0.07%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MQN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     77187 | PA      | $70617.21     | 0.03%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31039 | PA      | $27173.09     | 0.01%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9452 | PA      | $9439.08      | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X3AX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54525 | PA      | $52101.18     | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST              | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $128959.71    | 0.06%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72510 | PA      | $69119.99     | 0.03%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179SGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18520 | PA      | $18470.90     | 0.01%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31559 | PA      | $26959.52     | 0.01%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QKRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420594 | PA      | $343223.48    | 0.16%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138E4YC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10167 | PA      | $9890.06      | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31307VM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116523 | PA      | $108988.36    | 0.05%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26530 | PA      | $25288.11     | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82381 | PA      | $74008.58     | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31335AR91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21386 | PA      | $20728.68     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KJGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336120 | PA      | $287575.28    | 0.13%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3471 | PA      | $3421.37      | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65258 | PA      | $61457.84     | 0.03%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YAGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8826 | PA      | $8489.02      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WBX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35732 | PA      | $34476.85     | 0.02%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VDN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    132701 | PA      | $119462.79    | 0.06%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WR26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    195798 | PA      | $169897.79    | 0.08%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST                     | CUSIP: 36258YBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $84344.94     | 0.04%             | 2053-02-13      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK                                             | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $86268.87     | 0.04%             | 2052-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QNJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22885 | PA      | $21011.11     | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q87H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13118 | PA      | $13069.12     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KYT58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56114 | PA      | $49554.61     | 0.02%             | 2040-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99079 | PA      | $92721.32     | 0.04%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132QQRB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23825 | PA      | $22682.10     | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31329KSA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60858 | PA      | $54963.06     | 0.03%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11583 | PA      | $10578.03     | 0.00%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179W2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    438839 | PA      | $368023.62    | 0.17%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139802 | PA      | $140793.21    | 0.07%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31307UX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66995 | PA      | $62053.84     | 0.03%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERT   | CUSIP: 3137BYPQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124102 | PA      | $120894.76    | 0.06%             | 2049-07-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6042 | PA      | $6150.02      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5F42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62370 | PA      | $53782.18     | 0.02%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    265935 | PA      | $232459.96    | 0.11%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    352716 | PA      | $307601.59    | 0.14%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HPX36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32047 | PA      | $30616.06     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132AD7M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10353 | PA      | $10208.44     | 0.00%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4W44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60756 | PA      | $56434.29     | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138Y15B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45361 | PA      | $43773.53     | 0.02%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VTW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    409205 | PA      | $357706.34    | 0.17%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36181TPZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14277 | PA      | $13050.04     | 0.01%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    238452 | PA      | $223726.72    | 0.10%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST        | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST | CUSIP: 98163NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97376.17     | 0.05%             | 2025-02-18      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QKYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432589 | PA      | $337363.29    | 0.16%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36178GHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19017 | PA      | $17436.88     | 0.01%             | 2028-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q9XC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21822 | PA      | $20851.19     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29679 | PA      | $28867.99     | 0.01%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE TRUST                        | CUSIP: 200474BC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182570 | PA      | $173186.30    | 0.08%             | 2048-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74933 | PA      | $67251.07     | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9573 | PA      | $8544.27      | 0.00%             | 2039-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179SB71<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     65860 | PA      | $59970.83     | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $234414.06    | 0.11%             | 2036-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36202FKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    236471 | PA      | $236500.92    | 0.11%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132QUH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29487 | PA      | $27258.80     | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJEU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39523 | PA      | $37052.25     | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133A4BS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123831 | PA      | $110221.25    | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349020 | PA      | $311143.28    | 0.14%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36185BDG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35626 | PA      | $33862.87     | 0.02%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128M7DJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14895 | PA      | $15252.58     | 0.01%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184718 | PA      | $157452.11    | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KMVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427201 | PA      | $364909.75    | 0.17%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QGBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222058 | PA      | $189734.65    | 0.09%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107265 | PA      | $97880.23     | 0.05%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14338 | PA      | $13996.58     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471392 | PA      | $400353.11    | 0.19%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X3E32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77953 | PA      | $75226.07     | 0.03%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     86462 | PA      | $80488.90     | 0.04%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q9C84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41566 | PA      | $39673.44     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72461 | PA      | $65097.74     | 0.03%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MNG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    137937 | PA      | $126197.40    | 0.06%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CYK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8311 | PA      | $8064.52      | 0.00%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31416H5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12935 | PA      | $12833.37     | 0.01%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384650 | PA      | $342902.34    | 0.16%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     69619 | PA      | $65005.92     | 0.03%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133ARVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451012 | PA      | $369015.32    | 0.17%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133AE5Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387786 | PA      | $317449.20    | 0.15%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36183RCW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15321 | PA      | $13614.89     | 0.01%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YEQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119725 | PA      | $112651.70    | 0.05%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QDY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38307 | PA      | $35943.33     | 0.02%             | 2044-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SNY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21560 | PA      | $21929.41     | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27477 | PA      | $26254.77     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CYL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57520 | PA      | $53312.73     | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36211EPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32202 | PA      | $34271.14     | 0.02%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X7E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314278 | PA      | $280186.29    | 0.13%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YNZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27116 | PA      | $25497.79     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WBK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9005 | PA      | $8668.48      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391525 | PA      | $339824.47    | 0.16%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MQP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    134256 | PA      | $125962.43    | 0.06%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36297HXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24306 | PA      | $25027.37     | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356705 | PA      | $292605.02    | 0.14%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138E7U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80533 | PA      | $76762.54     | 0.04%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST            | CUSIP: 94988XAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168878 | PA      | $163898.74    | 0.08%             | 2050-08-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WE4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31629 | PA      | $29530.34     | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3128L1W89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1598 | PA      | $1664.86      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179N5X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     61822 | PA      | $62076.76     | 0.03%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133AWPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449367 | PA      | $367745.75    | 0.17%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54688 | PA      | $52803.88     | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149639 | PA      | $121534.72    | 0.06%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61893 | PA      | $60019.68     | 0.03%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179Q3K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32523 | PA      | $31635.29     | 0.01%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138MJSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25647 | PA      | $25018.74     | 0.01%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132AEEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30728 | PA      | $28327.50     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $240324.78    | 0.11%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298478 | PA      | $303748.93    | 0.14%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36176U5P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13757 | PA      | $12158.27     | 0.01%             | 2042-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WEJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47775 | PA      | $44601.88     | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179U6U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76781 | PA      | $68546.14     | 0.03%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235689 | PA      | $192810.01    | 0.09%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QC33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7768 | PA      | $7233.72      | 0.00%             | 2029-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15269 | PA      | $15077.54     | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3620A7ZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    175645 | PA      | $176053.22    | 0.08%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $44578.13     | 0.02%             | 2037-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140MA2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436652 | PA      | $384469.33    | 0.18%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VMC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    188318 | PA      | $164615.00    | 0.08%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138Y9QH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24100 | PA      | $22310.78     | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23666 | PA      | $21250.40     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307FDM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83359 | PA      | $77993.38     | 0.04%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25211 | PA      | $24771.63     | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179VSG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    210246 | PA      | $183788.94    | 0.09%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST            | CUSIP: 94989NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182570 | PA      | $173352.02    | 0.08%             | 2058-09-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3136BML55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $186477.83    | 0.09%             | 2027-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BJK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8868 | PA      | $8073.96      | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416364 | PA      | $319668.11    | 0.15%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27936 | PA      | $26136.40     | 0.01%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46713 | PA      | $41923.21     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36460 | PA      | $34839.41     | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76122 | PA      | $70656.62     | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KPYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97321 | PA      | $94108.66     | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179N2K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41576 | PA      | $40440.37     | 0.02%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJVV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96822 | PA      | $90401.39     | 0.04%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22469 | PA      | $20721.96     | 0.01%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3131XVKA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81228 | PA      | $72898.61     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27154 | PA      | $28879.75     | 0.01%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32852 | PA      | $33275.99     | 0.02%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22200 | PA      | $21587.25     | 0.01%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QRY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83920 | PA      | $78741.60     | 0.04%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14860 | PA      | $14199.28     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140M83M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305944 | PA      | $250454.33    | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3620A2WH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98851 | PA      | $97678.59     | 0.05%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XGPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310719 | PA      | $269698.53    | 0.12%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245409 | PA      | $230657.05    | 0.11%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    416111 | PA      | $353439.68    | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    625000 | PA      | $619238.28    | 0.29%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179DLT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41455 | PA      | $38795.07     | 0.02%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W9SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18964 | PA      | $16597.28     | 0.01%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JGLQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41883 | PA      | $40019.36     | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43779 | PA      | $38868.52     | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66748 | PA      | $58945.98     | 0.03%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    450000 | PA      | $413718.75    | 0.19%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 3617BMR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26995 | PA      | $25085.26     | 0.01%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72887 | PA      | $67649.61     | 0.03%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132QMHL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14344 | PA      | $13404.58     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114002 | PA      | $110100.35    | 0.05%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WXH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    199464 | PA      | $167426.33    | 0.08%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CV92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25797 | PA      | $24350.95     | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WK4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48190 | PA      | $46140.29     | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KKLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151776 | PA      | $129840.50    | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24457 | PA      | $23789.20     | 0.01%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128P8EW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5353 | PA      | $4888.87      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23568 | PA      | $21002.83     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140H1WH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29607 | PA      | $27441.68     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483857 | PA      | $411299.94    | 0.19%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11937 | PA      | $11015.09     | 0.01%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19463 | PA      | $17957.91     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179T7M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10601 | PA      | $10543.47     | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3132A5D85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82061 | PA      | $78904.98     | 0.04%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26568 | PA      | $25164.10     | 0.01%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E45H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1561 | PA      | $1513.22      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5FC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31234 | PA      | $29061.04     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TG25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18181 | PA      | $15947.17     | 0.01%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4GK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17450 | PA      | $17280.69     | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11865 | PA      | $10118.74     | 0.00%             | 2039-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10318 | PA      | $10414.26     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3620AGN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12015 | PA      | $12084.03     | 0.01%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179V4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    448224 | PA      | $390419.14    | 0.18%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132WHEG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103814 | PA      | $91652.30     | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELL FARGO COMMERCIAL MORTGAGE TRUST             | CUSIP: 95000AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123856 | PA      | $117700.91    | 0.05%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3620AU7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44068 | PA      | $40455.66     | 0.02%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3620ASVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18319 | PA      | $18320.65     | 0.01%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307BZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54658 | PA      | $51140.69     | 0.02%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK                                             | CUSIP: 06540MBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $135761.06    | 0.06%             | 2065-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     71365 | PA      | $66638.48     | 0.03%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D55X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37441 | PA      | $34465.27     | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179QL41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    111718 | PA      | $102370.24    | 0.05%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UEA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5901 | PA      | $5816.80      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HEAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38771 | PA      | $37045.80     | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140L0M20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390617 | PA      | $348154.29    | 0.16%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140K9EE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178350 | PA      | $158345.40    | 0.07%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q7L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14214 | PA      | $14054.70     | 0.01%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132D55N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23560 | PA      | $21687.47     | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F042426<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $74463.87     | 0.03%             | 2038-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41352 | PA      | $37151.67     | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36180HHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19643 | PA      | $18915.21     | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KQVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342115 | PA      | $292673.62    | 0.14%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KH5E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182696 | PA      | $156111.49    | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15540 | PA      | $15256.83     | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31292SCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40345 | PA      | $38931.21     | 0.02%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ER6B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120440 | PA      | $108190.60    | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QDXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269319 | PA      | $230095.54    | 0.11%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DNHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386900 | PA      | $364253.06    | 0.17%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240276 | PA      | $204244.28    | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179SNV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78402 | PA      | $73316.26     | 0.03%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4911 | PA      | $4295.16      | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179N5W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66295 | PA      | $64485.42     | 0.03%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56426 | PA      | $54396.12     | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133ADUS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    389054 | PA      | $319052.77    | 0.15%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17726 | PA      | $16586.43     | 0.01%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52594 | PA      | $48500.74     | 0.02%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31374CPY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12001 | PA      | $11523.66     | 0.01%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472986 | PA      | $387889.20    | 0.18%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307EF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26720 | PA      | $24995.00     | 0.01%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X6FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250535 | PA      | $215129.17    | 0.10%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70542 | PA      | $65479.85     | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XFAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433502 | PA      | $416575.35    | 0.19%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8D57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14513 | PA      | $13252.96     | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE                                       | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $91501.44     | 0.04%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133ALHG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393877 | PA      | $335735.17    | 0.16%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST            | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST     | CUSIP: 02582JJT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97074.59     | 0.04%             | 2027-05-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3131XCLE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55161 | PA      | $51663.12     | 0.02%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VSH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19688 | PA      | $17669.88     | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4W93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39807 | PA      | $38030.44     | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23166 | PA      | $19680.45     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E9SV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3040 | PA      | $2823.34      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307KA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13698 | PA      | $13057.01     | 0.01%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20219 | PA      | $17997.35     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QMA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447219 | PA      | $381748.44    | 0.18%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469753 | PA      | $386909.65    | 0.18%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28339 | PA      | $24318.25     | 0.01%             | 2049-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418EBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482870 | PA      | $431351.07    | 0.20%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JAD70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11205 | PA      | $11066.50     | 0.01%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WG36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    375417 | PA      | $326913.51    | 0.15%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KNLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475036 | PA      | $406421.44    | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3136AY6U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171356 | PA      | $161096.50    | 0.07%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54419 | PA      | $52108.68     | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80201 | PA      | $74884.66     | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X44U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48284 | PA      | $46193.00     | 0.02%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5465 | PA      | $5437.57      | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    542810 | PA      | $455246.75    | 0.21%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    350895 | PA      | $294287.47    | 0.14%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49635 | PA      | $47313.97     | 0.02%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387087 | PA      | $335988.47    | 0.16%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KKVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406066 | PA      | $334226.00    | 0.15%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 3617AX3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6642 | PA      | $6576.52      | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QGAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412361 | PA      | $336529.76    | 0.16%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140K5FK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39985 | PA      | $35638.83     | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31419AMZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8805 | PA      | $8754.10      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137H74P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $131109.11    | 0.06%             | 2055-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST                   | GM FINANCIAL AUTOMOBILE LEASING TRUST 2022 2     | CUSIP: 36266FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $243510.79    | 0.11%             | 2025-06-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78740 | PA      | $73524.06     | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27143 | PA      | $23969.74     | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127534 | PA      | $118200.24    | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45075 | PA      | $40492.66     | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128PW3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3556 | PA      | $3356.44      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14848 | PA      | $13457.53     | 0.01%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJ3A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55606 | PA      | $51494.16     | 0.02%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47276 | PA      | $44910.98     | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96818 | PA      | $86980.86     | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386360 | PA      | $315330.63    | 0.15%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36176WJA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56728 | PA      | $53495.71     | 0.02%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3131XYNZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149227 | PA      | $138368.83    | 0.06%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179U4C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12238 | PA      | $11364.55     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21147 | PA      | $18944.90     | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31412MTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6515 | PA      | $6947.84      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79043 | PA      | $71011.10     | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140GTWR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89453 | PA      | $83025.98     | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3620ASXW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13391 | PA      | $13403.00     | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417EF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78768 | PA      | $67548.43     | 0.03%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5EN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34802 | PA      | $31332.77     | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133BFB74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395862 | PA      | $373001.63    | 0.17%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5D28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101994 | PA      | $91823.62     | 0.04%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CQE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9231 | PA      | $8858.19      | 0.00%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40746 | PA      | $36929.19     | 0.02%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140K45H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113444 | PA      | $100207.50    | 0.05%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307TD99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28082 | PA      | $26540.72     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140L24V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240235 | PA      | $196615.12    | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMXB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92694 | PA      | $87611.55     | 0.04%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    468447 | PA      | $407004.78    | 0.19%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31407PTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27739 | PA      | $28338.96     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132GRZN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38112 | PA      | $35707.52     | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QLYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418410 | PA      | $342474.82    | 0.16%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179SWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    195439 | PA      | $169612.18    | 0.08%             | 2047-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5EZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15105 | PA      | $14485.41     | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    384200 | PA      | $342587.75    | 0.16%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132WE7H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44032 | PA      | $38890.98     | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60260 | PA      | $57701.87     | 0.03%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475369 | PA      | $389134.38    | 0.18%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11991 | PA      | $12337.15     | 0.01%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132Y2UE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35848 | PA      | $34246.87     | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST      | MORGAN STANLEY BAML TRUST                        | CUSIP: 61764PBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $191115.71    | 0.09%             | 2047-12-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417MKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12733 | PA      | $12665.90     | 0.01%             | 2024-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJ4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7295 | PA      | $7214.65      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3137H74Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $261669.20    | 0.12%             | 2029-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WDY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68110 | PA      | $61384.68     | 0.03%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SWW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    150699 | PA      | $136979.38    | 0.06%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X9BX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132695 | PA      | $113349.85    | 0.05%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133BKFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386643 | PA      | $373300.43    | 0.17%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54787 | PA      | $50775.10     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KJR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394181 | PA      | $324855.78    | 0.15%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133ALQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411592 | PA      | $350754.66    | 0.16%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138LQZS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225878 | PA      | $202656.31    | 0.09%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMYA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25627 | PA      | $23982.82     | 0.01%             | 2033-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WHMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101798 | PA      | $97632.43     | 0.05%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9410 | PA      | $8725.37      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J6GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30477 | PA      | $28572.62     | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QNB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467543 | PA      | $414590.96    | 0.19%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FPFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46339 | PA      | $43013.58     | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST            | CUSIP: 95002DBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95492.71     | 0.04%             | 2061-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179S2N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66115 | PA      | $60096.61     | 0.03%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179XBU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    394685 | PA      | $383619.79    | 0.18%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36202FV86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    169221 | PA      | $164596.64    | 0.08%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK                                             | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $88117.32     | 0.04%             | 2061-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23693 | PA      | $22287.51     | 0.01%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QL6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437296 | PA      | $371447.23    | 0.17%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240425 | PA      | $196777.91    | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138E1M20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70964 | PA      | $66413.26     | 0.03%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408695 | PA      | $334472.37    | 0.15%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132XVQ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53282 | PA      | $49441.65     | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138X7XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26036 | PA      | $24818.43     | 0.01%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417YRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36076 | PA      | $35849.91     | 0.02%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472343 | PA      | $401845.87    | 0.19%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12505 | PA      | $12035.75     | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74203 | PA      | $69287.74     | 0.03%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST      | MORGAN STANLEY BAML TRUST                        | CUSIP: 61764XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37207 | PA      | $36072.41     | 0.02%             | 2048-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JXRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108339 | PA      | $96447.52     | 0.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ETYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9560 | PA      | $9361.34      | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138XJDM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5964 | PA      | $5835.28      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307VYC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15922 | PA      | $15029.99     | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3129446X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249950 | PA      | $243257.30    | 0.11%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140J5QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18257 | PA      | $17081.21     | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MMUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26104 | PA      | $24742.94     | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WEJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59365 | PA      | $55420.78     | 0.03%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128M4NK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124498 | PA      | $132248.15    | 0.06%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14159 | PA      | $14106.04     | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142497 | PA      | $123759.48    | 0.06%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 31294MBC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2528 | PA      | $2433.69      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A5EY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73194 | PA      | $68102.37     | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138XUVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10088 | PA      | $9721.90      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132JNFE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242709 | PA      | $219415.28    | 0.10%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8544 | PA      | $7884.40      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44129 | PA      | $40718.23     | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179WLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    267574 | PA      | $224393.52    | 0.10%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254963 | PA      | $218112.44    | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54240 | PA      | $50722.70     | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X8EL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311003 | PA      | $264497.18    | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST      | MORGAN STANLEY BAML TRUST                        | CUSIP: 61767CAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $185200.90    | 0.09%             | 2050-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F030421<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $46919.92     | 0.02%             | 2037-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FCUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31083 | PA      | $29627.21     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33305 | PA      | $30810.76     | 0.01%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402717 | PA      | $359036.88    | 0.17%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KYTK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57428 | PA      | $50715.63     | 0.02%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5DC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106958 | PA      | $99765.52     | 0.05%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36202EVP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27981 | PA      | $29022.43     | 0.01%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55427 | PA      | $53488.66     | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV5Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146796 | PA      | $125580.75    | 0.06%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87367 | PA      | $77773.22     | 0.04%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4XP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4741 | PA      | $4232.38      | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST            | CUSIP: 94989CBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142131 | PA      | $129648.66    | 0.06%             | 2048-02-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KRM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270136 | PA      | $234475.24    | 0.11%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A5AX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510324 | PA      | $460872.79    | 0.21%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UQ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3903 | PA      | $3847.20      | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31307EMG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13748 | PA      | $12773.40     | 0.01%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE                    | CUSIP: 17328RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $79825.08     | 0.04%             | 2053-02-15      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18951 | PA      | $17731.10     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36180DVH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17549 | PA      | $16507.11     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132JM5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90451 | PA      | $83806.95     | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XAJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390979 | PA      | $305024.63    | 0.14%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QDDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58092 | PA      | $51469.06     | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q7HL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8935 | PA      | $8294.66      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129566 | PA      | $116752.68    | 0.05%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21006 | PA      | $19247.01     | 0.01%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17361 | PA      | $15733.55     | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12906 | PA      | $12721.45     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442524 | PA      | $362163.56    | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W5HC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13392 | PA      | $12107.03     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15105 | PA      | $14465.43     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TE27<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60190 | PA      | $58085.29     | 0.03%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79313 | PA      | $73689.55     | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMBB COMMERCIAL MORTGAGEE SECURITIES            | CUSIP: 46642NBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182570 | PA      | $176655.01    | 0.08%             | 2047-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140F1E99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31203 | PA      | $29373.14     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133KHW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160279 | PA      | $147846.08    | 0.07%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179MVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    486211 | PA      | $444824.90    | 0.21%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4EA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46952 | PA      | $43516.03     | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D5F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91250 | PA      | $74140.01     | 0.03%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3131XWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59587 | PA      | $53478.80     | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138EJ7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11524 | PA      | $11458.37     | 0.01%             | 2027-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XDH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137777 | PA      | $111949.15    | 0.05%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179S2R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43783 | PA      | $43363.98     | 0.02%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A5JC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27209 | PA      | $25193.42     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RQ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    110580 | PA      | $103724.75    | 0.05%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179UPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35668 | PA      | $35158.00     | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST              | CUSIP: 17324TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94151.87     | 0.04%             | 2049-02-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140M2TH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443862 | PA      | $378283.56    | 0.18%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WMXL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134325 | PA      | $121421.03    | 0.06%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YHGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41370 | PA      | $38619.11     | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CNS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5010 | PA      | $4539.95      | 0.00%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64203 | PA      | $59554.59     | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432070 | PA      | $353594.01    | 0.16%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367806 | PA      | $301050.04    | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XG6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21694 | PA      | $20850.66     | 0.01%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235010 | PA      | $227697.15    | 0.11%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23676 | PA      | $21654.19     | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D6A59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601026 | PA      | $535795.10    | 0.25%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31292SB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7553 | PA      | $7415.64      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128PS6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15493 | PA      | $15099.75     | 0.01%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3132DV3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61106 | PA      | $56380.61     | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138W9A26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62830 | PA      | $58789.36     | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QBE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44441 | PA      | $41945.46     | 0.02%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                 | CAPITAL ONE MULTI ASSET EXECUTION TRUST          | CUSIP: 14041NGA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $194509.51    | 0.09%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42177 | PA      | $39441.63     | 0.02%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452208 | PA      | $347166.83    | 0.16%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 31346Y2X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160382 | PA      | $137612.60    | 0.06%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133AER55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481626 | PA      | $394173.72    | 0.18%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12655 | PA      | $11797.73     | 0.01%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128PKWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       778 | PA      | $774.05       | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140FNLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62625 | PA      | $58716.20     | 0.03%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X63C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283140 | PA      | $244427.01    | 0.11%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8A35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9368 | PA      | $8578.58      | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133KJ4M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255275 | PA      | $218220.43    | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XGP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118890 | PA      | $101234.42    | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132XXRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10799 | PA      | $10009.72     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138EQEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33422 | PA      | $32167.20     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179W5B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    313816 | PA      | $272465.05    | 0.13%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24147 | PA      | $23541.90     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11713 | PA      | $11605.44     | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179ME48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21735 | PA      | $21140.32     | 0.01%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    104656 | PA      | $95130.85     | 0.04%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QDAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22889 | PA      | $20282.20     | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140MAVR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366192 | PA      | $333574.89    | 0.15%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33637 | PA      | $32208.49     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    159318 | PA      | $145070.95    | 0.07%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14999 | PA      | $14439.27     | 0.01%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A46Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288981 | PA      | $270471.31    | 0.13%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6976 | PA      | $6266.70      | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11472 | PA      | $10768.12     | 0.00%             | 2030-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37413 | PA      | $34644.06     | 0.02%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64088 | PA      | $58252.66     | 0.03%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WEP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68884 | PA      | $64225.57     | 0.03%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74262 | PA      | $67917.28     | 0.03%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179RJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56596 | PA      | $53088.85     | 0.02%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DZG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43602 | PA      | $35409.19     | 0.02%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33611 | PA      | $31449.03     | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST              | CUSIP: 17323CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176383 | PA      | $168042.56    | 0.08%             | 2048-02-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8513 | PA      | $7929.32      | 0.00%             | 2039-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138MFTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137795 | PA      | $128143.21    | 0.06%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179SZU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6219 | PA      | $5765.47      | 0.00%             | 2032-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75000 | PA      | $65062.50     | 0.03%             | 2053-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31980 | PA      | $30757.09     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST            | CUSIP: 95002BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122000 | PA      | $106171.32    | 0.05%             | 2052-10-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59356 | PA      | $58809.34     | 0.03%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128M8C44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1258 | PA      | $1274.30      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128M7VA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14139 | PA      | $14925.94     | 0.01%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17008 | PA      | $17167.56     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179M5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    115946 | PA      | $110576.61    | 0.05%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179R7H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60104 | PA      | $54728.69     | 0.03%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410175 | PA      | $314921.57    | 0.15%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91231 | PA      | $76722.22     | 0.04%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138EHGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221001 | PA      | $218965.70    | 0.10%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QMYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482377 | PA      | $409800.90    | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497332 | PA      | $407850.22    | 0.19%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26580 | PA      | $25039.93     | 0.01%             | 2034-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138EH4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91089 | PA      | $88218.56     | 0.04%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140KEFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139111 | PA      | $123516.77    | 0.06%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64822 | PA      | $60546.60     | 0.03%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XDBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433926 | PA      | $371435.81    | 0.17%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST              | CUSIP: 17322VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228213 | PA      | $220077.81    | 0.10%             | 2047-07-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WCUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45365 | PA      | $43775.91     | 0.02%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X7YP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35418 | PA      | $31382.56     | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179UEB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9748 | PA      | $9879.93      | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9187 | PA      | $7889.24      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3133WJDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429869 | PA      | $383953.46    | 0.18%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST                        | WORLD OMNI AUTO RECEIVABLES TRUST 2020 B         | CUSIP: 98163WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $188735.63    | 0.09%             | 2026-01-15      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20956 | PA      | $19647.03     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS DRYROCK ISSUANCE TRUST                         | BARCLAYS DRYROCK ISSUANCE TRUST                  | CUSIP: 06742LAV5<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96178.93     | 0.04%             | 2028-02-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418AD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5982 | PA      | $5819.27      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130734 | PA      | $120344.92    | 0.06%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463935 | PA      | $356149.06    | 0.16%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20363 | PA      | $19457.64     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D6AQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374031 | PA      | $333425.88    | 0.15%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132J7LC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127075 | PA      | $114846.39    | 0.05%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P76A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29352 | PA      | $28099.29     | 0.01%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XFK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94091 | PA      | $79780.44     | 0.04%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WPGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110203 | PA      | $99618.69     | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WGL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43592 | PA      | $40596.95     | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23851 | PA      | $22698.69     | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179NQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53105 | PA      | $51655.01     | 0.02%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138A9LB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140542 | PA      | $139325.05    | 0.06%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140X6UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72339 | PA      | $66609.96     | 0.03%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132ACYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15400 | PA      | $14259.84     | 0.01%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TJW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78694 | PA      | $71535.51     | 0.03%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180357 | PA      | $160135.29    | 0.07%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140E12G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1768 | PA      | $1702.31      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                | BENCHMARK MORTGAGE TRUST                         | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $79317.96     | 0.04%             | 2043-09-15      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31416WT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11473 | PA      | $11363.75     | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36296LSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46881 | PA      | $48281.71     | 0.02%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380579 | PA      | $339273.96    | 0.16%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WAE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97528 | PA      | $92599.57     | 0.04%             | 2028-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46848 | PA      | $45040.75     | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83744 | PA      | $68016.45     | 0.03%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140JGUU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27806 | PA      | $26544.88     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79959 | PA      | $71631.61     | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36177Y5P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49322 | PA      | $45031.29     | 0.02%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MMSY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13936 | PA      | $13284.58     | 0.01%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75158 | PA      | $71967.78     | 0.03%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST                      | HONDA AUTO RECEIVABLES 2021 1 OWNER TRUST        | CUSIP: 43813GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93174.27     | 0.04%             | 2028-01-21      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31417A6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47723 | PA      | $45496.03     | 0.02%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128P8DJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13629 | PA      | $12479.57     | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QGAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221038 | PA      | $181301.59    | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133A26A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71002 | PA      | $62913.22     | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138LTK98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76375 | PA      | $71473.17     | 0.03%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12609 | PA      | $12389.56     | 0.01%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140HMN26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50442 | PA      | $48200.92     | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK                                             | CUSIP: 065403BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91842.98     | 0.04%             | 2052-04-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    167248 | PA      | $151759.57    | 0.07%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21849 | PA      | $20420.12     | 0.01%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43404 | PA      | $41474.98     | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TQN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     79380 | PA      | $72157.33     | 0.03%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179R7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49592 | PA      | $48239.02     | 0.02%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179SEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29523 | PA      | $28718.21     | 0.01%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179VN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     73123 | PA      | $65628.75     | 0.03%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418BP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92976 | PA      | $88326.05     | 0.04%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64369 | PA      | $59399.97     | 0.03%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132A5GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59083 | PA      | $52879.87     | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179TUB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46486 | PA      | $44861.64     | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST                 | SG COMMERCIAL MORTGAGE SECURITIES TRUST          | CUSIP: 78419CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90661.73     | 0.04%             | 2048-10-10      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4088 | PA      | $4143.64      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435086 | PA      | $356837.14    | 0.17%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138ETXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3975 | PA      | $3702.15      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418DTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124357 | PA      | $110864.87    | 0.05%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138XWZN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2803 | PA      | $2785.16      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132JMCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54308 | PA      | $49100.71     | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST                     | CUSIP: 36252HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $232904.03    | 0.11%             | 2050-03-10      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3132DV6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219117 | PA      | $187445.35    | 0.09%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179UPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10053 | PA      | $9998.95      | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179XBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    412798 | PA      | $358135.06    | 0.17%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28519 | PA      | $27449.85     | 0.01%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3128MJZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37851 | PA      | $37192.99     | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140QKN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417132 | PA      | $354420.87    | 0.16%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3128MJY79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35378 | PA      | $32950.42     | 0.02%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 31418D3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355566 | PA      | $316964.74    | 0.15%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3140XBGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469039 | PA      | $384214.61    | 0.18%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE CORPORATION         | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    430679 | PA      | $373961.26    | 0.17%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132ADPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55939 | PA      | $49808.76     | 0.02%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORPORATION           | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455122 | PA      | $395072.82    | 0.18%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FEDERAL HOME LOAN MORTGAGE CORP                  | CUSIP: 3133A4EP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246712 | PA      | $211326.48    | 0.10%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138LSZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359494 | PA      | $334252.53    | 0.15%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325000 | PA      | $325863.28    | 0.15%             | 2053-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FEDERAL NATIONAL MORTGAGE ASSOCIATION            | CUSIP: 3138YRS41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40912 | PA      | $38870.61     | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 36179Q6P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     71777 | PA      | $67328.77     | 0.03%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** HC Capital Trust

**Signature:** Kenneth Schiltz

**Name of Signer:** Kenneth Schiltz

**Title:** Asst. Treasurer