# EDGAR Filing Document

**Accession Number:** 0001021882
**File Stem:** 0001752724-25-182573
**Filing Date:** 2025-7
**Character Count:** 1949173
**Document Hash:** a4498a047b57cccbd96aca995d8a1037
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-182573.hdr.sgml**: 20250729

**ACCESSION NUMBER**: 0001752724-25-182573

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250729

**DATE AS OF CHANGE**: 20250729

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD SCOTTSDALE FUNDS
- **CENTRAL INDEX KEY:** 0001021882

**ORGANIZATION NAME:**
- **EIN:** 232439140
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07803
- **FILM NUMBER:** 251161346

**BUSINESS ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD TREASURY FUND
- **DATE OF NAME CHANGE:** 19960829

## Series and Classes Contracts Data

### Vanguard Mortgage-Backed Securities Index Fund (Series ID: S000026865)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080859 | Admiral Shares       | VMBSX           |
| C000080860 | Institutional Shares | VMBIX           |
| C000080861 | ETF Shares           | VMBS            |

## Nport-Ex

Vanguard<sup>®</sup> Mortgage-Backed Securities Index Fund

Schedule of Investments (unaudited)

As of May 31, 2025

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's website at www.sec.gov.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** | **U.S. Government and Agency Obligations (99.4%)** |
| **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** | **Conventional Mortgage-Backed Securities (99.4%)** |  |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;1/1/28–12/1/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1683 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;4/1/27–3/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24211 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;1/1/26–6/1/49 | &nbsp;&nbsp;&nbsp;&nbsp;137989 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125043 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;9/1/25–2/1/49 | &nbsp;&nbsp;&nbsp;&nbsp;128187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;117666 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;7/1/25–6/1/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90238 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;6/1/25–11/1/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40551 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;9/1/25–11/1/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12678 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;10/1/26–6/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11335 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;6.000% | &nbsp;&nbsp;11/1/28–5/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4867 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5103 |
| <sup>1,2</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;7.000% | &nbsp;&nbsp;7/1/28–12/1/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;6/15/27–6/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;1/15/26–8/15/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6459 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;2/15/26–9/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11788 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;9/15/25–6/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8941 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;8/15/33–7/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13615 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;3/15/34–4/15/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5547 |
| <sup>1</sup> | Ginnie Mae I Pool | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;10/15/28–1/15/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 |
| <sup>1</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;2/20/51–12/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9622 |
| <sup>1,3,4</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;8/20/50–6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;514285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;413436 |
| <sup>1,4</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;6/20/27–6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;515658 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;432625 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;10/20/26–5/20/53 | &nbsp;&nbsp;&nbsp;&nbsp;511781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;449525 |
| <sup>1,3</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;12/20/25–2/20/55 | &nbsp;&nbsp;&nbsp;&nbsp;403943 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;364756 |
| <sup>1</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;9/20/25–5/20/55 | &nbsp;&nbsp;&nbsp;&nbsp;299274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;277958 |
| <sup>1,4</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;2/20/39–6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;374492 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;356618 |
| <sup>1,4</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;2/20/39–6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;499387 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;486401 |
| <sup>1,4</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;2/20/49–6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;552932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;550593 |
| <sup>1,4</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;6.000% | &nbsp;&nbsp;12/20/52–6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;357638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;362288 |
| <sup>1,4</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;10/20/28–6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;141688 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145246 |
| <sup>1,4</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;7.000% | &nbsp;&nbsp;4/20/38–6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34247 |
| <sup>1</sup> | Ginnie Mae II Pool | &nbsp;&nbsp;7.500% | &nbsp;&nbsp;1/20/54–2/20/54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1938 |
| <sup>1,2</sup> | UMBS Pool | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;7/1/35–4/1/52 | &nbsp;&nbsp;&nbsp;&nbsp;667829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;533635 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;11/1/27–6/25/55 | &nbsp;&nbsp;2853261 | &nbsp;&nbsp;&nbsp;&nbsp;2302146 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;3/1/27–7/25/55 | &nbsp;&nbsp;1998323 | &nbsp;&nbsp;&nbsp;&nbsp;1670239 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;11/1/26–7/25/55 | &nbsp;&nbsp;1232353 | &nbsp;&nbsp;&nbsp;&nbsp;1076944 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;8/1/25–6/25/55 | &nbsp;&nbsp;&nbsp;&nbsp;788480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;714411 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;6/1/25–6/25/55 | &nbsp;&nbsp;&nbsp;&nbsp;694378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;646822 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;3/1/29–6/25/55 | &nbsp;&nbsp;&nbsp;&nbsp;619565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;591466 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;9/1/25–6/25/55 | &nbsp;&nbsp;&nbsp;&nbsp;945068 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;922113 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;6/1/25–6/25/55 | &nbsp;&nbsp;1252757 | &nbsp;&nbsp;&nbsp;&nbsp;1247502 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;6.000% | &nbsp;&nbsp;12/1/25–6/25/55 | &nbsp;&nbsp;1141143 | &nbsp;&nbsp;&nbsp;&nbsp;1158270 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;6.500% | &nbsp;&nbsp;11/1/52–6/25/55 | &nbsp;&nbsp;&nbsp;&nbsp;566033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;584070 |
| <sup>1,2,4</sup> | UMBS Pool | &nbsp;&nbsp;7.000% | &nbsp;&nbsp;10/1/33–6/25/55 | &nbsp;&nbsp;&nbsp;&nbsp;115080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;120340 |
| <sup>1,2</sup> | UMBS Pool | &nbsp;&nbsp;7.500% | &nbsp;&nbsp;11/1/53–1/1/54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8063 |
|  |  |  |  |  | &nbsp;&nbsp;**15936279** |
| **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** | **Nonconventional Mortgage-Backed Securities (0.0%)** |  |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.290% | &nbsp;&nbsp;6.186% | &nbsp;&nbsp;12/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.310% | &nbsp;&nbsp;6.999% | &nbsp;&nbsp;9/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.472% | &nbsp;&nbsp;6.374% | &nbsp;&nbsp;3/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.527% | &nbsp;&nbsp;7.351% | &nbsp;&nbsp;10/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.560% | &nbsp;&nbsp;7.241% | &nbsp;&nbsp;7/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.599% | &nbsp;&nbsp;7.052% | &nbsp;&nbsp;6/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.627% | &nbsp;&nbsp;6.502% | &nbsp;&nbsp;3/1/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.676% | &nbsp;&nbsp;7.315% | &nbsp;&nbsp;10/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.690% | &nbsp;&nbsp;6.966% | &nbsp;&nbsp;10/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.690% | &nbsp;&nbsp;7.198% | &nbsp;&nbsp;9/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.700% | &nbsp;&nbsp;6.515% | &nbsp;&nbsp;12/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.709% | &nbsp;&nbsp;6.969% | &nbsp;&nbsp;8/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.755% | &nbsp;&nbsp;6.740% | &nbsp;&nbsp;5/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.788% | &nbsp;&nbsp;6.750% | &nbsp;&nbsp;5/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.792% | &nbsp;&nbsp;7.253% | &nbsp;&nbsp;3/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.796% | &nbsp;&nbsp;6.868% | &nbsp;&nbsp;8/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.799% | &nbsp;&nbsp;6.689% | &nbsp;&nbsp;11/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |

---

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.805% | &nbsp;&nbsp;6.669% | &nbsp;&nbsp;11/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.810% | &nbsp;&nbsp;6.685% | &nbsp;&nbsp;12/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.810% | &nbsp;&nbsp;6.810% | &nbsp;&nbsp;10/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.812% | &nbsp;&nbsp;6.742% | &nbsp;&nbsp;2/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.813% | &nbsp;&nbsp;6.651% | &nbsp;&nbsp;1/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.813% | &nbsp;&nbsp;6.717% | &nbsp;&nbsp;11/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.815% | &nbsp;&nbsp;6.660% | &nbsp;&nbsp;12/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.815% | &nbsp;&nbsp;6.815% | &nbsp;&nbsp;11/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.815% | &nbsp;&nbsp;7.531% | &nbsp;&nbsp;5/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.823% | &nbsp;&nbsp;6.699% | &nbsp;&nbsp;3/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.827% | &nbsp;&nbsp;7.376% | &nbsp;&nbsp;9/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.830% | &nbsp;&nbsp;6.705% | &nbsp;&nbsp;4/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.831% | &nbsp;&nbsp;7.074% | &nbsp;&nbsp;2/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.835% | &nbsp;&nbsp;6.835% | &nbsp;&nbsp;5/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.839% | &nbsp;&nbsp;6.583% | &nbsp;&nbsp;12/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31 |
| <sup>1,2,5</sup> | Fannie Mae Pool, RFUCCT1Y + 1.909% | &nbsp;&nbsp;6.909% | &nbsp;&nbsp;4/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.640% | &nbsp;&nbsp;7.086% | &nbsp;&nbsp;11/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.660% | &nbsp;&nbsp;6.660% | &nbsp;&nbsp;10/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.695% | &nbsp;&nbsp;6.596% | &nbsp;&nbsp;2/1/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.745% | &nbsp;&nbsp;6.620% | &nbsp;&nbsp;12/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.835% | &nbsp;&nbsp;6.869% | &nbsp;&nbsp;2/1/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.880% | &nbsp;&nbsp;7.684% | &nbsp;&nbsp;6/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.881% | &nbsp;&nbsp;7.606% | &nbsp;&nbsp;6/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.893% | &nbsp;&nbsp;7.489% | &nbsp;&nbsp;9/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.895% | &nbsp;&nbsp;6.837% | &nbsp;&nbsp;12/1/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.900% | &nbsp;&nbsp;7.775% | &nbsp;&nbsp;6/1/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 1.910% | &nbsp;&nbsp;6.812% | &nbsp;&nbsp;2/1/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| <sup>1,2,5</sup> | Freddie Mac Non Gold Pool, RFUCCT1Y + 2.085% | &nbsp;&nbsp;6.960% | &nbsp;&nbsp;3/1/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |
| <sup>1,5</sup> | Ginnie Mae II Pool, 1YR CMT + 1.500% | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;7/20/41–8/20/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 |
| <sup>1,5</sup> | Ginnie Mae II Pool, 1YR CMT + 1.500% | &nbsp;&nbsp;4.750% | &nbsp;&nbsp;11/20/40–12/20/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85 |
| <sup>1,5</sup> | Ginnie Mae II Pool, 1YR CMT + 1.500% | &nbsp;&nbsp;4.875% | &nbsp;&nbsp;4/20/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,5</sup> | Ginnie Mae II Pool, 1YR CMT + 1.500% | &nbsp;&nbsp;5.625% | &nbsp;&nbsp;1/20/41–2/20/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73 |
| <sup>1,5</sup> | Ginnie Mae II Pool, 1YR CMT + 2.000% | &nbsp;&nbsp;5.375% | &nbsp;&nbsp;5/20/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| <sup>1,5</sup> | Ginnie Mae II Pool, 1YR CMT + 2.000% | &nbsp;&nbsp;6.375% | &nbsp;&nbsp;11/20/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**821** |
| **Total U.S. Government and Agency Obligations (Cost $17,152,876)** | **Total U.S. Government and Agency Obligations (Cost $17,152,876)** | **Total U.S. Government and Agency Obligations (Cost $17,152,876)** | **Total U.S. Government and Agency Obligations (Cost $17,152,876)** | **Total U.S. Government and Agency Obligations (Cost $17,152,876)** | **15937100** |
|  |  |  |  | &nbsp;&nbsp;Shares |  |
| **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** | **Temporary Cash Investments (3.6%)** |
| **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** | **Money Market Fund (3.6%)** |
| <sup>6</sup> | Vanguard Market Liquidity Fund **(Cost $574,997)** | &nbsp;&nbsp;4.342% |  | &nbsp;&nbsp;5750607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**575003** |
| **Total Investments (103.0%) (Cost $17,727,873)** | **Total Investments (103.0%) (Cost $17,727,873)** | **Total Investments (103.0%) (Cost $17,727,873)** | **Total Investments (103.0%) (Cost $17,727,873)** |  | &nbsp;&nbsp;**16512103** |
| **Other Assets and Liabilities—Net (-3.0%)** | **Other Assets and Liabilities—Net (-3.0%)** | **Other Assets and Liabilities—Net (-3.0%)** | **Other Assets and Liabilities—Net (-3.0%)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(477324)** |
| **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** |  | &nbsp;&nbsp;**16034779** |

---

Cost is in $000.

---

| | |
|:---|:---|
| 1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 2 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 3 | Securities with a value of $3,152 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
| 4 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of May 31, 2025. |
| 5 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 6 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |

---

---

| |
|:---|
| 1YR—1-year. |
| CMT—Constant Maturing Treasury Rate. |
| RFUCCT1Y—Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year. |
| UMBS—Uniform Mortgage-Backed Securities. |

---

------

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and other temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities' primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.

B. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash, short-term investments, or Treasuries in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.

C. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase substantially similar securities in the future at a predetermined price on a predetermined date. The fund forgoes principal and interest paid on the securities sold. In exchange for the forgone principal and interest paid, the fund is compensated by investing the proceeds of the sale, typically in high-quality short-term fixed income securities, and earning interest on such investments. Further the fund receives a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell substantially similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

#### Level 1 —Quoted prices in active markets for identical securities.

#### Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
**Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.**

The following table summarizes the market value of the fund's investments as of May 31, 2025, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Level 1<br> ($000) | &nbsp;&nbsp;&nbsp;Level 2<br> ($000) | &nbsp;&nbsp;&nbsp;Level 3<br> ($000) | &nbsp;&nbsp;&nbsp;Total<br> ($000) |
| **Investments** |  |  |  |  |
| Assets |  |  |  |  |
| U.S. Government and Agency Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;15937100 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;15937100 |
| Temporary Cash Investments | 575003 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;575003 |
| Total | 575003 | &nbsp;&nbsp;&nbsp;15937100 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;16512103 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VANGUARD SCOTTSDALE FUNDS

- **b. Investment Company Act file number:** 811-07803

- **c. CIK number of Registrant:** 0001021882

- **d. LEI of Registrant:** 549300Y88GQ3VLJIBX57

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

  - **Street Address 1:** 100 Vanguard Boulevard

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

  - **Telephone number:** 610-669-1000

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

- **a. Name of Series:** VANGUARD MORTGAGE-BACKED SECURITIES INDEX FUND

- **b. EDGAR series identifier (if any):** S000026865

- **c. LEI of Series:** 157FPOCFDEEVUKWE4M41

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-05-31

**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:** $16598379390.70

**Total Liabilities:** $572838603.10

**Net Assets:** $16025540787.60

**Delayed Delivery Securities:** $565568779.76

**Cash Not Reported:** $29317869.98

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -36569.17363488 | **1-Year:** -652452.42891162 | **5-Year:** -1901581.09573747 | **10-Year:** -3400632.36261488 | **30-Year:** -937026.29811921

**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 C000080860 | 0.03%                | 0.31%                | -0.81%               |
| Class ID C000080859 | 0.03%                | 0.32%                | -0.85%               |
| Class ID C000080861 | 0.02%                | 0.31%                | -0.83%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-36598819.32            | $-38014915.00                              |
| Month 2  | $-383923380.87           | $305246457.49                              |
| Month 3  | $-2797169.99             | $-187206387.94                             |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ginnie Mae II Pool                                | G2 MA1603                      | CUSIP: 36179NX86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    107809 | PA      | $108555.94    | 0.00%             | 2044-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0319                      | CUSIP: 3142GQK92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4973652 | PA      | $5207681.02   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18471                      | CUSIP: 3128MMQZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    220193 | PA      | $213620.52    | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6109                      | CUSIP: 3140X9YF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4833750 | PA      | $3999139.59   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8058                      | CUSIP: 3132D55T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4399974 | PA      | $4096780.16   | 0.03%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3458                      | CUSIP: 3140X6ZY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1426676 | PA      | $1233659.17   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4306                      | CUSIP: 3140X7YC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1081101 | PA      | $966091.64    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0015                      | CUSIP: 3140XFAR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    234204 | PA      | $218281.63    | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2559                      | CUSIP: 31418BZZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231760 | PA      | $203374.20    | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0481                      | CUSIP: 3132CWRA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1987334 | PA      | $1887588.54   | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7272                      | CUSIP: 31417ECJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    340376 | PA      | $306847.95    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0593                      | CUSIP: 3132DMUS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    855632 | PA      | $743081.06    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2955                      | CUSIP: 3138WCH97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27202 | PA      | $25665.47     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1447                      | CUSIP: 36179NTC2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     77069 | PA      | $69495.19     | 0.00%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6711                      | CUSIP: 36179VN48<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1975793 | PA      | $1775102.16   | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8874                      | CUSIP: 36179X2F2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    722664 | PA      | $634372.21    | 0.00%             | 2053-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02581                      | CUSIP: 3128M4FW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251385 | PA      | $253195.20    | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1131                      | CUSIP: 3132DNHG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    595675 | PA      | $550384.12    | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2883                      | CUSIP: 3132DQFY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1645453 | PA      | $1651076.23   | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5375                      | CUSIP: 3140XL6M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5266928 | PA      | $4182247.92   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08369                      | CUSIP: 3128MJMT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    187902 | PA      | $189132.49    | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8427                      | CUSIP: 36179XLG9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19077922 | PA      | $18171163.85  | 0.11%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91876                      | CUSIP: 312940CM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73914 | PA      | $74394.40     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3057                      | CUSIP: 3132DQME3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1900527 | PA      | $1900042.83   | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3956                      | CUSIP: 31418DME9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    583329 | PA      | $554598.39    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02682                      | CUSIP: 3128M4J38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9905 | PA      | $10642.36     | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7168                      | CUSIP: 3140XN6E9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2470601 | PA      | $2604239.48   | 0.02%             | 2054-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4510                      | CUSIP: 36179TAK1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3605857 | PA      | $3259874.62   | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9606                      | CUSIP: 36179YU77<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6977312 | PA      | $7067861.82   | 0.04%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4441                      | CUSIP: 3140X75B1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1832154 | PA      | $1608899.58   | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0036                      | CUSIP: 3140XFBE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1957486 | PA      | $1726300.18   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9846                      | CUSIP: 3138ER5G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    662309 | PA      | $642197.03    | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03698                      | CUSIP: 3128M5NP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63663 | PA      | $66829.60     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE1806                      | CUSIP: 31419CAG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2000 | PA      | $1990.84      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890833                      | CUSIP: 31410LV25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200442 | PA      | $181798.97    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3387                      | CUSIP: 3140X6XR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1535316 | PA      | $1492861.73   | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8473                      | CUSIP: 3132DWMW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5334159 | PA      | $5034660.20   | 0.03%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3092                      | CUSIP: 3140QANJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1866044 | PA      | $1789552.63   | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6822                      | CUSIP: 36179VSK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3276811 | PA      | $3037634.23   | 0.02%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782373                      | CUSIP: 36241KT65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1507 | PA      | $1572.75      | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR7400                      | CUSIP: 3138W5GJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181789 | PA      | $162727.64    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8504                      | CUSIP: 3132DWNV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1531651 | PA      | $1445532.85   | 0.01%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737689                      | CUSIP: 3620ARRJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     75501 | PA      | $72473.62     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67700                      | CUSIP: 3132XCRV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5167824 | PA      | $4715961.06   | 0.03%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08785                      | CUSIP: 3128MJ2T6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245948 | PA      | $229756.54    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4746                        | CUSIP: 36202FHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    575574 | PA      | $566266.84    | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2611                      | CUSIP: 3142GS3V8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6707709 | PA      | $6657266.79   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2892                      | CUSIP: 36179RF95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2731267 | PA      | $2492033.72   | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8894                      | CUSIP: 3140XQ3C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10812027 | PA      | $9393181.25   | 0.06%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723430                      | CUSIP: 3620A9VX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    357151 | PA      | $351193.84    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4559                        | CUSIP: 36202FB47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    619318 | PA      | $623622.08    | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04877                      | CUSIP: 3128M6XE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17287 | PA      | $18132.31     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995018                      | CUSIP: 31416BK72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    244133 | PA      | $251040.04    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF5472                      | CUSIP: 3133BTCH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7215591 | PA      | $7311861.35   | 0.05%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0180                      | CUSIP: 3140Q7FW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92985 | PA      | $84045.75     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8004                      | CUSIP: 3132DV3M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1913091 | PA      | $1654266.65   | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08682                      | CUSIP: 3128MJXL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203723 | PA      | $190821.00    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8997                      | CUSIP: 31417F7K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31068 | PA      | $30333.48     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8347                      | CUSIP: 36179XHY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  38144265 | PA      | $36331298.30  | 0.23%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1954                      | CUSIP: 3132AEE36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287269 | PA      | $282993.59    | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9607                      | CUSIP: 36179YU85<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6917343 | PA      | $7072065.48   | 0.04%             | 2054-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8221                      | CUSIP: 3140XQD38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5061510 | PA      | $5152924.47   | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18360                      | CUSIP: 3128PYJD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    131095 | PA      | $129407.22    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07068                      | CUSIP: 3128M9FH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270711 | PA      | $272499.54    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3148                      | CUSIP: 3140QAQA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70668 | PA      | $68492.76     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18587                      | CUSIP: 3128MMUM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1028708 | PA      | $999650.59    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09002                      | CUSIP: 31294UAB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180264 | PA      | $177008.47    | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725946                      | CUSIP: 31402DP79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    246936 | PA      | $253135.65    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO9694                      | CUSIP: 3138M1XY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148163 | PA      | $140910.69    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4709                      | CUSIP: 31418EGT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4083995 | PA      | $3975033.08   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9849                      | CUSIP: 36179Y5J9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3335406 | PA      | $3153685.40   | 0.02%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2090                      | CUSIP: 3132AEKB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    226469 | PA      | $196183.73    | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3442                      | CUSIP: 3140X6ZG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    498111 | PA      | $428697.18    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3853                        | CUSIP: 36202EH69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      7181 | PA      | $7492.48      | 0.00%             | 2036-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7340                      | CUSIP: 3140QTEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4404381 | PA      | $4461905.53   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8647                      | CUSIP: 36179XTC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13884051 | PA      | $13537188.48  | 0.08%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2044                      | CUSIP: 36179QHV6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     85553 | PA      | $83525.55     | 0.00%             | 2029-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2179                      | CUSIP: 3140XHM53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10233853 | PA      | $8059116.45   | 0.05%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4299                      | CUSIP: 3140J8X57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414740 | PA      | $408927.51    | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3015                      | CUSIP: 3140XJK51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2152570 | PA      | $1956630.67   | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7248                      | CUSIP: 3138WHBS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    675539 | PA      | $631511.82    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2197                      | CUSIP: 31418BNP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    230196 | PA      | $218472.53    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4644                      | CUSIP: 31418EES5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    551427 | PA      | $506570.69    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783024                      | CUSIP: 36241LLD6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    151267 | PA      | $151969.70    | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3867                      | CUSIP: 31417AJM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204560 | PA      | $190110.45    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02998                      | CUSIP: 3128M4UX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109550 | PA      | $114803.68    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q15774                      | CUSIP: 3132J62G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450695 | PA      | $403778.15    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1701                      | CUSIP: 3140XG3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    405666 | PA      | $372159.85    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3707                      | CUSIP: 3131XKDL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109241 | PA      | $101335.22    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1364                      | CUSIP: 31416WQS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7612 | PA      | $7584.52      | 0.00%             | 2025-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2856                      | CUSIP: 31329LE57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14430 | PA      | $14121.00     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5305                        | CUSIP: 36202F3N4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    187989 | PA      | $179739.60    | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW8597                      | CUSIP: 3138XYRT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    583300 | PA      | $569521.01    | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4746                      | CUSIP: 3132A5HX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    566819 | PA      | $494207.34    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5406                      | CUSIP: 3132DTAF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2511429 | PA      | $2602525.27   | 0.02%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7535                      | CUSIP: 36179WLQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18656635 | PA      | $16273758.88  | 0.10%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 990741                      | CUSIP: 31415VS63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3644 | PA      | $3823.03      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4947                        | CUSIP: 36202FP83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    185285 | PA      | $186572.70    | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07939                      | CUSIP: 3128MAEL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    379843 | PA      | $371988.60    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1556                      | CUSIP: 3133L7WR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18530936 | PA      | $17254004.08  | 0.11%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03163                      | CUSIP: 3128M4Z48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39483 | PA      | $40668.86     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8080                      | CUSIP: 3132D56R8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1886415 | PA      | $1754657.32   | 0.01%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91928                      | CUSIP: 3128P8D99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    336473 | PA      | $318919.45    | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ8719                      | CUSIP: 3138MQVM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172785 | PA      | $168985.74    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7733                      | CUSIP: 31417ESX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2252929 | PA      | $2020255.86   | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5933                      | CUSIP: 36179USW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    876881 | PA      | $864496.67    | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06072                      | CUSIP: 3128M8CH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59218 | PA      | $62090.97     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6865                      | CUSIP: 36179VTW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17441333 | PA      | $14634771.49  | 0.09%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14660                      | CUSIP: 3128MDMH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182186 | PA      | $177498.62    | 0.00%             | 2028-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3906                      | CUSIP: 3138ELKU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    236777 | PA      | $237967.51    | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15454                      | CUSIP: 3128MEH79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29439 | PA      | $28841.97     | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5024                      | CUSIP: 3140J9SN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170574 | PA      | $148456.38    | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8997                      | CUSIP: 3140XC7K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5376133 | PA      | $4436113.01   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18611                      | CUSIP: 3128MMVD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9564 | PA      | $9174.82      | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8347                      | CUSIP: 3132DWHY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1070206 | PA      | $1010869.83   | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8256                      | CUSIP: 3132DWE58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13848621 | PA      | $12717774.42  | 0.08%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3339                      | CUSIP: 3132DQV86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1755528 | PA      | $1723502.65   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254693                      | CUSIP: 31371K3A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31596 | PA      | $32312.09     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0463                      | CUSIP: 36179MQQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    181844 | PA      | $173618.69    | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5463                      | CUSIP: 31419GB94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1387913 | PA      | $1324651.26   | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2120                      | CUSIP: 3140XHLA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    818639 | PA      | $754349.14    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0093                      | CUSIP: 3132DMC60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1751579 | PA      | $1728793.95   | 0.01%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8398                      | CUSIP: 3132DWKK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4421021 | PA      | $4608525.01   | 0.03%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5070                      | CUSIP: 3140XLT40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3139636 | PA      | $3195359.54   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3572                      | CUSIP: 3140X66J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175072 | PA      | $168060.00    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3240                      | CUSIP: 31418CS62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    502437 | PA      | $481370.72    | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8162                      | CUSIP: 3140XQB89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7162696 | PA      | $7265311.15   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3283                      | CUSIP: 31418CUH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    690331 | PA      | $665595.28    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738546                      | CUSIP: 3620ASP78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    104648 | PA      | $100333.89    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3042                      | CUSIP: 3140XJLY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3831922 | PA      | $3648203.79   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14606                      | CUSIP: 3128MDKT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15668 | PA      | $15358.80     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08789                      | CUSIP: 3128MJ2X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1237728 | PA      | $1156244.61   | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9723                      | CUSIP: 36179YYU2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9224643 | PA      | $8710531.97   | 0.05%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1746                      | CUSIP: 3138WA5G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264683 | PA      | $258758.53    | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0392                      | CUSIP: 31427MNJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7899156 | PA      | $8010964.47   | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0366                      | CUSIP: 3618N5MQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16180000 | PA      | $16083005.75  | 0.10%             | 2055-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2062                      | CUSIP: 3138WPJG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    865525 | PA      | $845051.22    | 0.01%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4466                      | CUSIP: 31418D6C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18132009 | PA      | $14842624.76  | 0.09%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08581                      | CUSIP: 3128MJUF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    235556 | PA      | $216713.36    | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8140                      | CUSIP: 3132DWBH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15964250 | PA      | $12486969.84  | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2833                      | CUSIP: 3138EKEF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2388486 | PA      | $2268116.95   | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08620                      | CUSIP: 3128MJVN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    973474 | PA      | $892374.95    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778973                      | CUSIP: 36176XFN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    517346 | PA      | $480924.76    | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6740                      | CUSIP: 3140XNP24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4310738 | PA      | $4098674.80   | 0.03%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02390                      | CUSIP: 3128LXUP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109357 | PA      | $114539.19    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 479494                      | CUSIP: 36209RUT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     70344 | PA      | $67324.29     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3145                      | CUSIP: 3132DQP67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8773167 | PA      | $8786698.65   | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09055                      | CUSIP: 31292SBY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221771 | PA      | $209993.08    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5153                      | CUSIP: 3133KYWN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5343274 | PA      | $4491405.08   | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9858                      | CUSIP: 3133KR5T7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3609842 | PA      | $3669398.38   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2802                      | CUSIP: 31418CDG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    980456 | PA      | $928094.64    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK3774                      | CUSIP: 3131X7FP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138776 | PA      | $137019.16    | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0052                      | CUSIP: 3132D9BV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4776586 | PA      | $4348289.09   | 0.03%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0453                      | CUSIP: 3132DMQE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5819304 | PA      | $4631777.44   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782371                      | CUSIP: 36241KT40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    154582 | PA      | $155327.71    | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555679                      | CUSIP: 31385XJY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    319492 | PA      | $321166.46    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0424                      | CUSIP: 3132CWPH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3286890 | PA      | $2996942.45   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7502                      | CUSIP: 3132DVKP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7794156 | PA      | $7010775.67   | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5105                      | CUSIP: 3133KYU64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6003490 | PA      | $5094101.43   | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8798                      | CUSIP: 36179XX35<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4930335 | PA      | $4538111.96   | 0.03%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2967                      | CUSIP: 3140XJJM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2656442 | PA      | $2582246.63   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2903                      | CUSIP: 3140X6GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    550316 | PA      | $499819.42    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7147                      | CUSIP: 3138EP5H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    571768 | PA      | $555477.37    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4315                      | CUSIP: 3140X7YM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    953536 | PA      | $856003.08    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91557                      | CUSIP: 3128P7WS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    473269 | PA      | $455269.59    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5488                      | CUSIP: 3140X9C29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2478394 | PA      | $2307575.01   | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5303                      | CUSIP: 3132DS3L4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9358886 | PA      | $9510073.64   | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4248                      | CUSIP: 3132E0WH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2493309 | PA      | $2540677.55   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08364                      | CUSIP: 3128MJMN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    122599 | PA      | $120839.36    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4144                      | CUSIP: 3138LUTA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    589498 | PA      | $559216.87    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5174                        | CUSIP: 36202FXB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1252795 | PA      | $1198645.79   | 0.01%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03205                      | CUSIP: 3128M43N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81797 | PA      | $83904.72     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4652                      | CUSIP: 36179TEZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6838155 | PA      | $6177760.42   | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5497                      | CUSIP: 3140X9DB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1360039 | PA      | $1237515.31   | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4071                      | CUSIP: 36179SQY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     29040 | PA      | $28454.94     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725589                      | CUSIP: 31402DC24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57431 | PA      | $57748.86     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1179                      | CUSIP: 31427NJZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3576282 | PA      | $3543800.06   | 0.02%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18525                      | CUSIP: 3128MMSP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238332 | PA      | $234889.64    | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4120                      | CUSIP: 31418DSJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10638856 | PA      | $8755373.49   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08742                      | CUSIP: 3128MJZG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1041752 | PA      | $945780.18    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4919                      | CUSIP: 31418EPD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1839944 | PA      | $1829556.95   | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7016                      | CUSIP: 3138WGYN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437214 | PA      | $396549.38    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08706                      | CUSIP: 3128MJYC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3331815 | PA      | $3025912.10   | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A94611                      | CUSIP: 312943DQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105542 | PA      | $103880.72    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87580                      | CUSIP: 312934M58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     97607 | PA      | $98246.32     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08677                      | CUSIP: 3128MJXF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1274938 | PA      | $1194990.01   | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3768                      | CUSIP: 3132E0FH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3517347 | PA      | $3131947.29   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06025                      | CUSIP: 3128M8A20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43950 | PA      | $43272.62     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4078                      | CUSIP: 31418DQ88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15184478 | PA      | $12496246.64  | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3900                      | CUSIP: 31417AKN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47539 | PA      | $46957.16     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1041                      | CUSIP: 3132DNEN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4527973 | PA      | $3923869.31   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4380                      | CUSIP: 31418D2N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3851714 | PA      | $3308344.58   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9839                      | CUSIP: 31417G4Z6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    772699 | PA      | $711445.38    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8432                      | CUSIP: 3132DWLM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28284626 | PA      | $28581125.57  | 0.18%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3611                      | CUSIP: 3140J8AM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287396 | PA      | $272326.45    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q03620                      | CUSIP: 3132GJVM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1008344 | PA      | $960595.92    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3855                      | CUSIP: 3140QPH91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2014903 | PA      | $1861704.71   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5530                      | CUSIP: 36179UEB4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    264521 | PA      | $260784.91    | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1041                      | CUSIP: 3140XGEP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8045862 | PA      | $7643895.47   | 0.05%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0187                      | CUSIP: 3140EUF53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170270 | PA      | $163764.68    | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8453                      | CUSIP: 3132DWMA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6824409 | PA      | $6764558.61   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8176                      | CUSIP: 3132DWCM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    699574 | PA      | $517005.09    | 0.00%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08588                      | CUSIP: 3128MJUN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    426848 | PA      | $403644.06    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786679                      | CUSIP: 3622ACJY7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3187309 | PA      | $3182395.13   | 0.02%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8485                      | CUSIP: 3138ANNB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    123858 | PA      | $124478.20    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5026                      | CUSIP: 3133KYSP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    365823 | PA      | $325564.62    | 0.00%             | 2039-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX7566                      | CUSIP: 3138Y9MQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450006 | PA      | $411821.18    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08856                      | CUSIP: 3128MJ5S5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84361 | PA      | $75930.53     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890707                      | CUSIP: 31410LR46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2407457 | PA      | $2315495.80   | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1175                      | CUSIP: 31418AJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    567245 | PA      | $510401.02    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1496                      | CUSIP: 3132CXUV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    999901 | PA      | $1000614.97   | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA5350                      | CUSIP: 36178C5K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     20083 | PA      | $19759.78     | 0.00%             | 2027-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745515                      | CUSIP: 31403DGY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50570 | PA      | $50866.66     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82888                       | CUSIP: 36225FF61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     19351 | PA      | $19616.37     | 0.00%             | 2041-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05661                      | CUSIP: 3128M7TS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153312 | PA      | $154319.94    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6089                      | CUSIP: 36179UXS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11214276 | PA      | $9817002.87   | 0.06%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5197                      | CUSIP: 3140J9X30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1152488 | PA      | $1117491.19   | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0951                      | CUSIP: 3132DNBU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6749189 | PA      | $5841357.48   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06530                      | CUSIP: 3128M8ST2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62731 | PA      | $65870.70     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9164                      | CUSIP: 3132AAFD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    600090 | PA      | $575157.37    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC2043                      | CUSIP: 3133L8HU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1959400 | PA      | $1721446.60   | 0.01%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3135                      | CUSIP: 3138WCPV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215219 | PA      | $197495.76    | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6141                      | CUSIP: 3140XMZF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4761553 | PA      | $3743750.97   | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00632                      | CUSIP: 31292GVZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       502 | PA      | $523.54       | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4623                      | CUSIP: 3140QQD51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1777093 | PA      | $1727458.02   | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07020                      | CUSIP: 3128M9DZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6461 | PA      | $6507.66      | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8268                      | CUSIP: 36179XFH4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24185416 | PA      | $23035902.65  | 0.14%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08837                      | CUSIP: 3128MJ4X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2267514 | PA      | $2173150.79   | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BU8825                      | CUSIP: 3140MAYX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    977619 | PA      | $799044.20    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1828                      | CUSIP: 3132DPA57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5268272 | PA      | $5005811.61   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6773                      | CUSIP: 3140XNQ31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5902219 | PA      | $6230701.40   | 0.04%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4303                      | CUSIP: 31418DX98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1166972 | PA      | $1056006.94   | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6867                      | CUSIP: 3138EPTZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264116 | PA      | $257499.85    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY7263                      | CUSIP: 3140NQB98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6206714 | PA      | $6285839.31   | 0.04%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 933313                      | CUSIP: 31412SK20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1275 | PA      | $1319.27      | 0.00%             | 2038-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5383                      | CUSIP: 3140X86V4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1187139 | PA      | $1126767.68   | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781840                      | CUSIP: 36241KBH0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    173764 | PA      | $171976.50    | 0.00%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9172                      | CUSIP: 36179YFM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5549244 | PA      | $5635566.80   | 0.04%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890386                      | CUSIP: 31410LF31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1407 | PA      | $1447.31      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG4091                      | CUSIP: 3133C4RL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4284625 | PA      | $4159264.57   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5220                      | CUSIP: 31418EYS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    724203 | PA      | $741910.80    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 6.5 6/25                  | CUSIP: 21H062669<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11380000 | PA      | $11623346.51  | 0.07%             | 2025-06-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8726                      | CUSIP: 36179XVT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6729622 | PA      | $6712938.14   | 0.04%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91619                      | CUSIP: 3128P7YQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    485089 | PA      | $465511.20    | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7565                      | CUSIP: 3132DVMN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1273844 | PA      | $1275808.32   | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4333                      | CUSIP: 31418DY71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10695256 | PA      | $9068721.11   | 0.06%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8249                      | CUSIP: 3133KQEW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1521118 | PA      | $1514432.97   | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5784                      | CUSIP: 3140XMNA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2963369 | PA      | $3033558.41   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB0352                      | CUSIP: 3133KTL99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2195678 | PA      | $1814536.10   | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5077                      | CUSIP: 3140X8UB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    825415 | PA      | $722256.24    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2522                      | CUSIP: 36179QYT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    184678 | PA      | $175208.91    | 0.00%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5986                      | CUSIP: 3140QDUL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6926721 | PA      | $5743719.71   | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5991                      | CUSIP: 3140X9UR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3617612 | PA      | $2995244.74   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1584                      | CUSIP: 31418AXN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    377167 | PA      | $366398.12    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784106                      | CUSIP: 3622A2R38<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4135791 | PA      | $3751886.20   | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY1265                      | CUSIP: 3140NHMP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    432761 | PA      | $420099.50    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2503                      | CUSIP: 3132DPX86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2082499 | PA      | $2039302.06   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0698                      | CUSIP: 31417YX44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21511 | PA      | $21376.87     | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2091                      | CUSIP: 3132AEKC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184139 | PA      | $175874.88    | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E03048                      | CUSIP: 31294ML58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75771 | PA      | $74828.68     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08331                      | CUSIP: 3128MJLM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215839 | PA      | $212871.31    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759087                      | CUSIP: 36230UCY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    428346 | PA      | $410933.77    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2805                      | CUSIP: 3140QADK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    762955 | PA      | $730012.20    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3395                      | CUSIP: 31416YXZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155291 | PA      | $152546.85    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1640                      | CUSIP: 3132ADZD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1389914 | PA      | $1332939.87   | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889505                      | CUSIP: 31410KGN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53473 | PA      | $55870.37     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7314                      | CUSIP: 3138LYDU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265631 | PA      | $252559.85    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7977                      | CUSIP: 3138LY2K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209283 | PA      | $206182.11    | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3988                      | CUSIP: 31418DNE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    365708 | PA      | $332344.86    | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 929009                      | CUSIP: 31412MDN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9910 | PA      | $10388.78     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2921                      | CUSIP: 3138EKG74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2109661 | PA      | $1955746.26   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2332                      | CUSIP: 3133KHSV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    479740 | PA      | $414535.49    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5094                      | CUSIP: 3133KYUT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3040566 | PA      | $2508379.70   | 0.02%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0455                      | CUSIP: 31427MQH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14717568 | PA      | $11576225.03  | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8295                      | CUSIP: 3132D6GC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1802379 | PA      | $1846449.74   | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5118                      | CUSIP: 3138MLVL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150155 | PA      | $146938.86    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95825                      | CUSIP: 312944PJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    432762 | PA      | $413646.44    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190360                      | CUSIP: 31368HMH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161763 | PA      | $162700.26    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4065                      | CUSIP: 3140X7QT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175224 | PA      | $160444.35    | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9394                      | CUSIP: 3138ERNL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6567411 | PA      | $5676847.22   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7796                      | CUSIP: 3140QTUW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4297169 | PA      | $4475866.98   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5985                      | CUSIP: 36179UUJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1323793 | PA      | $1190983.86   | 0.01%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1027                      | CUSIP: 31418AD96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    519444 | PA      | $481606.27    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4693                      | CUSIP: 3132A5GA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4184787 | PA      | $3661778.88   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7500                      | CUSIP: 3132DVKM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1222603 | PA      | $1144450.57   | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254869                      | CUSIP: 31371LCE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    391137 | PA      | $400418.96    | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0499                      | CUSIP: 3132DMRU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    483938 | PA      | $419523.90    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2684                      | CUSIP: 3132DP6V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2201619 | PA      | $1731701.75   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4924                      | CUSIP: 3140XLPJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19072340 | PA      | $16429443.65  | 0.10%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91581                      | CUSIP: 3128P7XJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1161489 | PA      | $1117317.53   | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3373                      | CUSIP: 3140X6XB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    838148 | PA      | $813662.28    | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4807                      | CUSIP: 31418EKV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14917020 | PA      | $14851458.05  | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3188                      | CUSIP: 3132DQRH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4182972 | PA      | $4255251.23   | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BK5546                      | CUSIP: 3617J6ET7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    202230 | PA      | $181279.48    | 0.00%             | 2049-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08675                      | CUSIP: 3128MJXD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1321151 | PA      | $1160858.71   | 0.01%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08727                      | CUSIP: 3128MJYZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1213330 | PA      | $1101551.68   | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1883                      | CUSIP: 3132DPCU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2673829 | PA      | $2452983.22   | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q25103                      | CUSIP: 3132M5KQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12704 | PA      | $12012.00     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4457                      | CUSIP: 3140X75T2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    187441 | PA      | $178736.41    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02703                      | CUSIP: 31294MAC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       474 | PA      | $473.43       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0305                      | CUSIP: 3140XFKT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2907768 | PA      | $2376436.75   | 0.01%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0827                      | CUSIP: 3138A14M0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       515 | PA      | $512.29       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4016                      | CUSIP: 31418DPA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5923162 | PA      | $5246212.90   | 0.03%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4184                      | CUSIP: 31418RUJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35933 | PA      | $36117.42     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3179                      | CUSIP: 3140XJQ97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29629592 | PA      | $23212808.92  | 0.14%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0934                      | CUSIP: 31418ABC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8118 | PA      | $8018.71      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9578                      | CUSIP: 3138ERUC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56740 | PA      | $53739.45     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8651                      | CUSIP: 36179XTG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    510365 | PA      | $527713.69    | 0.00%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190340                      | CUSIP: 31368HLV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81618 | PA      | $82050.73     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G31003                      | CUSIP: 3132J4KR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563256 | PA      | $512999.18    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786858                      | CUSIP: 3622ACQK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2956447 | PA      | $3018142.56   | 0.02%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4102                      | CUSIP: 31417ARY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    316647 | PA      | $293660.34    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3544                      | CUSIP: 31418C5E0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    310495 | PA      | $296177.62    | 0.00%             | 2038-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0220                      | CUSIP: 36179MG53<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1554696 | PA      | $1437109.04   | 0.01%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9290                      | CUSIP: 31417WKC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164933 | PA      | $165753.87    | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0855                      | CUSIP: 36179M5Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    164981 | PA      | $166125.73    | 0.00%             | 2043-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9108                      | CUSIP: 36178WDM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    558813 | PA      | $503046.37    | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2444                      | CUSIP: 3140XHWE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4163577 | PA      | $3876934.60   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08694                      | CUSIP: 3128MJXY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    582222 | PA      | $545347.91    | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3164                      | CUSIP: 3140X6QS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1165476 | PA      | $1051977.45   | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2441                      | CUSIP: 3132DPWA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2382220 | PA      | $2437454.06   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738535                      | CUSIP: 3620ASPU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    189263 | PA      | $181675.25    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3407                      | CUSIP: 31416YYD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10051 | PA      | $9968.27      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4122                      | CUSIP: 31418DSL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113213 | PA      | $100277.75    | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5124                      | CUSIP: 3140QQVS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4481298 | PA      | $4242639.06   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8266                      | CUSIP: 36179XFF8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5273486 | PA      | $4709816.39   | 0.03%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2003                      | CUSIP: 3140J6GM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2609845 | PA      | $2436490.14   | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8089                      | CUSIP: 3132D57A4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4049436 | PA      | $3666912.69   | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18659                      | CUSIP: 3128MMWV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    891466 | PA      | $861687.56    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5801                      | CUSIP: 3133KMNS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1628272 | PA      | $1345602.88   | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89760                      | CUSIP: 312936ZZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178144 | PA      | $175525.78    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8053                      | CUSIP: 3140XP5P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6011599 | PA      | $5871403.80   | 0.04%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0016                      | CUSIP: 3138W9AS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    256578 | PA      | $228923.08    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786358                      | CUSIP: 3622AB5T5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10614199 | PA      | $10075716.67  | 0.06%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8954                      | CUSIP: 3140QG5Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1237833 | PA      | $1019462.77   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3195                      | CUSIP: 3138EKRR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31116 | PA      | $30413.81     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67708                      | CUSIP: 3132XCR56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1104954 | PA      | $1003504.87   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0614                      | CUSIP: 31417YVG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    288641 | PA      | $275274.31    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8083                      | CUSIP: 3132D56U1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11042484 | PA      | $9739419.84   | 0.06%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735667                      | CUSIP: 31402RJL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189358 | PA      | $190400.78    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5583                      | CUSIP: 3138A7FZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    502017 | PA      | $493484.02    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97040                      | CUSIP: 312945ZD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1195583 | PA      | $1141623.46   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7486                      | CUSIP: 3132DVJ71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8934328 | PA      | $7313523.87   | 0.05%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4210                      | CUSIP: 31418DVC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14125412 | PA      | $11598190.41  | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8948                      | CUSIP: 36179X5H5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18900679 | PA      | $18853822.09  | 0.12%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4269                      | CUSIP: 31418DW73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1224323 | PA      | $1076887.42   | 0.01%             | 2041-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01806                      | CUSIP: 3128LXAF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29831 | PA      | $30043.33     | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0203                      | CUSIP: 3618N5GM5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12475109 | PA      | $11779842.83  | 0.07%             | 2055-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8128                      | CUSIP: 3132DWA52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  52411183 | PA      | $41027908.75  | 0.26%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0885                      | CUSIP: 3140EU6X2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1705016 | PA      | $1494056.53   | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4722                      | CUSIP: 36179TG74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    131821 | PA      | $131071.52    | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9643                      | CUSIP: 3140QVWD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3581343 | PA      | $3496424.20   | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7986                      | CUSIP: 36179W2T4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24402720 | PA      | $19625728.56  | 0.12%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 486598                      | CUSIP: 36210ART6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1390 | PA      | $1419.57      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784605                      | CUSIP: 3622AAAE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1023599 | PA      | $1005980.29   | 0.01%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8925                      | CUSIP: 3140XQ4K0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3157804 | PA      | $3207555.15   | 0.02%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6312                      | CUSIP: 3140XNAN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4723893 | PA      | $4946169.68   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04924                      | CUSIP: 3128M6YV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49128 | PA      | $51554.46     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4720                      | CUSIP: 36179TG58<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1555550 | PA      | $1448814.87   | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5233                        | CUSIP: 36202FY67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1866660 | PA      | $1785449.96   | 0.01%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257003                      | CUSIP: 31371NNU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46890 | PA      | $48264.05     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3953                      | CUSIP: 3140XKMB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4891754 | PA      | $4398561.52   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8469                      | CUSIP: 3132DWMS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9017416 | PA      | $8935514.20   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9906                      | CUSIP: 36180AAF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18508605 | PA      | $18394758.27  | 0.11%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8768                      | CUSIP: 3140XCW61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3707247 | PA      | $3069459.35   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8857                      | CUSIP: 3138ETZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    815133 | PA      | $766084.06    | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5115                        | CUSIP: 36202FVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1709985 | PA      | $1681119.28   | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0073                      | CUSIP: 3132DMCJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36931 | PA      | $36136.71     | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08671                      | CUSIP: 3128MJW97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    947505 | PA      | $861104.32    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4383                      | CUSIP: 36179S2Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1556702 | PA      | $1450860.82   | 0.01%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7704                      | CUSIP: 36179WRZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  28415092 | PA      | $22848211.71  | 0.14%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698479                      | CUSIP: 36296Q6Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     83232 | PA      | $80135.30     | 0.00%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0137                      | CUSIP: 3140Y6EK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5805097 | PA      | $6016569.49   | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0525                      | CUSIP: 3138A1SP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    152862 | PA      | $145880.28    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 6 6/25                    | CUSIP: 21H060663<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3842500 | PA      | $3879821.43   | 0.02%             | 2025-06-23      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5722                      | CUSIP: 3138WFLC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3297333 | PA      | $2994773.66   | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4616                      | CUSIP: 3132DSDV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5717722 | PA      | $5986762.35   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9015                      | CUSIP: 36179YAQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10163527 | PA      | $9631233.79   | 0.06%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3090                      | CUSIP: 31418CNG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    673119 | PA      | $650116.59    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ7859                      | CUSIP: 3138MPWV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51323 | PA      | $50223.74     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725222                      | CUSIP: 31402CVP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107601 | PA      | $110174.06    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8214                      | CUSIP: 3132DWDT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27066981 | PA      | $24075843.80  | 0.15%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5386                      | CUSIP: 3132DS6X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3108192 | PA      | $3174313.24   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW1007                      | CUSIP: 3138XQDM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    853702 | PA      | $808796.93    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9780                      | CUSIP: 36179Y2M5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  35189179 | PA      | $35552380.52  | 0.22%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4183                      | CUSIP: 31418DUH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7150782 | PA      | $5871413.58   | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2495                      | CUSIP: 31418BXZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1348936 | PA      | $1224316.14   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5141                        | CUSIP: 36202FWA0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     48276 | PA      | $48611.02     | 0.00%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8276                      | CUSIP: 3132DWFR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6858492 | PA      | $6675505.70   | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6598                      | CUSIP: 3140XNKL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8189404 | PA      | $7269048.36   | 0.05%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91596                      | CUSIP: 3128P7XZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    631428 | PA      | $606710.14    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8149                      | CUSIP: 36179XBS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4070138 | PA      | $3642722.71   | 0.02%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7721                      | CUSIP: 3140XBSK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6319218 | PA      | $5234046.17   | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18474                      | CUSIP: 3128MMQ48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176439 | PA      | $171172.79    | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2801                      | CUSIP: 3140QADF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194539 | PA      | $186564.63    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783390                      | CUSIP: 36241LXT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    252811 | PA      | $242242.53    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G30703                      | CUSIP: 3132J4AD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159143 | PA      | $154797.47    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BM3956                      | CUSIP: 3617JUMD0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    269449 | PA      | $273748.55    | 0.00%             | 2049-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5341                      | CUSIP: 31418E5B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3564410 | PA      | $3269449.83   | 0.02%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7582                      | CUSIP: 3138WHM82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2700698 | PA      | $2366545.01   | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1366                      | CUSIP: 31416WQU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1366 | PA      | $1361.73      | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4286                      | CUSIP: 3140X7XQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2065302 | PA      | $1626416.82   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2076                      | CUSIP: 3132DPJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3108370 | PA      | $2435200.29   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ0535                      | CUSIP: 3138MFSZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    513547 | PA      | $464302.28    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93497                      | CUSIP: 3129413E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191093 | PA      | $188192.71    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93093                      | CUSIP: 312941NJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    322889 | PA      | $318142.42    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6709                      | CUSIP: 36179VN22<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7429588 | PA      | $6234060.69   | 0.04%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2909                      | CUSIP: 31418CGT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    696438 | PA      | $659302.96    | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q44452                      | CUSIP: 3132WH5N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    729291 | PA      | $638984.26    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03812                      | CUSIP: 3128M5R93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108303 | PA      | $111649.33    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9668                      | CUSIP: 36179YW59<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6017485 | PA      | $5987523.00   | 0.04%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93990                      | CUSIP: 312942NF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1933009 | PA      | $1848875.03   | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1200                      | CUSIP: 31418AKN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1355348 | PA      | $1302719.40   | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8497                      | CUSIP: 3140XCNP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5875112 | PA      | $5351341.43   | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02897                      | CUSIP: 31294MGE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $28.29        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5487                      | CUSIP: 31419GCZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11345 | PA      | $11289.51     | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3075                      | CUSIP: 3140X6MZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2607076 | PA      | $2437919.30   | 0.02%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03517                      | CUSIP: 31292K4A2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203724 | PA      | $200552.53    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5122                      | CUSIP: 3140XLVQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1895113 | PA      | $1951844.69   | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8430                      | CUSIP: 3132DWLK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3369357 | PA      | $3264457.72   | 0.02%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7418                      | CUSIP: 36179WG36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  24584643 | PA      | $20620937.26  | 0.13%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1772                      | CUSIP: 31418A6J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    224112 | PA      | $217469.78    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8515                      | CUSIP: 3132DWN82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8286638 | PA      | $8208784.05   | 0.05%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO9121                      | CUSIP: 3140K5D38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    631821 | PA      | $547131.13    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03432                      | CUSIP: 3128M5ED8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30395 | PA      | $31302.72     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2433                      | CUSIP: 3140XHV38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2574283 | PA      | $2522494.07   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 831105                      | CUSIP: 31407HKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8170 | PA      | $8395.67      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08068                      | CUSIP: 3128MJCE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167519 | PA      | $172327.48    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4024                      | CUSIP: 3140QBPJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325010 | PA      | $291835.93    | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR0454                      | CUSIP: 3140KXQG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    686991 | PA      | $570090.71    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745950                      | CUSIP: 31403DWK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102986 | PA      | $107677.19    | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5265                      | CUSIP: 3140X8Z75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1509383 | PA      | $1187217.33   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9778                      | CUSIP: 36179Y2K9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9522483 | PA      | $9250363.76   | 0.06%             | 2054-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08784                      | CUSIP: 3128MJ2S8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3261974 | PA      | $2952289.48   | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9043                      | CUSIP: 3140XDBM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63758 | PA      | $59363.82     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2694                      | CUSIP: 3142GS7G7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4378060 | PA      | $4357449.88   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5217                      | CUSIP: 3140X8YP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3189879 | PA      | $2510022.60   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0291                      | CUSIP: 3132DMKC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1122904 | PA      | $1106191.80   | 0.01%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0416                      | CUSIP: 3140XFPA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4620670 | PA      | $3974597.95   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4922                      | CUSIP: 3140QQPG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1652391 | PA      | $1686365.27   | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0023                      | CUSIP: 36179MAY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    515309 | PA      | $492495.77    | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90320                      | CUSIP: 312938K93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10502 | PA      | $10570.91     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745755                      | CUSIP: 31403DQG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215306 | PA      | $216517.11    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4694                      | CUSIP: 3140QQGC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1894497 | PA      | $1893867.30   | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5140                        | CUSIP: 36202FV94<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1014211 | PA      | $997028.71    | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4558                        | CUSIP: 36202FB39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    324326 | PA      | $319304.19    | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8184                      | CUSIP: 3132DWCV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4668352 | PA      | $4005400.70   | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3690                      | CUSIP: 3133KKC31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13671620 | PA      | $10809067.54  | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08738                      | CUSIP: 3128MJZC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    773106 | PA      | $701883.26    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4839                      | CUSIP: 36179TLU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    356913 | PA      | $344494.17    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q13637                      | CUSIP: 3132HQBE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1237540 | PA      | $1113686.57   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX5440                      | CUSIP: 3140NABJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1202260 | PA      | $1195022.56   | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05852                      | CUSIP: 3128M7ZR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    130670 | PA      | $134550.11    | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0727                      | CUSIP: 3140W0YZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2897071 | PA      | $3031351.72   | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08631                      | CUSIP: 3128MJVZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    307749 | PA      | $272726.18    | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5106                      | CUSIP: 31418EU81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12119910 | PA      | $11757726.96  | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7771                      | CUSIP: 3133KPT40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    901302 | PA      | $830238.62    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7163                      | CUSIP: 3140XA5Z1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403405 | PA      | $386112.68    | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0944                      | CUSIP: 3138A2BN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    242280 | PA      | $231207.14    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08783                      | CUSIP: 3128MJ2R0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    359827 | PA      | $314146.00    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7396                      | CUSIP: 3140QFGE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4193347 | PA      | $3791535.21   | 0.02%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0046                      | CUSIP: 3132ACBP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5668266 | PA      | $5302389.53   | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA9987                      | CUSIP: 3133A5CY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2093126 | PA      | $1861163.37   | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6432                      | CUSIP: 31418UEE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    520594 | PA      | $512109.09    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4379                      | CUSIP: 3131XX2L4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    581822 | PA      | $525888.92    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8065                      | CUSIP: 3132D56A5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    761511 | PA      | $674505.02    | 0.00%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1626                      | CUSIP: 3140X4YY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34855 | PA      | $32452.31     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8150                      | CUSIP: 3132DWBT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  33671090 | PA      | $26336964.42  | 0.16%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6658                      | CUSIP: 36179VMF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    261723 | PA      | $242619.76    | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9518                      | CUSIP: 3140XDSG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7829871 | PA      | $6475494.34   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8366                      | CUSIP: 3132DWJK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6899328 | PA      | $6693152.96   | 0.04%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08528                      | CUSIP: 3128MJSS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1193948 | PA      | $1070968.54   | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1754                      | CUSIP: 3140X45Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1207303 | PA      | $1096522.42   | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7575                      | CUSIP: 31417EMZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    666984 | PA      | $598136.60    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5655                      | CUSIP: 3140XMH90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4058707 | PA      | $3958981.74   | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01797                      | CUSIP: 31292H7J7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3818 | PA      | $3916.87      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4689                      | CUSIP: 31417BF77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41934 | PA      | $38801.27     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8191                      | CUSIP: 3138ANC50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44375 | PA      | $43586.83     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8397                      | CUSIP: 3138ETKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    694916 | PA      | $639837.32    | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A14237                      | CUSIP: 31296NV61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16690 | PA      | $16803.75     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9120                      | CUSIP: 3140XRD28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1945274 | PA      | $2028751.86   | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2964                      | CUSIP: 31418CJJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    491959 | PA      | $475703.54    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8583                      | CUSIP: 3140XCRD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5530975 | PA      | $4912840.61   | 0.03%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8422                      | CUSIP: 3133KQLB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4068755 | PA      | $4125710.25   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8801                      | CUSIP: 36179XX68<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25134840 | PA      | $25072527.99  | 0.16%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0363                      | CUSIP: 3618N5MM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2580000 | PA      | $2364675.01   | 0.01%             | 2055-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ9182                      | CUSIP: 3140E2FY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    833821 | PA      | $810865.96    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61658                      | CUSIP: 31335BZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    893089 | PA      | $884564.47    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2979                      | CUSIP: 3140X6JZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1105932 | PA      | $1030744.23   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96409                      | CUSIP: 312945DN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1123446 | PA      | $1050304.04   | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0978                      | CUSIP: 31418ACQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58043 | PA      | $57279.88     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2807                      | CUSIP: 3132DQDL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3799277 | PA      | $3009724.04   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4335                      | CUSIP: 3133KKY86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2620661 | PA      | $2071129.78   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698199                      | CUSIP: 36296QUY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    201611 | PA      | $198342.93    | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BU4047                      | CUSIP: 3140M5P90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11108769 | PA      | $11025229.55  | 0.07%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888276                      | CUSIP: 31410F2H7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76660 | PA      | $78780.81     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA5940                      | CUSIP: 31329PS53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    485810 | PA      | $465896.59    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0318                      | CUSIP: 36179MK74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2291718 | PA      | $2117764.43   | 0.01%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8213                      | CUSIP: 3132DWDS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20137022 | PA      | $17186122.94  | 0.11%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7506                      | CUSIP: 3132DVKT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4840688 | PA      | $4519153.30   | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2835                      | CUSIP: 31418CEH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    328708 | PA      | $306976.87    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4119                      | CUSIP: 3133KKSG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2819820 | PA      | $2235576.87   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8534                      | CUSIP: 3132DWPT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7059008 | PA      | $7133556.56   | 0.04%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AZ1002                      | CUSIP: 36197DDF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    307717 | PA      | $276556.80    | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08842                      | CUSIP: 3128MJ5C0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4186814 | PA      | $3903334.64   | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1284                      | CUSIP: 36179NM96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11653559 | PA      | $10509476.38  | 0.07%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4097                      | CUSIP: 31418DRT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5817049 | PA      | $5006423.14   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3592                      | CUSIP: 31418C7E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34394 | PA      | $31958.67     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8443                      | CUSIP: 3140XQLZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4380590 | PA      | $4458337.84   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2962                      | CUSIP: 3133KJJF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2043212 | PA      | $1681485.57   | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8428                      | CUSIP: 36179XLH7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19987097 | PA      | $19487763.34  | 0.12%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995672                      | CUSIP: 31416CCH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    659958 | PA      | $649747.42    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3988                      | CUSIP: 3133KKND7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3124307 | PA      | $2573137.96   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3280                      | CUSIP: 3140J7UE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    695905 | PA      | $668249.44    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9138                      | CUSIP: 3140XDEL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36609 | PA      | $34085.51     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7368                      | CUSIP: 36179WFH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3016723 | PA      | $2633304.21   | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5267                      | CUSIP: 3140XLZ92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2567571 | PA      | $2576345.18   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3184                      | CUSIP: 31418CRE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1495723 | PA      | $1433944.55   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ2969                      | CUSIP: 3140H4JP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81640 | PA      | $71181.42     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2 6/25                    | CUSIP: 21H020667<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  40155000 | PA      | $32261595.12  | 0.20%             | 2025-06-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7555                      | CUSIP: 3140XPMD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3499369 | PA      | $3508429.98   | 0.02%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0181                      | CUSIP: 3132D9FW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1144541 | PA      | $1003767.61   | 0.01%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3106                      | CUSIP: 36179RNX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1708263 | PA      | $1600658.13   | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8473                      | CUSIP: 3140QGMX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2046482 | PA      | $1617351.63   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8147                      | CUSIP: 36179XBQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11819281 | PA      | $9915540.94   | 0.06%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8600                      | CUSIP: 3138ETRW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32675 | PA      | $32167.68     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6606                      | CUSIP: 3140XAKU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4385909 | PA      | $3990790.20   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC4777                      | CUSIP: 3140F0JX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1829473 | PA      | $1753054.08   | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1089                      | CUSIP: 36179NF60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1129650 | PA      | $1020078.52   | 0.01%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5140                      | CUSIP: 31418EWA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4741136 | PA      | $4874216.23   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08578                      | CUSIP: 3128MJUC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243023 | PA      | $236403.45    | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8041                      | CUSIP: 36179W5A2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    561704 | PA      | $451659.01    | 0.00%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0926                      | CUSIP: 31418NA42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10498 | PA      | $10804.07     | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9851                      | CUSIP: 36179Y5L4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  28816942 | PA      | $28648694.24  | 0.18%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4361                      | CUSIP: 31418DZ39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4841202 | PA      | $4481884.76   | 0.03%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3766                      | CUSIP: 3140XKFG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2088800 | PA      | $1642962.75   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7603                      | CUSIP: 3140QTNV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126787 | PA      | $128284.73    | 0.00%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7614                      | CUSIP: 31418VN81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40355 | PA      | $40560.55     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7530                      | CUSIP: 3140XBLL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2006666 | PA      | $1737690.19   | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4182                      | CUSIP: 3140X7UG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2081841 | PA      | $1976736.47   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5193                      | CUSIP: 36179TXW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2574135 | PA      | $2481350.61   | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1329                      | CUSIP: 3132CXPN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2813217 | PA      | $2543075.23   | 0.02%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3314                      | CUSIP: 3140XJVG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1857984 | PA      | $1758375.64   | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08372                      | CUSIP: 3128MJMW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    404584 | PA      | $398706.93    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8100                      | CUSIP: 36179W7M4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14320405 | PA      | $13195716.55  | 0.08%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9575                      | CUSIP: 3138ERT91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110440 | PA      | $107086.45    | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6651                      | CUSIP: 31419HL91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       517 | PA      | $535.87       | 0.00%             | 2040-12-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5181                      | CUSIP: 3133KYXJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1832708 | PA      | $1680004.24   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7938                      | CUSIP: 36179WZB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6233473 | PA      | $5578880.24   | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2739                      | CUSIP: 3142GTBH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6567848 | PA      | $6385946.56   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3537                      | CUSIP: 3140J74X0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169071 | PA      | $165801.41    | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2962                      | CUSIP: 31418CJG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    112529 | PA      | $106528.74    | 0.00%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4119                      | CUSIP: 31418DSH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  39559143 | PA      | $31041398.82  | 0.19%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX6736                      | CUSIP: 3140NBPW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3559028 | PA      | $3606624.04   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI4891                      | CUSIP: 3138AJNH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218082 | PA      | $214286.53    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4734                      | CUSIP: 3140XLHL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11359989 | PA      | $9455337.65   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8311                      | CUSIP: 3138WJGV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    289832 | PA      | $253609.04    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91982                      | CUSIP: 3128P8FX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    449590 | PA      | $425432.40    | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14153                      | CUSIP: 3128PTTJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3022 | PA      | $3004.15      | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786714                      | CUSIP: 3622ACK33<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9816418 | PA      | $9810488.17   | 0.06%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1527                      | CUSIP: 31418AVV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    760168 | PA      | $726995.51    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8021                      | CUSIP: 3132DV4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6764809 | PA      | $5561176.13   | 0.03%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6090                      | CUSIP: 36179UXT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1001629 | PA      | $901140.22    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0069                      | CUSIP: 3138EGCF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    147047 | PA      | $147805.49    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60342                      | CUSIP: 31335ALX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60875 | PA      | $59935.95     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9106                      | CUSIP: 36179YDK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11493517 | PA      | $11472207.01  | 0.07%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18710                      | CUSIP: 3128MMYG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    973910 | PA      | $946514.27    | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 729037                      | CUSIP: 3620AF4W4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    264520 | PA      | $265748.54    | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4680                      | CUSIP: 31417BFW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25846 | PA      | $24031.68     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4379                      | CUSIP: 3140X72M0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    401049 | PA      | $348921.65    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY1394                      | CUSIP: 3138YERQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1383569 | PA      | $1224068.22   | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0406                      | CUSIP: 3132CWNX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    323351 | PA      | $301575.16    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3524                      | CUSIP: 36179R4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    161181 | PA      | $162295.96    | 0.00%             | 2046-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6410                      | CUSIP: 36179VDP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3287444 | PA      | $2955576.23   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8383                      | CUSIP: 3132DWJ46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12456519 | PA      | $12358951.70  | 0.08%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0533                      | CUSIP: 36179MSW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1874847 | PA      | $1697267.01   | 0.01%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3598                      | CUSIP: 36179R7K9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1664188 | PA      | $1556759.59   | 0.01%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 779084                      | CUSIP: 36176XJ59<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    326224 | PA      | $294573.77    | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ2940                      | CUSIP: 3138YUHS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    783215 | PA      | $711347.91    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5054                        | CUSIP: 36202FTK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    195954 | PA      | $187614.90    | 0.00%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5059                      | CUSIP: 3133KYTQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    372516 | PA      | $329335.57    | 0.00%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18522                      | CUSIP: 3128MMSL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238840 | PA      | $233384.71    | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT9140                      | CUSIP: 3138WXEN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1890729 | PA      | $1747869.27   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0138                      | CUSIP: 36179MEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    175872 | PA      | $172741.82    | 0.00%             | 2027-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9933                      | CUSIP: 3140XEBB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11899428 | PA      | $10138941.32  | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV5404                      | CUSIP: 3140MKAE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2472545 | PA      | $2294595.32   | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8879                      | CUSIP: 36179X2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18958276 | PA      | $18917201.28  | 0.12%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A46278                      | CUSIP: 3128K66P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44964 | PA      | $45287.39     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3293                      | CUSIP: 3131XJUS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1766354 | PA      | $1636473.02   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2472                      | CUSIP: 31418BXA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    601949 | PA      | $568855.00    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11213                      | CUSIP: 3132HMK26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    248045 | PA      | $223554.25    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61070                      | CUSIP: 31335BFK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1943678 | PA      | $1740401.56   | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8421                      | CUSIP: 3132DWLA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10130951 | PA      | $10240316.17  | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890335                      | CUSIP: 31410LEG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22481 | PA      | $22360.10     | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4519                      | CUSIP: 31418EAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15111081 | PA      | $12331656.23  | 0.08%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU6961                      | CUSIP: 3138X6WX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    420426 | PA      | $411723.38    | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3604                      | CUSIP: 3138WDAE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108715 | PA      | $106054.66    | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0659                      | CUSIP: 31427MWV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5889150 | PA      | $6090342.07   | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM3535                      | CUSIP: 3131XW4U4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1188289 | PA      | $1114928.87   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BL3846                      | CUSIP: 3617JGHX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    259270 | PA      | $247172.42    | 0.00%             | 2049-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8505                      | CUSIP: 3132DWNW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25909483 | PA      | $25092715.23  | 0.16%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5122                        | CUSIP: 36202FVP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11825 | PA      | $11734.52     | 0.00%             | 2026-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3173                      | CUSIP: 3140X6Q38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2671348 | PA      | $2468526.53   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8289                      | CUSIP: 3132DWF65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12703788 | PA      | $12632073.76  | 0.08%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2874                      | CUSIP: 3132DQFP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3647131 | PA      | $3458595.61   | 0.02%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18516                      | CUSIP: 3128MMSE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    121176 | PA      | $119508.48    | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1165                      | CUSIP: 31418AJK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3800583 | PA      | $3654274.80   | 0.02%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1846                      | CUSIP: 3138EJBQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14700 | PA      | $15101.19     | 0.00%             | 2037-10-01      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3737                      | CUSIP: 31417AEK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    590478 | PA      | $547269.87    | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8222                      | CUSIP: 3132DWD34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1419433 | PA      | $1303969.25   | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0500                      | CUSIP: 31417YRW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61963 | PA      | $62278.56     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6939                      | CUSIP: 3140XNV92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2968734 | PA      | $2745484.04   | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9908                      | CUSIP: 36180AAH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14060682 | PA      | $14321355.71  | 0.09%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3462                      | CUSIP: 31418CZ49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165386 | PA      | $160812.78    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4320                      | CUSIP: 3140X7YS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1582227 | PA      | $1465007.81   | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5453                      | CUSIP: 31418FBX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6866188 | PA      | $6911109.78   | 0.04%             | 2044-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6060                      | CUSIP: 3140X9WW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2208229 | PA      | $1752772.72   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD8249                      | CUSIP: 3140FGEX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294865 | PA      | $259579.97    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2619                      | CUSIP: 3132DP4C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3766099 | PA      | $3748369.54   | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5471                      | CUSIP: 31418FCH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9209507 | PA      | $9303169.26   | 0.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0497                      | CUSIP: 3140XFRT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    848165 | PA      | $674022.51    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4329                      | CUSIP: 31418DY30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8276252 | PA      | $7489277.16   | 0.05%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3935                      | CUSIP: 36179SLQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    615804 | PA      | $529587.85    | 0.00%             | 2046-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2714                      | CUSIP: 3138EKAQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202996 | PA      | $187276.10    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7467                      | CUSIP: 3138EQJM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    532680 | PA      | $507224.87    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4054                      | CUSIP: 31418DQG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3002934 | PA      | $2656780.13   | 0.02%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3937                      | CUSIP: 36179SLS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3553343 | PA      | $3217951.92   | 0.02%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0437                      | CUSIP: 3132CWPW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4923611 | PA      | $4480050.83   | 0.03%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9204                      | CUSIP: 3140XRGN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21058067 | PA      | $21622829.72  | 0.13%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4697                      | CUSIP: 3132A5GE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2006849 | PA      | $1756035.60   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91336                      | CUSIP: 3128P7PV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87119 | PA      | $86877.01     | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5539                      | CUSIP: 31418FEM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301324 | PA      | $298910.70    | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY3376                      | CUSIP: 3138YGXE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450369 | PA      | $411206.12    | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DA7829                      | CUSIP: 3140A8VX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    735196 | PA      | $712536.25    | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4742                      | CUSIP: 31417BHU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    412129 | PA      | $370804.82    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6374                      | CUSIP: 31418UCL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    355244 | PA      | $357057.30    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1812                      | CUSIP: 3132DPAM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4383154 | PA      | $4260731.15   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3990                      | CUSIP: 3140XKNG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2306538 | PA      | $2242836.82   | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3531                      | CUSIP: 3131XJ4Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5118681 | PA      | $4759577.82   | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8377                      | CUSIP: 3132DWJW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    463052 | PA      | $482651.66    | 0.00%             | 2053-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5167                      | CUSIP: 3133KYW47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2767356 | PA      | $2536776.34   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09030                      | CUSIP: 31294UA78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25542 | PA      | $24966.31     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5357                      | CUSIP: 31417B5T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141541 | PA      | $138907.94    | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7829                      | CUSIP: 36179WVW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4080343 | PA      | $3652175.05   | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 550613                      | CUSIP: 36213CVE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     63682 | PA      | $63992.88     | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2014                      | CUSIP: 3140XHGY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1567384 | PA      | $1480388.83   | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5107                      | CUSIP: 31418EU99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7282514 | PA      | $7227748.79   | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9278                      | CUSIP: 3138E2JY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    366424 | PA      | $340338.12    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778875                      | CUSIP: 36176XCL1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    362474 | PA      | $336955.74    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6630                      | CUSIP: 3140KELL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2333207 | PA      | $1849786.02   | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5399                      | CUSIP: 3140X87M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5044836 | PA      | $4660869.49   | 0.03%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0205                      | CUSIP: 3138W9GP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    361323 | PA      | $324106.59    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5037                      | CUSIP: 31418ES35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2477432 | PA      | $2341621.35   | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783308                      | CUSIP: 36241LU95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      5972 | PA      | $5935.07      | 0.00%             | 2026-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60491                      | CUSIP: 31335ARL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    361098 | PA      | $345105.71    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q49490                      | CUSIP: 3132WPRL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4638404 | PA      | $4198043.77   | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA8518                      | CUSIP: 3133A3PB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1001663 | PA      | $865521.10    | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9128                      | CUSIP: 3138EREA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54222 | PA      | $53270.86     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8697                      | CUSIP: 3140XQUX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9844864 | PA      | $9237083.59   | 0.06%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08737                      | CUSIP: 3128MJZB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5758193 | PA      | $5045169.71   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3542                      | CUSIP: 3132DQ5B8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1233809 | PA      | $1231663.99   | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6154                      | CUSIP: 3140XMZU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5529782 | PA      | $5697095.62   | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3173                      | CUSIP: 36179RQ28<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2870170 | PA      | $2603746.56   | 0.02%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6307                      | CUSIP: 3138EPAH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    829911 | PA      | $811868.59    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1516                      | CUSIP: 3142GRVJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6209644 | PA      | $6186232.61   | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J20466                      | CUSIP: 31306XQT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115523 | PA      | $113313.51    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0698                      | CUSIP: 36179MX39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3100820 | PA      | $2805333.36   | 0.02%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ9175                      | CUSIP: 3140KVFR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1586404 | PA      | $1248790.51   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3757                      | CUSIP: 3140XKE71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7256633 | PA      | $7254219.82   | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV5579                      | CUSIP: 3140MKFV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4526331 | PA      | $4045934.79   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6111                      | CUSIP: 3138WFYH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    592154 | PA      | $554301.13    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4236                      | CUSIP: 31418DV66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  39645613 | PA      | $29324008.73  | 0.18%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD9744                      | CUSIP: 31418XZJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3005 | PA      | $2988.83      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1061                      | CUSIP: 3142GRFB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4336821 | PA      | $4327247.35   | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3105                      | CUSIP: 3140QNNX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    815619 | PA      | $645609.86    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1603                      | CUSIP: 31416WX98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       489 | PA      | $487.07       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783417                      | CUSIP: 36241LYN0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    231582 | PA      | $227567.94    | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4786                      | CUSIP: 3138M8J87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    683507 | PA      | $614762.40    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J12463                      | CUSIP: 3128PRWY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       476 | PA      | $475.10       | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7942                      | CUSIP: 3132A8ZF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14897 | PA      | $14385.01     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3518                      | CUSIP: 31418C4C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161174 | PA      | $158059.37    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40054                      | CUSIP: 3132FCBX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169089 | PA      | $161538.12    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 928147                      | CUSIP: 31412LEU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15794 | PA      | $16534.96     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6311                      | CUSIP: 3138WGAM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    433371 | PA      | $393334.85    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9257                      | CUSIP: 3140XDJB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8341798 | PA      | $6810239.19   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0946                      | CUSIP: 3138A2BQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    391158 | PA      | $373192.59    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP2132                      | CUSIP: 3138M5LN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1566390 | PA      | $1451311.66   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7256                      | CUSIP: 36179WBZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9751838 | PA      | $8521544.38   | 0.05%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782528                      | CUSIP: 36241KYZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    387630 | PA      | $389500.73    | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7525                      | CUSIP: 3132DVLE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9570987 | PA      | $7960303.43   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6656                      | CUSIP: 36179VMD9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4416765 | PA      | $3862305.79   | 0.02%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4283                      | CUSIP: 3140X7XM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3792590 | PA      | $3450921.74   | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698481                      | CUSIP: 36296Q6S3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    234265 | PA      | $230357.84    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7827                      | CUSIP: 36179WVU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26976778 | PA      | $22618965.73  | 0.14%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2868                      | CUSIP: 31418CFJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1549566 | PA      | $1482823.62   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3662                      | CUSIP: 3140X7B81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1561573 | PA      | $1346890.67   | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5766                      | CUSIP: 36179UMP4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     26017 | PA      | $26464.97     | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725027                      | CUSIP: 31402CPL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1863094 | PA      | $1872967.84   | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01846                      | CUSIP: 31292JBP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61321 | PA      | $61743.00     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4511                      | CUSIP: 31418EAM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31049966 | PA      | $24189733.57  | 0.15%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0728                      | CUSIP: 31419AY27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1606 | PA      | $1685.22      | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4013                      | CUSIP: 31418DN73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1220931 | PA      | $1138706.64   | 0.01%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6802                      | CUSIP: 31418URY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92232 | PA      | $92709.91     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0848                      | CUSIP: 31417Y5J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3777 | PA      | $3746.14      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8155                      | CUSIP: 3132D6BY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3495310 | PA      | $3296939.62   | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9308                      | CUSIP: 36179YKV5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3869041 | PA      | $3996024.14   | 0.02%             | 2053-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7366                      | CUSIP: 36179WFF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13501309 | PA      | $10852010.92  | 0.07%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01840                      | CUSIP: 3128LXBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    352817 | PA      | $355271.41    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2994                      | CUSIP: 31418CKG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    338650 | PA      | $306729.65    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8095                      | CUSIP: 3138WH7H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3990479 | PA      | $3634293.99   | 0.02%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8323                      | CUSIP: 3132DWG80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1353542 | PA      | $1313939.85   | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7864                      | CUSIP: 3140XPW21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1700281 | PA      | $1748006.58   | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7507                      | CUSIP: 3132DVKU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4724417 | PA      | $4114773.53   | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4018                        | CUSIP: 36202EPB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      7401 | PA      | $7750.49      | 0.00%             | 2037-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08347                      | CUSIP: 3128MJL57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    549739 | PA      | $541998.65    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783403                      | CUSIP: 36241LX84<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    806376 | PA      | $751688.83    | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2833                      | CUSIP: 31418CEF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7587930 | PA      | $6639602.04   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6173                      | CUSIP: 3140X92F1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1245725 | PA      | $1219695.58   | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01841                      | CUSIP: 3128LXBJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202265 | PA      | $207740.75    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7274                      | CUSIP: 3140XPCL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4063852 | PA      | $3946220.97   | 0.02%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3791                      | CUSIP: 3140XKF96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1825679 | PA      | $1891900.96   | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY4181                      | CUSIP: 3140NLUF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    709175 | PA      | $688426.02    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1370                      | CUSIP: 3140X4QY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2378166 | PA      | $2088377.77   | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5930                      | CUSIP: 36179UST0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9832940 | PA      | $8846449.86   | 0.06%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782956                      | CUSIP: 36241LH90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    169361 | PA      | $166510.59    | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8017                      | CUSIP: 3132DV4A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4825157 | PA      | $4332647.17   | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1920                      | CUSIP: 36179QDZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    208866 | PA      | $198403.28    | 0.00%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1159                      | CUSIP: 3140Q8JD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    583306 | PA      | $528324.72    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8043                      | CUSIP: 36179W5C8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17942713 | PA      | $15651021.38  | 0.10%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW9886                      | CUSIP: 3140N26Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    743813 | PA      | $704200.36    | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1245                      | CUSIP: 3140X4L38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169020 | PA      | $165911.78    | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1350                      | CUSIP: 3132DNQB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342412 | PA      | $325593.96    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09032                      | CUSIP: 31292SA91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1408840 | PA      | $1302307.88   | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8098                      | CUSIP: 3132DV7K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25606763 | PA      | $20061190.53  | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4196                      | CUSIP: 36179SUV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1020636 | PA      | $923981.33    | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07288                      | CUSIP: 3128M9ND0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163515 | PA      | $168412.85    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4719                      | CUSIP: 36179TG41<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10129329 | PA      | $9151088.93   | 0.06%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7416                      | CUSIP: 36179WGZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1487518 | PA      | $1142924.18   | 0.01%             | 2051-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2160                      | CUSIP: 3132DPMH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3165586 | PA      | $3214845.35   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06875                      | CUSIP: 3128M86L3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110959 | PA      | $114160.93    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8305                      | CUSIP: 3140XQGP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13136802 | PA      | $11494984.55  | 0.07%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781594                      | CUSIP: 36225BXX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      7494 | PA      | $7700.19      | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3743                      | CUSIP: 3132E0EQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4804053 | PA      | $4975305.28   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08085                      | CUSIP: 3128MJCX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34919 | PA      | $35169.80     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1402                      | CUSIP: 3132DNRX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2652461 | PA      | $1961901.51   | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9999                      | CUSIP: 3133KSDC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2522251 | PA      | $2586918.88   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3522                      | CUSIP: 3140X64G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16386 | PA      | $15867.94     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD3975                      | CUSIP: 3140FBMZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    770096 | PA      | $701357.81    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0039                      | CUSIP: 3140XFBH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1760570 | PA      | $1532833.92   | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4317                      | CUSIP: 3140X7YP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5697644 | PA      | $4905437.61   | 0.03%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995685                      | CUSIP: 31416CCW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146298 | PA      | $147062.63    | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6500                      | CUSIP: 3132DUGH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2166356 | PA      | $1845849.34   | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4749                      | CUSIP: 3140X8H34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1615322 | PA      | $1565608.13   | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0200                      | CUSIP: 31417YGJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161299 | PA      | $160582.36    | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0554                      | CUSIP: 3138W9TL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    505009 | PA      | $494344.58    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18642                      | CUSIP: 3128MMWC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    360455 | PA      | $352230.19    | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08667                      | CUSIP: 3128MJW55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2060725 | PA      | $1874099.74   | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3066                      | CUSIP: 31419DMQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10873 | PA      | $10824.28     | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1546                      | CUSIP: 3132ADWF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2342357 | PA      | $2241217.10   | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6038                      | CUSIP: 3132DTV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6784223 | PA      | $6964523.68   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06020                      | CUSIP: 3128M8AV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296582 | PA      | $305199.82    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6338                      | CUSIP: 36179VBF6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10464618 | PA      | $9160751.00   | 0.06%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3427                      | CUSIP: 31418CYZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47678 | PA      | $46801.71     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 3.5 7/25                  | CUSIP: 01F032476<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4195000 | PA      | $4006551.37   | 0.03%             | 2025-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1257                      | CUSIP: 3132ADME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2734903 | PA      | $2463325.69   | 0.02%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4855                        | CUSIP: 36202FMC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     89929 | PA      | $90554.12     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8265                      | CUSIP: 3132DWFE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8923891 | PA      | $8192397.45   | 0.05%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7367                      | CUSIP: 36179WFG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17407183 | PA      | $14606116.35  | 0.09%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7471                      | CUSIP: 36179WJQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  31277998 | PA      | $25160012.41  | 0.16%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4422                      | CUSIP: 31418D4G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5348222 | PA      | $4515439.29   | 0.03%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6468                      | CUSIP: 3140XAFJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    939830 | PA      | $875053.59    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1374                      | CUSIP: 36179NQ35<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    721585 | PA      | $650719.60    | 0.00%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2195                      | CUSIP: 3132AENL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35206 | PA      | $35001.51     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89385                      | CUSIP: 312936NA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166483 | PA      | $164122.13    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA4209                      | CUSIP: 31329MVA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1082133 | PA      | $970283.95    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8616                      | CUSIP: 31417VSE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       213 | PA      | $220.97       | 0.00%             | 2040-01-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2898                      | CUSIP: 3132DQGF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5132451 | PA      | $5098826.46   | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5063                      | CUSIP: 3140XLTV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3659881 | PA      | $3664382.03   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5908                      | CUSIP: 36184CR56<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    176341 | PA      | $161960.50    | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01649                      | CUSIP: 31283HZN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172509 | PA      | $173667.43    | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7598                      | CUSIP: 3140QFNQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10967724 | PA      | $9139123.58   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8062                      | CUSIP: 3132D55X6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1402127 | PA      | $1305509.20   | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 4 6/25                    | CUSIP: 01F040461<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3280000 | PA      | $3176217.85   | 0.02%             | 2025-06-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01981                      | CUSIP: 3128LXFW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15054 | PA      | $15163.32     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14649                      | CUSIP: 3128MDL68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145016 | PA      | $142072.65    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5189                      | CUSIP: 31418EXT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    355757 | PA      | $344903.48    | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2469                      | CUSIP: 3133KHW69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    991804 | PA      | $889329.21    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3101                      | CUSIP: 3140QNNT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    355676 | PA      | $281426.91    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3276                      | CUSIP: 31418CUA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1395598 | PA      | $1259689.31   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255892                      | CUSIP: 31371MF93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       273 | PA      | $272.00       | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735230                      | CUSIP: 31402QY39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164335 | PA      | $168566.62    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6657                      | CUSIP: 36179VME7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4444922 | PA      | $3996207.11   | 0.02%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD1716                      | CUSIP: 36180C3Z0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     53172 | PA      | $47783.36     | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4048                      | CUSIP: 31418DQA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5123111 | PA      | $4409187.78   | 0.03%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5231                      | CUSIP: 3138EMY54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1118598 | PA      | $1100259.49   | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4143                      | CUSIP: 3140QBS90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1823185 | PA      | $1578233.65   | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4203                      | CUSIP: 31418DU59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1060757 | PA      | $934229.06    | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7337                      | CUSIP: 3140XBEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1087222 | PA      | $927219.60    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7136                      | CUSIP: 36179V4V9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12406553 | PA      | $10410160.27  | 0.06%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4836                      | CUSIP: 36179TLR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9581127 | PA      | $8441234.81   | 0.05%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3744                      | CUSIP: 31418DES7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2294036 | PA      | $1983673.57   | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8053                      | CUSIP: 3132D55N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141957 | PA      | $132174.63    | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1672                      | CUSIP: 3132DN2D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4408878 | PA      | $4180964.63   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1387                      | CUSIP: 3140X4RH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2479983 | PA      | $2450822.89   | 0.02%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 736570                      | CUSIP: 3620AQJP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    718001 | PA      | $705642.02    | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40130                      | CUSIP: 3132FCEB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4538830 | PA      | $4094299.05   | 0.03%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5330                        | CUSIP: 36202F4P8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    210705 | PA      | $191296.33    | 0.00%             | 2042-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5557                      | CUSIP: 31418FE78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5435643 | PA      | $5355733.96   | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8212                      | CUSIP: 3132DWDR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11843843 | PA      | $9680409.95   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9798                      | CUSIP: 3138WK3G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1868647 | PA      | $1754452.63   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO3283                      | CUSIP: 3140JXUH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12021 | PA      | $11463.11     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4178                      | CUSIP: 31418DUC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11624990 | PA      | $10253187.86  | 0.06%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3340                      | CUSIP: 3140X6WA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1627286 | PA      | $1582288.89   | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782213                      | CUSIP: 36241KN61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    175964 | PA      | $176820.22    | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3990                      | CUSIP: 31418DNG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8894085 | PA      | $7344507.81   | 0.05%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5365                      | CUSIP: 3138WE6B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    632609 | PA      | $575945.47    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3455                      | CUSIP: 36179RZU6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    317915 | PA      | $297392.41    | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1136                      | CUSIP: 3140QLHN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12979871 | PA      | $10665714.78  | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4327                      | CUSIP: 31418DYZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    870083 | PA      | $751008.78    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3487                      | CUSIP: 3132DQ2U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5751464 | PA      | $4541835.01   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18441                      | CUSIP: 3128MMP31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     98553 | PA      | $96668.44     | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8269                      | CUSIP: 36179XFJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20937660 | PA      | $20427664.75  | 0.13%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5082                        | CUSIP: 36202FUF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    416284 | PA      | $409282.13    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2439                      | CUSIP: 3132DPV88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2517614 | PA      | $1981037.33   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9963                      | CUSIP: 36180AB85<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7844003 | PA      | $7411740.97   | 0.05%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2 6/25                    | CUSIP: 21H020667<br>LEI: N/A            | Short            | ABS-MBS          | USGA              | US        |  -2800000 | PA      | $-2249594.48  | -0.01%            | 2025-06-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AI8460                      | CUSIP: 36198VMH7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    100305 | PA      | $95417.78     | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4681                      | CUSIP: 3140J9FX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    434853 | PA      | $447002.85    | 0.00%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5271                      | CUSIP: 31418E2D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9057190 | PA      | $8986248.51   | 0.06%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2088                      | CUSIP: 3132AEJ98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1630580 | PA      | $1559664.29   | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3876                      | CUSIP: 3132A4JV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47404 | PA      | $47681.30     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1684                      | CUSIP: 3140XG2S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2152260 | PA      | $2013335.58   | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1228                      | CUSIP: 3140J5LJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24847 | PA      | $24097.91     | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08488                      | CUSIP: 3128MJRJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    328069 | PA      | $304641.67    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2013                      | CUSIP: 3140XHGX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1987005 | PA      | $1879202.97   | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4441                      | CUSIP: 31418D5B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    326049 | PA      | $286350.66    | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4216                      | CUSIP: 3140X7VJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3034653 | PA      | $2739127.50   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2997                      | CUSIP: 31418CKK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70336 | PA      | $67991.09     | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5470                      | CUSIP: 31418FCG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22949777 | PA      | $22741333.34  | 0.14%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6588                      | CUSIP: 3140XAKA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8816751 | PA      | $7983891.20   | 0.05%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8933                      | CUSIP: 3140QG4T1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199679 | PA      | $157058.95    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3594                      | CUSIP: 31418C7G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    546231 | PA      | $539125.42    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7640                      | CUSIP: 3140XPP29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2494741 | PA      | $2539797.57   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3800                      | CUSIP: 3132A4GH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4366994 | PA      | $4027408.18   | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6460                      | CUSIP: 3140XNFA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2463303 | PA      | $2506252.55   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8121                      | CUSIP: 3132DWAW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  44389376 | PA      | $34748372.19  | 0.22%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV2937                      | CUSIP: 3140MGHP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9870346 | PA      | $7689574.61   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J20129                      | CUSIP: 31306XEA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563271 | PA      | $552793.32    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778882                      | CUSIP: 36176XCT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    952722 | PA      | $885649.31    | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6221                      | CUSIP: 36179U4E9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    189169 | PA      | $181995.61    | 0.00%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4232                      | CUSIP: 31418DV25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2523793 | PA      | $2146219.56   | 0.01%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2747                      | CUSIP: 31418CBR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191298 | PA      | $173506.02    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ8647                      | CUSIP: 3138MQTD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200346 | PA      | $185243.30    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784457                      | CUSIP: 3622A25S7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    578245 | PA      | $554964.72    | 0.00%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4784                      | CUSIP: 31418EJ68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18181030 | PA      | $17212770.20  | 0.11%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4180                      | CUSIP: 31418DUE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142237 | PA      | $132302.69    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0195                      | CUSIP: 31427MGD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4975722 | PA      | $5124250.15   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786578                      | CUSIP: 3622ACFT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5297449 | PA      | $5159723.46   | 0.03%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4535                      | CUSIP: 31418EBD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3382469 | PA      | $2970638.01   | 0.02%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8496                      | CUSIP: 3132DWNM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7010475 | PA      | $7081772.86   | 0.04%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 710977                      | CUSIP: 36297F2J0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4438 | PA      | $4272.39      | 0.00%             | 2039-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4943                        | CUSIP: 36202FP42<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14906 | PA      | $14839.60     | 0.00%             | 2026-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO6225                      | CUSIP: 3140K14K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3247737 | PA      | $2801242.79   | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2974                      | CUSIP: 31418CJU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    851693 | PA      | $817846.05    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1561                      | CUSIP: 31418AWX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    488233 | PA      | $466915.62    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01974                      | CUSIP: 3128LXFP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180369 | PA      | $181676.17    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01490                      | CUSIP: 31292HUP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5896 | PA      | $6035.72      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1756                      | CUSIP: 3140J55S4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29059 | PA      | $28413.89     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2863                      | CUSIP: 36179RFC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    109171 | PA      | $105489.14    | 0.00%             | 2030-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91887                      | CUSIP: 3128P8CY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1256529 | PA      | $1179847.94   | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9223                      | CUSIP: 3140QVG99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5197655 | PA      | $5255795.03   | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8675                      | CUSIP: 3140XQT98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3428586 | PA      | $3550806.70   | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7338                      | CUSIP: 3132DVEK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7681374 | PA      | $7686020.35   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5259                      | CUSIP: 3138EMZZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311083 | PA      | $306589.05    | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6595                      | CUSIP: 3140XAKH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    656970 | PA      | $611689.20    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2148                      | CUSIP: 36179QL58<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1129169 | PA      | $1033295.33   | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0208                      | CUSIP: 3140XFGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    969957 | PA      | $804299.87    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0971                      | CUSIP: 3132A1CG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45839 | PA      | $46108.81     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5031                      | CUSIP: 3133KYSU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    444646 | PA      | $395273.25    | 0.00%             | 2039-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8501                      | CUSIP: 3132D6NS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3712148 | PA      | $3384687.09   | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4382                      | CUSIP: 36179S2P1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2363426 | PA      | $2138132.30   | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0518                      | CUSIP: 31419ASG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9575 | PA      | $9527.43      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00080                      | CUSIP: 3132GDCR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161562 | PA      | $153989.56    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3031                      | CUSIP: 3140QNLM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4869866 | PA      | $3981842.98   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7357                      | CUSIP: 3133KPE61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4011588 | PA      | $3799511.63   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2417                      | CUSIP: 31418BVK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    720467 | PA      | $684977.87    | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4577                        | CUSIP: 36202FCN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    534159 | PA      | $525819.89    | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QO2108                      | CUSIP: 3133WLKV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3963871 | PA      | $3966702.44   | 0.02%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4043                      | CUSIP: 36179SP43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     54313 | PA      | $52064.44     | 0.00%             | 2031-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ6046                      | CUSIP: 3138AXWG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17928 | PA      | $18607.65     | 0.00%             | 2041-12-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8182                      | CUSIP: 3132DWCT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  36994637 | PA      | $28855661.20  | 0.18%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3827                      | CUSIP: 31418DHD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2655303 | PA      | $2482288.89   | 0.02%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1158                      | CUSIP: 3140EVJC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1460737 | PA      | $1325789.12   | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2314                      | CUSIP: 3140QMSC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1614039 | PA      | $1321231.36   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7767                      | CUSIP: 3138EQTZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    612841 | PA      | $602173.88    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1042                      | CUSIP: 3138WAEQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    397709 | PA      | $376011.77    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4128                      | CUSIP: 31418DSS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    932165 | PA      | $795990.53    | 0.00%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5281                      | CUSIP: 3140QQ2P9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3298410 | PA      | $3207315.37   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3143                      | CUSIP: 31418CP57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    573904 | PA      | $500384.53    | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0026                      | CUSIP: 3618N5A41<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  23043786 | PA      | $22898444.68  | 0.14%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1077                      | CUSIP: 3132DNFS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    423075 | PA      | $390907.73    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q06232                      | CUSIP: 3132GRHH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    941809 | PA      | $895796.92    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3582                      | CUSIP: 3140QN6U1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4756651 | PA      | $4075957.96   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3305                      | CUSIP: 31418CU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3589095 | PA      | $3239575.21   | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889493                      | CUSIP: 31410KGA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57371 | PA      | $60134.64     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735580                      | CUSIP: 31402RFV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325501 | PA      | $327317.08    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08073                      | CUSIP: 3128MJCK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92436 | PA      | $95075.35     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0934                      | CUSIP: 3142GRBC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4439125 | PA      | $4523460.38   | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AF1078                      | CUSIP: 36181GFT1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1340567 | PA      | $1202637.71   | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91164                      | CUSIP: 3128P7JH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3021 | PA      | $3029.65      | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2074                      | CUSIP: 36179QJT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1055429 | PA      | $1002194.21   | 0.01%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3024                      | CUSIP: 3140XJLE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1502671 | PA      | $1378558.03   | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0604                      | CUSIP: 3140XFU66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4857159 | PA      | $3805260.06   | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9106                      | CUSIP: 36178WDK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1016047 | PA      | $915050.37    | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3874                      | CUSIP: 36179SJT5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    775105 | PA      | $701944.87    | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03150                      | CUSIP: 3128M4ZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24294 | PA      | $25013.70     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4359                      | CUSIP: 31418DZZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6906432 | PA      | $6082808.30   | 0.04%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6724                      | CUSIP: 3138EBPJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    525425 | PA      | $473847.41    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3227                      | CUSIP: 3140QASR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212409 | PA      | $203171.55    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3049                      | CUSIP: 3142GTL79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5101215 | PA      | $5222041.64   | 0.03%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3995                      | CUSIP: 3140XKNM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2087232 | PA      | $2130147.33   | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3639                      | CUSIP: 31418DBH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1338315 | PA      | $1280110.66   | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0524                      | CUSIP: 3140XFSN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5662237 | PA      | $4824524.86   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890604                      | CUSIP: 31410LNV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    133492 | PA      | $129438.06    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6291                      | CUSIP: 31417C7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     83689 | PA      | $82386.77     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8103                      | CUSIP: 3132D6AC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4981756 | PA      | $4508048.96   | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4971                      | CUSIP: 3140X8QZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    435383 | PA      | $402604.23    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2775                      | CUSIP: 31418CCM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1113437 | PA      | $1066914.33   | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3767                      | CUSIP: 3140FPFH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    509798 | PA      | $460788.89    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738313                      | CUSIP: 3620ASGW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    346836 | PA      | $340379.30    | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4882                        | CUSIP: 36202FM78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2555443 | PA      | $2449929.67   | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3181                      | CUSIP: 3132DQRA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2913032 | PA      | $2917525.20   | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1163                      | CUSIP: 3138AEJH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159844 | PA      | $157019.12    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01939                      | CUSIP: 3128LXEL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42049 | PA      | $42494.91     | 0.00%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888366                      | CUSIP: 31410F6B6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139152 | PA      | $149277.33    | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1505                      | CUSIP: 3138EHU75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    305909 | PA      | $290436.45    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05871                      | CUSIP: 3128M72C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184864 | PA      | $190118.53    | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5218                      | CUSIP: 31418EYQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4683252 | PA      | $4882206.54   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6906                      | CUSIP: 36179VU73<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    280545 | PA      | $263229.19    | 0.00%             | 2035-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5992                      | CUSIP: 3138WTUS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173498 | PA      | $155323.70    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ3381                      | CUSIP: 3138MJXK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    555857 | PA      | $498690.84    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03935                      | CUSIP: 31292LLQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167762 | PA      | $159248.36    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8351                      | CUSIP: 3132D6H45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2806331 | PA      | $2808335.75   | 0.02%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4493                      | CUSIP: 31418D7F3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22621746 | PA      | $18517865.17  | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5715                      | CUSIP: 3133KMK46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4554197 | PA      | $3552254.26   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6986                      | CUSIP: 3140QEXQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7215617 | PA      | $5661973.98   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0345                      | CUSIP: 3140XFL33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2690152 | PA      | $2135296.85   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5650                      | CUSIP: 36179UH39<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    599701 | PA      | $540660.71    | 0.00%             | 2048-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08086                      | CUSIP: 3128MJCY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90725 | PA      | $93329.04     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6877                      | CUSIP: 3140XAUB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    787802 | PA      | $791769.95    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2861                      | CUSIP: 3138EKFB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    463210 | PA      | $429740.30    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4186                      | CUSIP: 3140XKUL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3171632 | PA      | $2998800.91   | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18435                      | CUSIP: 3128MMPV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102775 | PA      | $100976.74    | 0.00%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8350                      | CUSIP: 3132DWH30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9735654 | PA      | $9859766.91   | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J32368                      | CUSIP: 31307NTZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154204 | PA      | $150561.02    | 0.00%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08846                      | CUSIP: 3128MJ5G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72160 | PA      | $65016.53     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1368                      | CUSIP: 3140X4QW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2621598 | PA      | $2302147.07   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8494                      | CUSIP: 36179XNK8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    416696 | PA      | $430859.97    | 0.00%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0089                      | CUSIP: 36179MC24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    623878 | PA      | $596032.61    | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8106                      | CUSIP: 3132DWAF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  47207537 | PA      | $36983956.13  | 0.23%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08712                      | CUSIP: 3128MJYJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    341132 | PA      | $319314.03    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91846                      | CUSIP: 3128P8BP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    312102 | PA      | $295590.99    | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1469                      | CUSIP: 3140QLT30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2562371 | PA      | $2318719.39   | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA1334                      | CUSIP: 31329JPT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2892978 | PA      | $2677315.84   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8068                      | CUSIP: 3132DV6D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2295044 | PA      | $1975221.86   | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4369                      | CUSIP: 3140X72B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3939107 | PA      | $3584239.85   | 0.02%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3438                      | CUSIP: 31418CZC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    222481 | PA      | $216329.07    | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4140                      | CUSIP: 3140XKS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7398241 | PA      | $6403105.45   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0319                      | CUSIP: 36179MK82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    205483 | PA      | $196226.86    | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AJ1886                      | CUSIP: 36182WCX9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     23569 | PA      | $22452.40     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC2953                      | CUSIP: 31417MH71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124451 | PA      | $122516.85    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8097                      | CUSIP: 3132D57J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5465628 | PA      | $4813826.80   | 0.03%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2510                      | CUSIP: 3132DPYF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4789082 | PA      | $4655322.44   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18665                      | CUSIP: 3128MMW33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2383996 | PA      | $2273816.43   | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745516                      | CUSIP: 31403DGZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57169 | PA      | $58774.15     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4270                        | CUSIP: 36202EW70<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     13292 | PA      | $14056.70     | 0.00%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02251                      | CUSIP: 3128LXQC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114979 | PA      | $120390.94    | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1061                      | CUSIP: 3140X4FB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62058 | PA      | $57439.18     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4151                      | CUSIP: 3138LUTH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1288140 | PA      | $1192479.88   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3967                      | CUSIP: 3140QBMR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2000899 | PA      | $1807294.32   | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1151                      | CUSIP: 3140X4H58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141210 | PA      | $137868.87    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1372                      | CUSIP: 31427NQ28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4760000 | PA      | $4845969.41   | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3935                      | CUSIP: 3138WDLR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1097301 | PA      | $1008435.56   | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8122                      | CUSIP: 3140XCAY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4944864 | PA      | $4463314.89   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4986                      | CUSIP: 3133KLRF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3230243 | PA      | $2533708.37   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4158                      | CUSIP: 31418DTQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15241873 | PA      | $11940991.23  | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4075                      | CUSIP: 31418DQ54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1617028 | PA      | $1505601.68   | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4854                        | CUSIP: 36202FMB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    496448 | PA      | $488301.13    | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q58157                      | CUSIP: 3132Y2B39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    147704 | PA      | $137702.97    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4363                      | CUSIP: 31418DZ54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3961942 | PA      | $3256004.79   | 0.02%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4174                      | CUSIP: 3133KKT74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1511536 | PA      | $1251494.31   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3618                      | CUSIP: 3140QPAU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2222415 | PA      | $2041632.10   | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2935                      | CUSIP: 36179RHL6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    164976 | PA      | $160520.26    | 0.00%             | 2030-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8383                      | CUSIP: 3138ETJ56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44989 | PA      | $44217.40     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4946                        | CUSIP: 36202FP75<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14833 | PA      | $14587.14     | 0.00%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4758                      | CUSIP: 3132A5JB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1864757 | PA      | $1622961.72   | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8191                      | CUSIP: 3132D6C40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2248610 | PA      | $2225391.22   | 0.01%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9468                      | CUSIP: 3140XDQW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    355488 | PA      | $294775.05    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7837                      | CUSIP: 3140XBV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4025383 | PA      | $3464431.52   | 0.02%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3467                      | CUSIP: 31418CZ98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2256974 | PA      | $2101416.05   | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3206                      | CUSIP: 3133KJR38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    940529 | PA      | $743602.14    | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AF1079                      | CUSIP: 36181GFU8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    296490 | PA      | $265984.29    | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4792                      | CUSIP: 3140XLKE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2499241 | PA      | $2194947.09   | 0.01%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3494                      | CUSIP: 3140X63C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231483 | PA      | $194986.55    | 0.00%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2006                      | CUSIP: 3132DPGP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3321620 | PA      | $3321968.53   | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9510                      | CUSIP: 3140QVR89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4478341 | PA      | $4542430.14   | 0.03%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2516                      | CUSIP: 3132DPYM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5296404 | PA      | $5266505.72   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3033                      | CUSIP: 36179RLN7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1411390 | PA      | $1249206.72   | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4197                      | CUSIP: 36179SUW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1553295 | PA      | $1448656.19   | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03518                      | CUSIP: 31292K4B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52219 | PA      | $52553.49     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BN9283                      | CUSIP: 3617KDJ40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     56126 | PA      | $53454.19     | 0.00%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6389                      | CUSIP: 3138WGC36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1291891 | PA      | $1133661.90   | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60193                      | CUSIP: 31335AGA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    196552 | PA      | $183759.12    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7881                      | CUSIP: 36179WXJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22561494 | PA      | $18927498.22  | 0.12%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5852                      | CUSIP: 3132DTQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3465739 | PA      | $3614487.71   | 0.02%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6934                      | CUSIP: 3140QEV41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34659 | PA      | $28284.98     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5666                      | CUSIP: 3138WFJL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173107 | PA      | $162257.38    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8420                      | CUSIP: 3132DWK93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8692834 | PA      | $8619313.55   | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05923                      | CUSIP: 3128M74G8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107618 | PA      | $110746.35    | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932279                      | CUSIP: 31412QXG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68430 | PA      | $68782.11     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO3192                      | CUSIP: 3140JXRN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574975 | PA      | $496646.66    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3695                      | CUSIP: 31418DC91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2297474 | PA      | $2194367.33   | 0.01%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7136                      | CUSIP: 31418U4W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1040316 | PA      | $1045596.96   | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701993                      | CUSIP: 36296U3A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     62261 | PA      | $61241.64     | 0.00%             | 2039-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8493                      | CUSIP: 36179XNJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5854116 | PA      | $6003808.69   | 0.04%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8310                      | CUSIP: 3132DWGT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3412477 | PA      | $3522392.92   | 0.02%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08344                      | CUSIP: 3128MJL24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157373 | PA      | $155169.62    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8540                      | CUSIP: 3133KQPZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2967961 | PA      | $2891557.80   | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8661                      | CUSIP: 3138WJTT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298275 | PA      | $278555.50    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00543                      | CUSIP: 3132GDS86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    408395 | PA      | $401829.65    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3157                      | CUSIP: 3138WCQK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88431 | PA      | $83461.05     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5595                      | CUSIP: 36179UGC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1299427 | PA      | $1205798.87   | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7191                      | CUSIP: 36179V7C8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    373945 | PA      | $287317.87    | 0.00%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7650                      | CUSIP: 36179WQB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14530281 | PA      | $12678974.97  | 0.08%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2725                      | CUSIP: 3138WQA36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    709388 | PA      | $635446.62    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5145                      | CUSIP: 3133KYWE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3257354 | PA      | $2739652.40   | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2119                      | CUSIP: 36179QK83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    157934 | PA      | $154190.47    | 0.00%             | 2029-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5038                      | CUSIP: 31418ES43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    706628 | PA      | $685952.91    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6702                      | CUSIP: 3132DUNT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7761996 | PA      | $8011038.92   | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5400                      | CUSIP: 36179T7M1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    377271 | PA      | $372296.43    | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6288                      | CUSIP: 3140X97A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1201880 | PA      | $1038524.91   | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4195                      | CUSIP: 36179SUU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5311098 | PA      | $4697478.90   | 0.03%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK7733                      | CUSIP: 3138ECSX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251521 | PA      | $239075.31    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3870                      | CUSIP: 3140X7JQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1420640 | PA      | $1284068.59   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4406                      | CUSIP: 3140XK3Q1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1532932 | PA      | $1500655.65   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18476                      | CUSIP: 3128MMQ63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173844 | PA      | $170440.25    | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4100                      | CUSIP: 31418DRW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5167099 | PA      | $4054535.95   | 0.03%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0030                      | CUSIP: 31419AA80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24961 | PA      | $25684.96     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7509                      | CUSIP: 3132DVKW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7430744 | PA      | $6462584.59   | 0.04%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2529                      | CUSIP: 3140XHY35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    709133 | PA      | $524069.30    | 0.00%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0782                      | CUSIP: 36179M2P4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1821107 | PA      | $1647587.36   | 0.01%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759100                      | CUSIP: 36230UDD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    319418 | PA      | $297942.19    | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8079                      | CUSIP: 3132DV6Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26065400 | PA      | $20453084.36  | 0.13%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9655                      | CUSIP: 3140XRWR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10897774 | PA      | $10822632.43  | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3930                      | CUSIP: 31418DLL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    507307 | PA      | $474251.53    | 0.00%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4784                      | CUSIP: 3138M8J61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219879 | PA      | $197935.92    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7369                      | CUSIP: 36179WFJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1729272 | PA      | $1550919.00   | 0.01%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8877                      | CUSIP: 36179X2J4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11997741 | PA      | $11370321.13  | 0.07%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2187                      | CUSIP: 3138EJND6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13296 | PA      | $13803.86     | 0.00%             | 2042-03-01      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8880                      | CUSIP: 3140QU2N5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5813972 | PA      | $6092991.08   | 0.04%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745793                      | CUSIP: 3620C1RN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     42888 | PA      | $42130.66     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9211                      | CUSIP: 36178WGU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    167888 | PA      | $155604.57    | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18655                      | CUSIP: 3128MMWR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    743939 | PA      | $719296.20    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2978                      | CUSIP: 3140XJJY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4246228 | PA      | $3922048.84   | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX3269                      | CUSIP: 3140N7T34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1821499 | PA      | $1723923.21   | 0.01%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3567                      | CUSIP: 3140J76D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    414441 | PA      | $388726.10    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7635                      | CUSIP: 3140XPPV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4064491 | PA      | $3769110.79   | 0.02%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5284                        | CUSIP: 36202F2R6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     13903 | PA      | $12618.56     | 0.00%             | 2042-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4417                      | CUSIP: 31418D4B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8314054 | PA      | $7301779.42   | 0.05%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5439                      | CUSIP: 3140QRBH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5005688 | PA      | $4889342.03   | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0934                      | CUSIP: 36179NBB3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2207109 | PA      | $2035352.46   | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3485                      | CUSIP: 3132DQ2S4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2614675 | PA      | $2073753.19   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5272                      | CUSIP: 3140XL2E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2741227 | PA      | $2807868.46   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3591                      | CUSIP: 3140QN7D8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19029325 | PA      | $17063192.43  | 0.11%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5952                      | CUSIP: 3140XMTJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2970541 | PA      | $3067243.13   | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7601                      | CUSIP: 3138WHNT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3051877 | PA      | $2851068.90   | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC6891                      | CUSIP: 3133ARUQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3945543 | PA      | $3229769.90   | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9163                      | CUSIP: 3132AAFC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    730352 | PA      | $699988.79    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4604                      | CUSIP: 3140XLDJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5586262 | PA      | $5022518.92   | 0.03%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3902                      | CUSIP: 31417AKQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67258 | PA      | $66435.04     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7784                      | CUSIP: 3140QTUJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5198792 | PA      | $5325178.33   | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9816                      | CUSIP: 3140XR4A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6220602 | PA      | $6491574.02   | 0.04%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8247                      | CUSIP: 3138WJEV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1155851 | PA      | $1106080.88   | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60486                      | CUSIP: 31335ARF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    369004 | PA      | $353415.39    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8206                      | CUSIP: 3138ETDL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21337 | PA      | $20980.57     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82797                       | CUSIP: 36225FDB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1316 | PA      | $1336.75      | 0.00%             | 2041-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9760                      | CUSIP: 3138WKZ24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2266897 | PA      | $2176808.25   | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1785                      | CUSIP: 3140J56X2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1293465 | PA      | $1216441.72   | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3420                      | CUSIP: 3140X6YS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    737201 | PA      | $671169.30    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3307                      | CUSIP: 31418CU93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    298258 | PA      | $285752.59    | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4806                      | CUSIP: 31418EKU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8602617 | PA      | $8373097.68   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2847                      | CUSIP: 3140X6EV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    655239 | PA      | $585936.81    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2922                      | CUSIP: 31418CG81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1858690 | PA      | $1733849.26   | 0.01%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745283                      | CUSIP: 31403C6U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13457 | PA      | $13827.71     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0148                      | CUSIP: 3138EGEW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    232764 | PA      | $222511.67    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6311                      | CUSIP: 3133KNAL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1946602 | PA      | $1620228.43   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QH1061                      | CUSIP: 3133CDFA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1178984 | PA      | $1169749.04   | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7330                      | CUSIP: 3140QTEC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4538595 | PA      | $4520065.84   | 0.03%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5141                      | CUSIP: 3140X8WB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1942284 | PA      | $1608136.81   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 604548                      | CUSIP: 36200MTD5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     96342 | PA      | $95350.47     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3426                      | CUSIP: 3140X6YY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    562327 | PA      | $553957.77    | 0.00%             | 2050-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82669                       | CUSIP: 36225E6F4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     32873 | PA      | $33240.04     | 0.00%             | 2040-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8727                      | CUSIP: 36179XVU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5243403 | PA      | $5320052.81   | 0.03%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18578                      | CUSIP: 3128MMUC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315976 | PA      | $307263.05    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3797                      | CUSIP: 31418DGF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207875 | PA      | $194849.49    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1141                      | CUSIP: 31418AHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    463497 | PA      | $445808.01    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2826                      | CUSIP: 36179RD71<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3143847 | PA      | $2869216.32   | 0.02%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4502                      | CUSIP: 3140X8AC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3849723 | PA      | $3052092.08   | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5696                      | CUSIP: 3138WFKJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3135755 | PA      | $2848022.44   | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4038                      | CUSIP: 3140X7PY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194173 | PA      | $171988.06    | 0.00%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783613                      | CUSIP: 3622A2AN2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    173748 | PA      | $170877.63    | 0.00%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555424                      | CUSIP: 31385XAZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    289360 | PA      | $295917.25    | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8643                      | CUSIP: 36179XS80<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1298141 | PA      | $1138018.51   | 0.01%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6054                      | CUSIP: 3132DTWP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6177948 | PA      | $6172032.05   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93853                      | CUSIP: 312942H65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163100 | PA      | $164146.95    | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8944                      | CUSIP: 36179X5D4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    917066 | PA      | $821335.34    | 0.01%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8335                      | CUSIP: 3140QUHM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7314405 | PA      | $7309686.44   | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8265                      | CUSIP: 36179XFE1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5151260 | PA      | $4517070.96   | 0.03%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3155                      | CUSIP: 31418CQH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    660772 | PA      | $637816.80    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1890                      | CUSIP: 3140J6C47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1474984 | PA      | $1418632.22   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8460                      | CUSIP: 3132DWMH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    253902 | PA      | $239645.63    | 0.00%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0752                      | CUSIP: 3138LQZS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192232 | PA      | $173294.42    | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8053                      | CUSIP: 3132DV5N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245969 | PA      | $235118.01    | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06814                      | CUSIP: 3128M83X0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    480352 | PA      | $459346.70    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1097                      | CUSIP: 3132DNGE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22356262 | PA      | $18447255.83  | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6421                      | CUSIP: 3140QED33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169349 | PA      | $145855.11    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5259                      | CUSIP: 3140X8ZZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    222304 | PA      | $199404.61    | 0.00%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18484                      | CUSIP: 3128MMRE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    371434 | PA      | $364026.11    | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4067                      | CUSIP: 36179SQU4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2696609 | PA      | $2319012.96   | 0.01%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1456                      | CUSIP: 3140X4TN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     99334 | PA      | $97206.45     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08035                      | CUSIP: 3128MJBD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    232725 | PA      | $234368.55    | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932841                      | CUSIP: 31412RLW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       848 | PA      | $843.21       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4229                      | CUSIP: 31418DVX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1633577 | PA      | $1482837.57   | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738009                      | CUSIP: 3620AR3S8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     38283 | PA      | $36719.25     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7705                      | CUSIP: 36179WR26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22366673 | PA      | $18753574.27  | 0.12%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8154                      | CUSIP: 3132D6BX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1180195 | PA      | $1089650.18   | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1000                      | CUSIP: 3140X4DE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5177680 | PA      | $4530581.75   | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8041                      | CUSIP: 3132D55A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104042 | PA      | $98917.95     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC5848                      | CUSIP: 3133AQP92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9270494 | PA      | $7632160.21   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E03088                      | CUSIP: 31294MND9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14191 | PA      | $14020.52     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 646729                      | CUSIP: 36292EPN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    110188 | PA      | $110699.81    | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8243                      | CUSIP: 3132DWEQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19350126 | PA      | $17187580.71  | 0.11%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00836                      | CUSIP: 31292G4V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4119 | PA      | $4296.47      | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6538                      | CUSIP: 3140XAHQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3503269 | PA      | $2787274.08   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11908                      | CUSIP: 3132HNDM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     37696 | PA      | $34961.46     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7448                      | CUSIP: 31417EH20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128715 | PA      | $125885.05    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5048                      | CUSIP: 3133KYTD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    945979 | PA      | $837839.84    | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4686                      | CUSIP: 31417BF44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400782 | PA      | $371958.89    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4208                      | CUSIP: 31418DVA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24414157 | PA      | $19126863.84  | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4224                        | CUSIP: 36202EVR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1140 | PA      | $1205.38      | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737839                      | CUSIP: 3620ARV81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3338 | PA      | $3318.03      | 0.00%             | 2026-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1375                      | CUSIP: 3140XGQ51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18902704 | PA      | $13981447.57  | 0.09%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4347                      | CUSIP: 3140X7ZM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6085809 | PA      | $5035014.20   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4857                      | CUSIP: 3138LVMF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    370983 | PA      | $343801.50    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3249                      | CUSIP: 3140X6TF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    467234 | PA      | $405919.60    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18681                      | CUSIP: 3128MMXK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35319 | PA      | $34090.93     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6 6/25                    | CUSIP: 01F060667<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11760000 | PA      | $11878059.82  | 0.07%             | 2025-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8236                      | CUSIP: 3132DWEH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4104653 | PA      | $3647205.00   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN0628                      | CUSIP: 3140JGVW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140187 | PA      | $138669.58    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5988                      | CUSIP: 36179UUM2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    215520 | PA      | $212475.63    | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738902                      | CUSIP: 3620AS3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    102540 | PA      | $98273.13     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5111                      | CUSIP: 3140J9VD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2168700 | PA      | $2094715.60   | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH2986                      | CUSIP: 3138A4J89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205769 | PA      | $196275.63    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8074                      | CUSIP: 3138WH6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    131661 | PA      | $115206.09    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1998                      | CUSIP: 3132DPGF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3940041 | PA      | $3849694.76   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5076                      | CUSIP: 36179TT96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    647698 | PA      | $570235.04    | 0.00%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08790                      | CUSIP: 3128MJ2Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1085899 | PA      | $1042406.25   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3285                      | CUSIP: 3140J7UK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1565093 | PA      | $1470426.77   | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE6412                      | CUSIP: 3133BGDR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1213971 | PA      | $1182037.08   | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6900                      | CUSIP: 3140QEU26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5958912 | PA      | $4711239.51   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5065                      | CUSIP: 3140X8TX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1058814 | PA      | $960334.94    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7527                      | CUSIP: 3132DVLG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    455879 | PA      | $361994.69    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6285                      | CUSIP: 36179U6W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1659864 | PA      | $1537672.36   | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2831                      | CUSIP: 31418CED2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     99951 | PA      | $96767.43     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1285                      | CUSIP: 36179NNA2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    700553 | PA      | $643630.22    | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2578                      | CUSIP: 31418B2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    463474 | PA      | $420367.11    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AM8935                      | CUSIP: 36185B4U7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     52635 | PA      | $49089.58     | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5652                      | CUSIP: 3140XMH66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11665648 | PA      | $11588857.44  | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3691                      | CUSIP: 31418DC59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2720318 | PA      | $2352283.24   | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0864                      | CUSIP: 3132CW5Z3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1535999 | PA      | $1522538.17   | 0.01%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8083                      | CUSIP: 3132DV6U4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2945668 | PA      | $2424172.70   | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2037                      | CUSIP: 3140Q9HP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8227794 | PA      | $7717273.06   | 0.05%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF1479                      | CUSIP: 3133BNUC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2654408 | PA      | $2587735.51   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8454                      | CUSIP: 3132DWMB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15869557 | PA      | $16030953.96  | 0.10%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5428                      | CUSIP: 3132DTA59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8775480 | PA      | $8747880.62   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1011                      | CUSIP: 36179NDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2087363 | PA      | $1885425.85   | 0.01%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2927                      | CUSIP: 3140QNHD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5884886 | PA      | $4579152.36   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH4429                      | CUSIP: 3138A54P4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13437 | PA      | $12811.50     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08592                      | CUSIP: 3128MJUS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178708 | PA      | $168989.53    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7117                      | CUSIP: 3140QS4B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6880291 | PA      | $7013154.89   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5701                      | CUSIP: 31418FKP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5662196 | PA      | $5721108.59   | 0.04%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6930                      | CUSIP: 36179VVX5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27142149 | PA      | $21816172.41  | 0.14%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE7276                      | CUSIP: 3133BHCM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    804709 | PA      | $751068.56    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782949                      | CUSIP: 36241LH25<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    349138 | PA      | $350784.94    | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783409                      | CUSIP: 36241LYE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     46798 | PA      | $44841.49     | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2961                      | CUSIP: 36179RJE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3692049 | PA      | $3349334.33   | 0.02%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2902                      | CUSIP: 3132DQGK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7680920 | PA      | $7632760.10   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4421                      | CUSIP: 3140QP4F1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    913651 | PA      | $914489.59    | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1450                      | CUSIP: 36179NTF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    241112 | PA      | $236377.77    | 0.00%             | 2043-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8527                      | CUSIP: 3132DWPL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5149281 | PA      | $5375114.36   | 0.03%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7343                      | CUSIP: 3138WHER9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    381980 | PA      | $334717.97    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8071                      | CUSIP: 3132DV6G5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    468637 | PA      | $447962.18    | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9018                      | CUSIP: 36179YAT1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15979314 | PA      | $16237872.22  | 0.10%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5198                      | CUSIP: 3140XLX45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2878165 | PA      | $2885302.21   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 931790                      | CUSIP: 31412QF79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88491 | PA      | $87122.73     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8340                      | CUSIP: 3132DWHR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24425261 | PA      | $23086289.77  | 0.14%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4496                        | CUSIP: 36202E7H6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    475553 | PA      | $478852.79    | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8118                      | CUSIP: 3132D6AT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8137119 | PA      | $7146387.39   | 0.04%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08538                      | CUSIP: 3128MJS43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4312466 | PA      | $3982397.56   | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3833                      | CUSIP: 31418DHK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7853565 | PA      | $6495090.02   | 0.04%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7421                      | CUSIP: 36179WG69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2022077 | PA      | $1865795.50   | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q03505                      | CUSIP: 3132GJR27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    460437 | PA      | $439911.78    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2318                      | CUSIP: 3140X5SG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1032540 | PA      | $932309.88    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8947                      | CUSIP: 36179X5G7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13073703 | PA      | $12754235.05  | 0.08%             | 2053-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08217                      | CUSIP: 3128MJG38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42624 | PA      | $44745.23     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA1316                      | CUSIP: 3140W1PA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5787152 | PA      | $5767142.33   | 0.04%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91849                      | CUSIP: 3128P8BS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    449481 | PA      | $428138.49    | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16044                      | CUSIP: 3128ME5D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    541640 | PA      | $518671.34    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3454                      | CUSIP: 36179RZT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1729305 | PA      | $1568782.42   | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1217                      | CUSIP: 3132DNK69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159368 | PA      | $125850.28    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889307                      | CUSIP: 31410KAG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36880 | PA      | $37077.41     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1736                      | CUSIP: 3132DN4V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5263789 | PA      | $5011421.82   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3327                      | CUSIP: 3140X6VV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1071664 | PA      | $995792.01    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555800                      | CUSIP: 31385XNR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67434 | PA      | $68962.37     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5117                      | CUSIP: 3140XLVK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    771660 | PA      | $786802.65    | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6766                      | CUSIP: 36179VQT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8142434 | PA      | $7115182.82   | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5530                      | CUSIP: 31418FEC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19365700 | PA      | $18756730.39  | 0.12%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5056                      | CUSIP: 3138XUTN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110845 | PA      | $101747.27    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8565                      | CUSIP: 3140XQQT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2710864 | PA      | $2716739.51   | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9317                      | CUSIP: 3138E2K79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207308 | PA      | $196998.41    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5910                      | CUSIP: 3133KMR72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    715382 | PA      | $638561.33    | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1321                      | CUSIP: 3140X4PF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    522880 | PA      | $491743.23    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13885                      | CUSIP: 3128PTJ63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23123 | PA      | $23027.94     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7077                      | CUSIP: 31417D2K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89388 | PA      | $80287.36     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1035                      | CUSIP: 3132DNEG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    575733 | PA      | $528179.78    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 713877                      | CUSIP: 36297KCN9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3194 | PA      | $3073.58      | 0.00%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97047                      | CUSIP: 312945ZL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1164370 | PA      | $1146260.09   | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5309                      | CUSIP: 3140XL3T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1997432 | PA      | $2074409.73   | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90316                      | CUSIP: 312938K51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43196 | PA      | $42568.70     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3769                      | CUSIP: 3138ELFK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124518 | PA      | $123714.40    | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555531                      | CUSIP: 31385XEC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315300 | PA      | $322522.23    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR2695                      | CUSIP: 3140L07H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2636784 | PA      | $2083872.28   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18604                      | CUSIP: 3128MMU68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    336412 | PA      | $323008.38    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9582                      | CUSIP: 3140XDUG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    732634 | PA      | $670774.26    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5550                      | CUSIP: 3140JAEY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207988 | PA      | $204618.27    | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 705142                      | CUSIP: 36296YLX8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     48893 | PA      | $46924.74     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8695                      | CUSIP: 3140QUUV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2641870 | PA      | $2708572.74   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4659                      | CUSIP: 3132A5E84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1169626 | PA      | $1060840.16   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6.5 6/25                  | CUSIP: 01F062663<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  55470000 | PA      | $56960728.52  | 0.36%             | 2025-06-12      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FP0060                      | CUSIP: 3140XTB67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21440231 | PA      | $17497091.76  | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0204                      | CUSIP: 36179MGM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    172539 | PA      | $169374.60    | 0.00%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8521                      | CUSIP: 3132DWPE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3460000 | PA      | $3173139.16   | 0.02%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7524                      | CUSIP: 3132DVLD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5125101 | PA      | $4449338.60   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8880                      | CUSIP: 36179X2M7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10317828 | PA      | $10468657.47  | 0.07%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1248                      | CUSIP: 3140J5L64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212839 | PA      | $208315.10    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1231                      | CUSIP: 3140J5LM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    926980 | PA      | $913341.28    | 0.01%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1G2261                      | CUSIP: 3128QSQN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1664 | PA      | $1711.47      | 0.00%             | 2037-10-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA6555                      | CUSIP: 31329QH87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155595 | PA      | $153279.46    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1210                      | CUSIP: 31418AKY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154244 | PA      | $151121.08    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5149                      | CUSIP: 3132DSWJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3498569 | PA      | $3558476.50   | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2807                      | CUSIP: 31418CDM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    255152 | PA      | $231340.85    | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QO0744                      | CUSIP: 3133WJZH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1961445 | PA      | $1849513.93   | 0.01%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3218                      | CUSIP: 31418CSG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    960740 | PA      | $926834.19    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8491                      | CUSIP: 3132DWNG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32943587 | PA      | $31905076.36  | 0.20%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737036                      | CUSIP: 3620AQY98<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2950 | PA      | $2963.92      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3735                      | CUSIP: 3138X3EH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2756719 | PA      | $2465599.55   | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4095                      | CUSIP: 3138LURR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1580107 | PA      | $1464343.36   | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP0050                      | CUSIP: 3138M3BU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41666 | PA      | $38556.38     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 6/25                    | CUSIP: 01F030660<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -5580000 | PA      | $-4749972.21  | -0.03%            | 2025-06-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4688                      | CUSIP: 3138WEF61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9739 | PA      | $9410.09      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V83453                      | CUSIP: 3132L8ZS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25227 | PA      | $22832.03     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4578                      | CUSIP: 31418ECQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27276702 | PA      | $22294255.15  | 0.14%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08747                      | CUSIP: 3128MJZM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5533485 | PA      | $4848286.79   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1010                      | CUSIP: 31418ADQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335935 | PA      | $327832.65    | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DB1087                      | CUSIP: 3140AAF51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1242155 | PA      | $1255137.07   | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5099                      | CUSIP: 3133KYUY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    270357 | PA      | $222841.09    | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14820                      | CUSIP: 3128MDSH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19694 | PA      | $19563.86     | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0652                      | CUSIP: 3140W0WN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10899364 | PA      | $10888926.68  | 0.07%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3481                      | CUSIP: 3140X62P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10264242 | PA      | $8540099.83   | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW0036                      | CUSIP: 3140MRBE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1151118 | PA      | $1093950.29   | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05928                      | CUSIP: 3128M74M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70081 | PA      | $69027.95     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1845                      | CUSIP: 31416XBP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46332 | PA      | $44206.34     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18689                      | CUSIP: 3128MMXT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210962 | PA      | $205357.52    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ4794                      | CUSIP: 3138YWKG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    486450 | PA      | $473068.52    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5192                      | CUSIP: 31418EXW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8235678 | PA      | $8461700.91   | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6489                      | CUSIP: 31417DF73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    446210 | PA      | $402391.54    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1561                      | CUSIP: 3138EHWX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44356 | PA      | $44024.36     | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4724                      | CUSIP: 3132A5G90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1396648 | PA      | $1341143.43   | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8367                      | CUSIP: 3140QUJM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4178390 | PA      | $4295021.64   | 0.03%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785191                      | CUSIP: 3622AAUQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2476592 | PA      | $2057950.79   | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18363                      | CUSIP: 3128MMMM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1395 | PA      | $1390.79      | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698396                      | CUSIP: 36296Q3D9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     31998 | PA      | $31474.29     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8384                      | CUSIP: 3132DWJ53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28600435 | PA      | $28938228.80  | 0.18%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3411                      | CUSIP: 3132DQYG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2147405 | PA      | $2233517.12   | 0.01%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0478                      | CUSIP: 31419AQ83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    802156 | PA      | $765982.21    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ4046                      | CUSIP: 3138AVP82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    425927 | PA      | $406439.43    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK2415                      | CUSIP: 3138E6VH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    667222 | PA      | $633596.48    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A68547                      | CUSIP: 3128L0P89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2236 | PA      | $2304.58      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3720                      | CUSIP: 3140XKD23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7367045 | PA      | $7097293.00   | 0.04%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3165                      | CUSIP: 3132DQQS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5607382 | PA      | $5450766.33   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3755                      | CUSIP: 3140X7E54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2543095 | PA      | $2313992.16   | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4000                      | CUSIP: 3140X7NS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1703288 | PA      | $1587488.34   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7489                      | CUSIP: 3140QTKB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4565875 | PA      | $4774682.14   | 0.03%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97125                      | CUSIP: 3129454J4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12875 | PA      | $12311.84     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4291                      | CUSIP: 3138X3XV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219218 | PA      | $207327.71    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV7087                      | CUSIP: 3138XJ2V8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102384 | PA      | $96898.45     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3985                      | CUSIP: 3142GUNB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8113822 | PA      | $8060561.50   | 0.05%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0065                      | CUSIP: 3138EGCB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65287 | PA      | $64160.38     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0041                      | CUSIP: 3138EGBK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       788 | PA      | $818.82       | 0.00%             | 2041-02-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735013                      | CUSIP: 31402QSA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14826 | PA      | $15001.88     | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8569                      | CUSIP: 36179XQW9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6153344 | PA      | $5999615.90   | 0.04%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7386                      | CUSIP: 3138WHF49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1038383 | PA      | $941804.12    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8385                      | CUSIP: 3132DWJ61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9185493 | PA      | $9437582.22   | 0.06%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91538                      | CUSIP: 312939V73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153861 | PA      | $151587.21    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08770                      | CUSIP: 3128MJ2C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    819905 | PA      | $742064.72    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5055                        | CUSIP: 36202FTL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    362194 | PA      | $356150.64    | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6098                      | CUSIP: 3140QDX41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6447493 | PA      | $5728944.85   | 0.04%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4681                      | CUSIP: 31417BFX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146263 | PA      | $135997.12    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0005                      | CUSIP: 3138EGAF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172731 | PA      | $169858.04    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8098                      | CUSIP: 36179W7K8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18559243 | PA      | $16188806.80  | 0.10%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07801                      | CUSIP: 3128MAAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    291019 | PA      | $275187.02    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 731110                      | CUSIP: 3620AJGT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     22700 | PA      | $21763.71     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06956                      | CUSIP: 3128M9BZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    130271 | PA      | $128213.64    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9911                      | CUSIP: 3140XEAM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22317 | PA      | $18932.87     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08748                      | CUSIP: 3128MJZN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1198224 | PA      | $1086713.72   | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4838                      | CUSIP: 36179TLT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1190788 | PA      | $1109080.93   | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2099                      | CUSIP: 3140XHKM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5234592 | PA      | $3868511.36   | 0.02%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1084                      | CUSIP: 31418AF29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    692839 | PA      | $675685.91    | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7247                      | CUSIP: 3138WHBR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269170 | PA      | $251627.13    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8397                      | CUSIP: 3132DWKJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5855801 | PA      | $6014679.17   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0113                      | CUSIP: 31419ADT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    800365 | PA      | $765841.68    | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4997                      | CUSIP: 3140X8RT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1673638 | PA      | $1519021.25   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889579                      | CUSIP: 31410KJY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    499209 | PA      | $523370.83    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254868                      | CUSIP: 31371LCD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    310848 | PA      | $312495.73    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7536                      | CUSIP: 36179WLR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5439852 | PA      | $4873699.76   | 0.03%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1560                      | CUSIP: 3140XGWW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  44414905 | PA      | $34768356.14  | 0.22%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK8288                      | CUSIP: 3140HNF64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    687096 | PA      | $606015.70    | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5461                      | CUSIP: 31417CB79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63666 | PA      | $57291.49     | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1645                      | CUSIP: 3140X4ZK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140414 | PA      | $137269.86    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5165                      | CUSIP: 3140XLW38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2624487 | PA      | $2561846.90   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7801                      | CUSIP: 3138WHU34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144348 | PA      | $130922.24    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4129                      | CUSIP: 3140X7ST7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12853101 | PA      | $11943123.65  | 0.07%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7062                      | CUSIP: 3140XAZ47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11073771 | PA      | $9179041.76   | 0.06%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03646                      | CUSIP: 3128M5L32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172257 | PA      | $180860.41    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08843                      | CUSIP: 3128MJ5D8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    735891 | PA      | $705266.93    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7429                      | CUSIP: 3138EQHF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50936 | PA      | $50257.67     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3774                      | CUSIP: 3140FPFQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    375537 | PA      | $350357.67    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5425                      | CUSIP: 31418FA31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    634984 | PA      | $644392.91    | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5412                      | CUSIP: 3140X9AN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1553836 | PA      | $1410286.57   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5482                      | CUSIP: 3140X9CU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3046082 | PA      | $2253044.93   | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2195                      | CUSIP: 3140X5NM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    659042 | PA      | $626542.08    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF2020                      | CUSIP: 3133BPG51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3167406 | PA      | $3087847.86   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9903                      | CUSIP: 3138ESAD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4660213 | PA      | $4783114.02   | 0.03%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1367                      | CUSIP: 3132CXQU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3796281 | PA      | $3889106.92   | 0.02%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06412                      | CUSIP: 3128M8N59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17371 | PA      | $17877.52     | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4330                      | CUSIP: 3132E0Y30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10791798 | PA      | $11087970.86  | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3035                      | CUSIP: 36179RLQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2252036 | PA      | $2110178.71   | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7538                      | CUSIP: 3132DVLT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6439264 | PA      | $5125224.51   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3529                      | CUSIP: 3132DQ4N3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2186408 | PA      | $2189779.91   | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 720209                      | CUSIP: 3620A6DN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    279595 | PA      | $274824.83    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08775                      | CUSIP: 3128MJ2H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3486846 | PA      | $3257297.28   | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256673                      | CUSIP: 31371NCJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2668 | PA      | $2743.95      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02920                      | CUSIP: 31294MG54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14237 | PA      | $14160.38     | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890226                      | CUSIP: 31410LA36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160592 | PA      | $158053.92    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA6146                      | CUSIP: 31329PZK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    133406 | PA      | $127853.81    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6093                      | CUSIP: 3138WFXX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100425 | PA      | $97617.52     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1265                      | CUSIP: 3142GRMP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5278355 | PA      | $5241959.78   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7379                      | CUSIP: 3140QFFV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5918565 | PA      | $5115987.03   | 0.03%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4124                      | CUSIP: 31418DSN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2491438 | PA      | $2319757.63   | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2086                      | CUSIP: 3140QMJ88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6739646 | PA      | $5548577.77   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06713                      | CUSIP: 3128M8YJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58500 | PA      | $58873.75     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09015                      | CUSIP: 31294UAQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218586 | PA      | $214150.80    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8029                      | CUSIP: 3132DV4N2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2241375 | PA      | $1853671.63   | 0.01%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BZ5664                      | CUSIP: 3617U1JH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    123255 | PA      | $102612.69    | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726398                      | CUSIP: 3620AC7K4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      5214 | PA      | $5238.67      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8118                      | CUSIP: 3140QGAU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6798427 | PA      | $5343110.17   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK0782                      | CUSIP: 3138E42Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189027 | PA      | $175860.24    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6497                      | CUSIP: 3140XAGF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1972893 | PA      | $1565975.17   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7990                      | CUSIP: 36179W2X5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22042630 | PA      | $20339010.49  | 0.13%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4348                      | CUSIP: 3132E0ZM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5218341 | PA      | $5410884.40   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8278                      | CUSIP: 3133KQFT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3993210 | PA      | $3882926.49   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4138                      | CUSIP: 3142GUS46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3811087 | PA      | $3824111.01   | 0.02%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3243                      | CUSIP: 36179RS83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1302059 | PA      | $1152439.37   | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08781                      | CUSIP: 3128MJ2P4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    455787 | PA      | $437673.61    | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ8476                      | CUSIP: 3138E1M20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171382 | PA      | $159311.85    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06185                      | CUSIP: 3128M8F25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29012 | PA      | $28581.04     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7735                      | CUSIP: 3132A8SY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    488951 | PA      | $463117.49    | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5191                      | CUSIP: 36179TXU4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4092690 | PA      | $3689764.42   | 0.02%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8512                      | CUSIP: 31417VN66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    894512 | PA      | $880155.59    | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8044                      | CUSIP: 36179W5D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17864497 | PA      | $15960588.14  | 0.10%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6980                      | CUSIP: 3140XAXJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8300 | PA      | $8031.69      | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5877                      | CUSIP: 36179UQ62<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1486823 | PA      | $1427190.72   | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18651                      | CUSIP: 3128MMWM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45574 | PA      | $43521.41     | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8363                      | CUSIP: 3132D6JG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1875 | PA      | $1875.90      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4354                      | CUSIP: 31418DZU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74602 | PA      | $55132.73     | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B8002                      | CUSIP: 3128UGH67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       417 | PA      | $432.91       | 0.00%             | 2041-02-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3536                      | CUSIP: 31418C4W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    683421 | PA      | $635676.48    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3392                      | CUSIP: 31418CXW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    766632 | PA      | $745433.88    | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2894                      | CUSIP: 3140X6GC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1066353 | PA      | $933081.86    | 0.01%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4750                      | CUSIP: 3132DSH39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203390 | PA      | $186844.84    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0422                      | CUSIP: 3132CWPF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2993240 | PA      | $2723584.51   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08606                      | CUSIP: 3128MJU81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    357629 | PA      | $337928.21    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4260                      | CUSIP: 31418DWW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4642837 | PA      | $4094960.77   | 0.03%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1598                      | CUSIP: 3140XGX46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6690711 | PA      | $5212453.60   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3862                      | CUSIP: 3132E0JF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3729278 | PA      | $3725706.61   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8036                      | CUSIP: 3132DV4V4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1575967 | PA      | $1359305.25   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 915091                      | CUSIP: 31411UUQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1932 | PA      | $2013.13      | 0.00%             | 2037-04-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03815                      | CUSIP: 31292LGY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175058 | PA      | $162720.18    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08052                      | CUSIP: 3128MJBW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69081 | PA      | $71033.22     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8168                      | CUSIP: 3132DWCD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7115206 | PA      | $6096439.76   | 0.04%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3258                      | CUSIP: 3140XJTQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3216019 | PA      | $3223994.69   | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0405                      | CUSIP: 3140XFNX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2093716 | PA      | $1856565.85   | 0.01%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1201                      | CUSIP: 31418AKP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    681066 | PA      | $663511.01    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4910                        | CUSIP: 36202FN36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4683 | PA      | $4658.09      | 0.00%             | 2026-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0062                      | CUSIP: 3140W0B87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20297241 | PA      | $16615055.52  | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8244                      | CUSIP: 3132DWER0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9678677 | PA      | $8888338.68   | 0.06%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0207                      | CUSIP: 3618N5GR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3117360 | PA      | $3191471.09   | 0.02%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9488                      | CUSIP: 36179YRH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10002068 | PA      | $9964769.09   | 0.06%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5105                      | CUSIP: 3138MLU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173903 | PA      | $169493.97    | 0.00%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0745                      | CUSIP: 3140QKZK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1740699 | PA      | $1611503.41   | 0.01%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MB0290                      | CUSIP: 3138MTKC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4933134 | PA      | $4655766.94   | 0.03%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3402                      | CUSIP: 3132DQX76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4900019 | PA      | $4764845.21   | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9853                      | CUSIP: 36179Y5N0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11523324 | PA      | $11755862.58  | 0.07%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01567                      | CUSIP: 31292HW42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191811 | PA      | $193073.52    | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ0629                      | CUSIP: 3140H1VX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1122127 | PA      | $1051098.65   | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6619                      | CUSIP: 3138EPK94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1836946 | PA      | $1784609.90   | 0.01%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5105                      | CUSIP: 31418EU73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4935294 | PA      | $4661661.13   | 0.03%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4447                        | CUSIP: 36202E5G0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     99374 | PA      | $100064.13    | 0.00%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555592                      | CUSIP: 31385XF93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110529 | PA      | $113088.51    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2930                      | CUSIP: 31418CHG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1215389 | PA      | $1134659.23   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6508                      | CUSIP: 3140XNGS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3191029 | PA      | $3335964.86   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0495                      | CUSIP: 3132DMRQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3411486 | PA      | $2936083.78   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0646                      | CUSIP: 36179MWF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2419 | PA      | $2445.40      | 0.00%             | 2042-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784035                      | CUSIP: 3622A2PU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    234940 | PA      | $223001.15    | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2535                      | CUSIP: 3140XHY92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    596849 | PA      | $488013.36    | 0.00%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0257                      | CUSIP: 3618N5JB6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15186517 | PA      | $14340137.29  | 0.09%             | 2055-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1986                      | CUSIP: 3132DPF37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5565370 | PA      | $5573953.67   | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890514                      | CUSIP: 31410LK35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    460070 | PA      | $436317.82    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1877                      | CUSIP: 3142GSCP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26332050 | PA      | $26109343.85  | 0.16%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BN3897                      | CUSIP: 3617K7KJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    196831 | PA      | $181728.74    | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2738                      | CUSIP: 31418CBG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    552444 | PA      | $518100.88    | 0.00%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87434                      | CUSIP: 312934HK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12234 | PA      | $12314.44     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6026                      | CUSIP: 3140QDVU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2167667 | PA      | $1721253.64   | 0.01%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9422                      | CUSIP: 3140QHPG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    542058 | PA      | $481988.46    | 0.00%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08618                      | CUSIP: 3128MJVL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126653 | PA      | $119508.14    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7076                      | CUSIP: 31417D2J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1676173 | PA      | $1505756.68   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3851                      | CUSIP: 3133KKH44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1934811 | PA      | $1672443.54   | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6790                      | CUSIP: 3138A8RL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174578 | PA      | $171630.27    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4802                        | CUSIP: 36202FKP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    148559 | PA      | $149591.35    | 0.00%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9578                      | CUSIP: 3140XDUC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2651681 | PA      | $2079900.77   | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0567                      | CUSIP: 3132DMTY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6132874 | PA      | $4823862.59   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS2913                      | CUSIP: 3132A3GW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215252 | PA      | $221281.11    | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2060                      | CUSIP: 3140XHJE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7975909 | PA      | $7381941.53   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01648                      | CUSIP: 31292HZM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    359695 | PA      | $362096.28    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4032                      | CUSIP: 3142GUPS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6933827 | PA      | $7122437.27   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06709                      | CUSIP: 3128M8YE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30020 | PA      | $29611.53     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0361                      | CUSIP: 3132ACMJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12822566 | PA      | $11617934.64  | 0.07%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14572                      | CUSIP: 3128MDJR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       828 | PA      | $825.25       | 0.00%             | 2026-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1G2736                      | CUSIP: 3128QTBD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4140 | PA      | $4319.01      | 0.00%             | 2038-03-01      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8199                      | CUSIP: 3132D6DC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2626935 | PA      | $2596525.43   | 0.02%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB2891                      | CUSIP: 36178NF87<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    493084 | PA      | $444654.61    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3597                      | CUSIP: 36179R7J2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1261006 | PA      | $1141982.40   | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18684                      | CUSIP: 3128MMXN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1247480 | PA      | $1203752.02   | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92286                      | CUSIP: 312940RF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138623 | PA      | $136563.80    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7281                      | CUSIP: 3138EQCT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    526329 | PA      | $512744.34    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3799                      | CUSIP: 3132E0GG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5773994 | PA      | $4989215.89   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5700                      | CUSIP: 3140X9KN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2846364 | PA      | $2595276.97   | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2707                      | CUSIP: 3132DQAG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2140856 | PA      | $2089089.46   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9498                      | CUSIP: 3140XDRU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    567256 | PA      | $557869.60    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735925                      | CUSIP: 31402RSN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149964 | PA      | $150839.19    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE8396                      | CUSIP: 31419KKJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    480970 | PA      | $459066.76    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4255                      | CUSIP: 31418DWR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  38576340 | PA      | $30197879.37  | 0.19%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5551                      | CUSIP: 31418FEZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6606630 | PA      | $6235169.71   | 0.04%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV8771                      | CUSIP: 3140MNW93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    515544 | PA      | $486284.93    | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5192                      | CUSIP: 36179TXV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2894286 | PA      | $2692979.39   | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7065                      | CUSIP: 3132DUZ67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5998337 | PA      | $5815338.19   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1409                      | CUSIP: 3140QLR73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4872538 | PA      | $4157750.27   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785192                      | CUSIP: 3622AAUR3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     97079 | PA      | $89386.41     | 0.00%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08759                      | CUSIP: 3128MJZZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563965 | PA      | $541341.11    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP7534                      | CUSIP: 3138MBLQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168461 | PA      | $165050.37    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67707                      | CUSIP: 3132XCR49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1717734 | PA      | $1565391.78   | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0240                      | CUSIP: 3132ACHR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146287 | PA      | $132223.96    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0867                      | CUSIP: 3132A06C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33297 | PA      | $33488.58     | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2834                      | CUSIP: 31418CEG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1250897 | PA      | $1134161.70   | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4168                      | CUSIP: 3138WDT27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1031776 | PA      | $971833.94    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q55429                      | CUSIP: 3132XYA72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    604898 | PA      | $563942.19    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18483                      | CUSIP: 3128MMRD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349560 | PA      | $340758.08    | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2348                      | CUSIP: 3138LSTE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186018 | PA      | $177232.34    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1302                      | CUSIP: 3132DNNT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1739615 | PA      | $1698094.30   | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM7855                      | CUSIP: 3131Y2WQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3607057 | PA      | $3485125.44   | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08373                      | CUSIP: 3128MJMX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    461489 | PA      | $464498.97    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4204                      | CUSIP: 31418DU67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12456990 | PA      | $10600752.65  | 0.07%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6339                      | CUSIP: 36179VBG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3953245 | PA      | $3554165.10   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4851                      | CUSIP: 3140X8L96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1946242 | PA      | $1818182.56   | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8146                      | CUSIP: 31417FBQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20029 | PA      | $20145.77     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7707                      | CUSIP: 36179WR42<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3119805 | PA      | $2793161.50   | 0.02%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2960                      | CUSIP: 31418CJE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1415135 | PA      | $1321137.10   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0092                      | CUSIP: 3618N5C64<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  32240537 | PA      | $32037189.74  | 0.20%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7473                      | CUSIP: 36179WJS8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8585617 | PA      | $7494404.60   | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4831                      | CUSIP: 3140XLLM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2509205 | PA      | $2463430.35   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9867                      | CUSIP: 3138ER6D7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    606948 | PA      | $587757.43    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3954                      | CUSIP: 3140XKMC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6355166 | PA      | $5688612.44   | 0.04%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67709                      | CUSIP: 3132XCR64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195693 | PA      | $177909.30    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6889                      | CUSIP: 3138EPUP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    793408 | PA      | $770802.72    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9722                      | CUSIP: 36179YYT5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5012573 | PA      | $4604017.38   | 0.03%             | 2054-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7417                      | CUSIP: 36179WG28<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25176221 | PA      | $20251744.36  | 0.13%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0201                      | CUSIP: 3618N5GK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17500000 | PA      | $15576147.98  | 0.10%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3081                      | CUSIP: 3140X6M73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16366 | PA      | $15864.25     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555677                      | CUSIP: 31385XJW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    134468 | PA      | $137549.29    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9467                      | CUSIP: 3138EEQV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39909 | PA      | $39349.68     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4655                      | CUSIP: 31418EE55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19495209 | PA      | $17909366.94  | 0.11%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8227                      | CUSIP: 3132DWD83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18939102 | PA      | $17398496.69  | 0.11%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06788                      | CUSIP: 3128M82V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10941 | PA      | $11213.19     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DB2498                      | CUSIP: 3140ABX42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1517876 | PA      | $1432769.89   | 0.01%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8371                      | CUSIP: 3132D6JQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1999801 | PA      | $2001229.55   | 0.01%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4837                      | CUSIP: 3138LVLT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317730 | PA      | $294794.40    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9852                      | CUSIP: 36179Y5M2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  23272060 | PA      | $23510443.07  | 0.15%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91730                      | CUSIP: 3128P74P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    155693 | PA      | $151395.51    | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0538                      | CUSIP: 3132ACS35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    886058 | PA      | $800877.71    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4192                      | CUSIP: 3140XKUS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7471043 | PA      | $6537323.50   | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT4138                      | CUSIP: 3138WRS43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1001113 | PA      | $924419.20    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4695                      | CUSIP: 3132DSGC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2367923 | PA      | $2452333.11   | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01585                      | CUSIP: 31292HXN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56677 | PA      | $57053.43     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5177                      | CUSIP: 3133KYXE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1227523 | PA      | $1194851.20   | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2872                      | CUSIP: 3132DQFM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1886953 | PA      | $1832923.27   | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3590                      | CUSIP: 3132DQ7B6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2404776 | PA      | $2408485.45   | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4541                        | CUSIP: 36202FBJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3748296 | PA      | $3774343.98   | 0.02%             | 2039-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA8635                      | CUSIP: 31416SSZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    876183 | PA      | $862573.46    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91568                      | CUSIP: 3128P7W58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1318315 | PA      | $1268168.83   | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4280                      | CUSIP: 31418DXJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21195083 | PA      | $15677013.12  | 0.10%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08757                      | CUSIP: 3128MJZX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    774890 | PA      | $702776.38    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782105                      | CUSIP: 36241KKS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11086 | PA      | $11139.89     | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1656                      | CUSIP: 31418NZW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186607 | PA      | $183596.63    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 787172                      | CUSIP: 3622AC2D1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1881783 | PA      | $1957686.53   | 0.01%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5507                      | CUSIP: 3140JADM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2924115 | PA      | $2558663.92   | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN4365                      | CUSIP: 3140JLZ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180416 | PA      | $177702.83    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786649                      | CUSIP: 3622ACH29<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5652532 | PA      | $5768723.81   | 0.04%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8075                      | CUSIP: 3132D56L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    375908 | PA      | $349652.71    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1089                      | CUSIP: 3138WAF77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    280713 | PA      | $266244.61    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2637                      | CUSIP: 3140QM4X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1760566 | PA      | $1452730.28   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2415                      | CUSIP: 31418BVH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    365982 | PA      | $342586.91    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5071                      | CUSIP: 3133KYT41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6476337 | PA      | $5529883.68   | 0.03%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18702                      | CUSIP: 3128PYU36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95898 | PA      | $94662.95     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9830                      | CUSIP: 3140QV4Q4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4757695 | PA      | $4942906.06   | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7506                      | CUSIP: 3140XPKU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3610735 | PA      | $3607277.77   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2241                      | CUSIP: 3140X5P31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    362428 | PA      | $324457.86    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08210                      | CUSIP: 3128MJGU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    132348 | PA      | $138897.45    | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7365                      | CUSIP: 31417EFF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    256546 | PA      | $230006.13    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0844                      | CUSIP: 31417Y5E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     94010 | PA      | $93643.71     | 0.00%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5331                      | CUSIP: 36179T4Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2969655 | PA      | $2858902.01   | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5927                      | CUSIP: 3138WFSR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    795207 | PA      | $773080.66    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2893                      | CUSIP: 36179RGA1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1061762 | PA      | $1006057.40   | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4772                        | CUSIP: 36202FJR8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1353794 | PA      | $1363204.87   | 0.01%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7557                      | CUSIP: 3133KPME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6710124 | PA      | $6355386.59   | 0.04%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4053                      | CUSIP: 31418DQF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2592466 | PA      | $2413824.19   | 0.02%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0424                      | CUSIP: 3140W0PJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22530446 | PA      | $18443128.00  | 0.12%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE7758                      | CUSIP: 31419JTQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84564 | PA      | $84148.10     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5978                      | CUSIP: 3140X9UC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2504626 | PA      | $1992732.64   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5191                      | CUSIP: 31418EXV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14573919 | PA      | $14746048.52  | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6110                      | CUSIP: 3140QRYG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3992674 | PA      | $4113479.73   | 0.03%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5342                      | CUSIP: 3140XL5C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8000539 | PA      | $7982877.26   | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9580                      | CUSIP: 31417WUE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162895 | PA      | $160268.31    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4055                      | CUSIP: 31418DQH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16868306 | PA      | $13908329.86  | 0.09%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6791                      | CUSIP: 3138WGRM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1269840 | PA      | $1195017.17   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0025                      | CUSIP: 3618N5A33<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  49482169 | PA      | $48037215.50  | 0.30%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91168                      | CUSIP: 3128P7JM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5784 | PA      | $5840.95      | 0.00%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1729                      | CUSIP: 3140XG4P1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9509281 | PA      | $8596144.28   | 0.05%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04003                      | CUSIP: 31294NNU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28931 | PA      | $28424.78     | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3793                      | CUSIP: 3140J8GB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    188415 | PA      | $181597.36    | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786371                      | CUSIP: 3622AB6G2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4384490 | PA      | $4274610.42   | 0.03%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3859                      | CUSIP: 3132E0JC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4704776 | PA      | $4866240.30   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05457                      | CUSIP: 3128M7ME3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264281 | PA      | $260688.51    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3057                      | CUSIP: 31418CMF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4002617 | PA      | $3617830.19   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4293                      | CUSIP: 3138X3XX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1437021 | PA      | $1359668.24   | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82736                       | CUSIP: 36225FBE8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     69024 | PA      | $70027.85     | 0.00%             | 2041-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9427                      | CUSIP: 36179YPL2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    738010 | PA      | $760337.92    | 0.00%             | 2054-01-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254793                      | CUSIP: 31371K7E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48971 | PA      | $49227.72     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01563                      | CUSIP: 31283HWY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    650695 | PA      | $666415.54    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2043                      | CUSIP: 3133USHU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1324991 | PA      | $1138071.92   | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6835                      | CUSIP: 31417DSZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    622946 | PA      | $575569.74    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0548                      | CUSIP: 3140XFTE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5116646 | PA      | $4225194.91   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4033                      | CUSIP: 3132E0PS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4860968 | PA      | $5027793.44   | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8365                      | CUSIP: 3132DWJJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142051 | PA      | $134174.68    | 0.00%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2752                      | CUSIP: 3142GTBW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10029276 | PA      | $10207278.77  | 0.06%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0852                      | CUSIP: 36179M5M8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1161454 | PA      | $1071364.56   | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555956                      | CUSIP: 31385XTM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156073 | PA      | $159777.87    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7765                      | CUSIP: 36179WTW8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2243802 | PA      | $1724009.82   | 0.01%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4360                      | CUSIP: 31418DZ21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8546389 | PA      | $7728385.92   | 0.05%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03486                      | CUSIP: 31292K2T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183940 | PA      | $181117.33    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1382                      | CUSIP: 3140QLRC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9990248 | PA      | $8262178.58   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5084                      | CUSIP: 31418EUJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    583171 | PA      | $610569.98    | 0.00%             | 2053-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0734                      | CUSIP: 3140XFY88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1794755 | PA      | $1411118.56   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4580                      | CUSIP: 31418ECS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3288513 | PA      | $2925103.67   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03037                      | CUSIP: 3128M4V67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180913 | PA      | $186294.77    | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4135                      | CUSIP: 3140XKSZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4457618 | PA      | $4342866.56   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1376                      | CUSIP: 31427NQ69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6580000 | PA      | $6804793.20   | 0.04%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4056                      | CUSIP: 31418DQJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400536 | PA      | $371302.37    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5391                      | CUSIP: 31418E7D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5644613 | PA      | $5885114.52   | 0.04%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18627                      | CUSIP: 3128MMVV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    406329 | PA      | $393599.77    | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8928                      | CUSIP: 3140XQ4N4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6394176 | PA      | $6501907.05   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5022                      | CUSIP: 3140XLSL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4797740 | PA      | $3927367.13   | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6198                      | CUSIP: 3133KM3F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16148860 | PA      | $12752485.06  | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96413                      | CUSIP: 312945DS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1277184 | PA      | $1220454.58   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8946                      | CUSIP: 36179X5F9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4584679 | PA      | $4344923.77   | 0.03%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3274                      | CUSIP: 3140QNT85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2335856 | PA      | $2142925.33   | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60715                      | CUSIP: 31335AYL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    132266 | PA      | $133115.28    | 0.00%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6.5 6/25                  | CUSIP: 01F062663<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -44975000 | PA      | $-46183680.64 | -0.29%            | 2025-06-12      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7722                      | CUSIP: 3140QFSL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4129252 | PA      | $3440799.79   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7484                      | CUSIP: 3140XBJ68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5354034 | PA      | $4453013.60   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 887624                      | CUSIP: 31410FD51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2287 | PA      | $2391.85      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4352                      | CUSIP: 3133KKZR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10090467 | PA      | $7914667.66   | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40269                      | CUSIP: 3132FCJN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20195179 | PA      | $18142759.19  | 0.11%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67706                      | CUSIP: 3132XCR31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204724 | PA      | $186503.10    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2148                      | CUSIP: 3140QML69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15461459 | PA      | $12084031.72  | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4279                      | CUSIP: 31418DXH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3822977 | PA      | $3461846.14   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8813                      | CUSIP: 3140QGYK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2200087 | PA      | $1738746.97   | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759192                      | CUSIP: 36230UF95<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1121 | PA      | $1115.91      | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5130                      | CUSIP: 3133KYVX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3617738 | PA      | $2959788.70   | 0.02%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5263                      | CUSIP: 36179TZ40<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1383142 | PA      | $1246971.99   | 0.01%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9602                      | CUSIP: 36179YU36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    731465 | PA      | $672075.08    | 0.00%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3310                      | CUSIP: 36179RVB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3884861 | PA      | $3524249.04   | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3431                      | CUSIP: 3138A4Y58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143897 | PA      | $143061.59    | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0890                      | CUSIP: 3132CW7B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6105475 | PA      | $5524916.21   | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785313                      | CUSIP: 3622AAYJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    122443 | PA      | $101745.46    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2469                      | CUSIP: 3140Q9W74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    717132 | PA      | $667704.98    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4839                      | CUSIP: 31418ELV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1238817 | PA      | $1137271.29   | 0.01%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B4777                      | CUSIP: 3128JQFT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1390 | PA      | $1436.55      | 0.00%             | 2040-06-01      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7629                      | CUSIP: 3140XPPP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2400481 | PA      | $2392931.00   | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2073                      | CUSIP: 36179QJS1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    342275 | PA      | $313282.17    | 0.00%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07787                      | CUSIP: 3128M96Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1307257 | PA      | $1239962.91   | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5614                      | CUSIP: 31418FGY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9645937 | PA      | $9555312.62   | 0.06%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5116                        | CUSIP: 36202FVH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    107084 | PA      | $107827.02    | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1704                      | CUSIP: 3132AD3M8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4393212 | PA      | $4229604.09   | 0.03%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5545                      | CUSIP: 3140QRET6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2287284 | PA      | $2362029.62   | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9726                      | CUSIP: 36179YYX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  14190148 | PA      | $14356565.51  | 0.09%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4406                      | CUSIP: 3132E03P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6302187 | PA      | $6609109.34   | 0.04%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1676                      | CUSIP: 36179N2H0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    218746 | PA      | $197194.75    | 0.00%             | 2044-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8507                      | CUSIP: 3132D6NY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8617190 | PA      | $7857039.52   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8156                      | CUSIP: 3132DWBZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13050887 | PA      | $10695520.73  | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1682                      | CUSIP: 3140X42Q8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156572 | PA      | $152953.27    | 0.00%             | 2029-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG6304                      | CUSIP: 3133C7AD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17754244 | PA      | $17620730.73  | 0.11%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0625                      | CUSIP: 36179MVS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1385570 | PA      | $1279222.18   | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3185                      | CUSIP: 31418CRF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    566395 | PA      | $527290.27    | 0.00%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7987                      | CUSIP: 36179W2U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  31428740 | PA      | $26356669.74  | 0.16%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3375                      | CUSIP: 3132DQXC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4807627 | PA      | $4777482.32   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08595                      | CUSIP: 3128MJUV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    599919 | PA      | $567086.71    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8446                      | CUSIP: 3132DWL35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7993410 | PA      | $7923307.18   | 0.05%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4438                      | CUSIP: 31418D4Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9227182 | PA      | $7553250.60   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5270                      | CUSIP: 31418E2C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1176583 | PA      | $1140319.71   | 0.01%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8210                      | CUSIP: 3140XCDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16148535 | PA      | $13994062.01  | 0.09%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0885                      | CUSIP: 31427M6X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6180407 | PA      | $6315689.40   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5395                      | CUSIP: 3140XL7H5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6599562 | PA      | $6858021.60   | 0.04%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC7907                      | CUSIP: 3133ASYC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5102350 | PA      | $4219767.89   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0435                      | CUSIP: 3132DMPU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2170402 | PA      | $1797688.60   | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01523                      | CUSIP: 31292HVQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    103663 | PA      | $104319.85    | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1989                      | CUSIP: 3140QMF74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165673 | PA      | $153169.17    | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08502                      | CUSIP: 3128MJRY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241524 | PA      | $217710.54    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5066                      | CUSIP: 31417BTY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    111287 | PA      | $109681.97    | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2031                      | CUSIP: 3140Q9HH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2543453 | PA      | $2380866.76   | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4417                      | CUSIP: 3131XX4A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    285174 | PA      | $257759.02    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0561                      | CUSIP: 31417YTT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40299 | PA      | $38465.02     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2824                      | CUSIP: 3138EKD69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209661 | PA      | $193869.18    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08248                      | CUSIP: 3128MJH29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12039 | PA      | $12410.35     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8088                      | CUSIP: 3132D56Z0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2210170 | PA      | $1949359.41   | 0.01%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3238                      | CUSIP: 3140XJS46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10987651 | PA      | $8553153.60   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08354                      | CUSIP: 3128MJMC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    152639 | PA      | $153637.65    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5248                      | CUSIP: 31418EZN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7705711 | PA      | $7914781.21   | 0.05%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0222                      | CUSIP: 3140XFG88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8698311 | PA      | $7103717.69   | 0.04%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93505                      | CUSIP: 3129413N5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1174739 | PA      | $1156818.41   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0133                      | CUSIP: 3132DMEE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2046598 | PA      | $1960786.78   | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0747                      | CUSIP: 31427MZM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7646440 | PA      | $7907666.22   | 0.05%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2520                      | CUSIP: 31329KYR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160498 | PA      | $153598.81    | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5604                      | CUSIP: 3140X9GN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    894502 | PA      | $829775.47    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 721749                      | CUSIP: 3620A7ZN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     20180 | PA      | $19834.04     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8201                      | CUSIP: 3132DWDE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3873070 | PA      | $3305506.28   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 357669                      | CUSIP: 31376KJN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67501 | PA      | $69248.26     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2609                      | CUSIP: 31418B3T1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    530372 | PA      | $481042.89    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8982                      | CUSIP: 3138WJ6U7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    292876 | PA      | $281236.79    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783046                      | CUSIP: 36241LL38<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    543075 | PA      | $521469.71    | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2985                      | CUSIP: 3138LTJ74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195470 | PA      | $185585.98    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2714                      | CUSIP: 3140X6AQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3204867 | PA      | $2759259.10   | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7526                      | CUSIP: 3132DVLF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10757868 | PA      | $8933999.30   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7255                      | CUSIP: 36179WBY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8636658 | PA      | $7246895.78   | 0.05%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890297                      | CUSIP: 31410LDA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1493 | PA      | $1487.03      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8337                      | CUSIP: 3132D6HN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3248926 | PA      | $3146542.22   | 0.02%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5044                      | CUSIP: 3133KYS91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1354974 | PA      | $1231362.20   | 0.01%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM3821                      | CUSIP: 3131XXG62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    303540 | PA      | $284801.08    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0193                      | CUSIP: 3140XFGB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    732030 | PA      | $605406.35    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1381                      | CUSIP: 31427NRB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8530000 | PA      | $8767964.82   | 0.05%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3125                      | CUSIP: 31418CPK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    439419 | PA      | $424280.13    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4517                      | CUSIP: 31418EAT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7357249 | PA      | $6797394.32   | 0.04%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2670                      | CUSIP: 31418B6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3615993 | PA      | $3168591.48   | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4266                      | CUSIP: 31418DW40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254847 | PA      | $210078.96    | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4153                      | CUSIP: 31418DTK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1420201 | PA      | $1253800.15   | 0.01%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4842                      | CUSIP: 31418ELY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7744764 | PA      | $7710724.61   | 0.05%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB2801                      | CUSIP: 31416YDF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10163 | PA      | $10095.41     | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3851                      | CUSIP: 31418DH54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    929252 | PA      | $888547.71    | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9288                      | CUSIP: 3140GYKA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1098649 | PA      | $1029106.18   | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 676940                      | CUSIP: 36295QBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     13036 | PA      | $13098.81     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725705                      | CUSIP: 31402DGN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67711 | PA      | $68087.42     | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1468                      | CUSIP: 3138EHT28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    274257 | PA      | $255438.97    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8802                      | CUSIP: 36179XX76<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10809696 | PA      | $10967715.62  | 0.07%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7513                      | CUSIP: 3132DVK20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2733918 | PA      | $2467678.59   | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7507                      | CUSIP: 3140XBKV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2373760 | PA      | $1968350.23   | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4268                      | CUSIP: 31418DW65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11772953 | PA      | $9996431.00   | 0.06%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3089                      | CUSIP: 31418CNF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1962908 | PA      | $1856403.23   | 0.01%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8494                      | CUSIP: 3132DWNK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9180486 | PA      | $9094234.52   | 0.06%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0216                      | CUSIP: 3140XFG21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3370264 | PA      | $3070855.39   | 0.02%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18670                      | CUSIP: 3128MMW82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    271299 | PA      | $262019.39    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0022                      | CUSIP: 31417YAY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9356 | PA      | $9310.77      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9487                      | CUSIP: 36179YRG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7740742 | PA      | $7532237.96   | 0.05%             | 2054-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0843                      | CUSIP: 3138EG5D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     37101 | PA      | $36786.05     | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3871                      | CUSIP: 31418DJR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6208663 | PA      | $5355105.24   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4292                      | CUSIP: 3138X3XW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186166 | PA      | $176102.95    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738711                      | CUSIP: 3620ASVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     24714 | PA      | $23695.37     | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5055                      | CUSIP: 3140X8TM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    497049 | PA      | $469407.59    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3243                      | CUSIP: 3140X6S93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    344423 | PA      | $309697.67    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0067                      | CUSIP: 3132DMCC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    524641 | PA      | $532172.61    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2414                      | CUSIP: 31418BVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1008477 | PA      | $915940.46    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04585                      | CUSIP: 3128M6NA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    620464 | PA      | $638993.72    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8067                      | CUSIP: 3132DV6C4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15406082 | PA      | $12702690.24  | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM4908                      | CUSIP: 3131XYNZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    993431 | PA      | $897928.39    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782068                      | CUSIP: 36241KJM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     89432 | PA      | $89868.36     | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ3023                      | CUSIP: 3140KNLD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    386568 | PA      | $304420.85    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4534                      | CUSIP: 3140X8BC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4141952 | PA      | $3577700.34   | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6603                      | CUSIP: 3140QEKR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3300450 | PA      | $2693454.28   | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5689                      | CUSIP: 3140XMKB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1879950 | PA      | $1848592.53   | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08610                      | CUSIP: 3128MJVC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    266747 | PA      | $251935.70    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6208                      | CUSIP: 31417C3S2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    300974 | PA      | $270224.10    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1908                      | CUSIP: 3140J6DN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    478226 | PA      | $453555.34    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4978                      | CUSIP: 31418EQ86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14607805 | PA      | $14186110.79  | 0.09%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5382                      | CUSIP: 3132DS6T4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2379355 | PA      | $2421584.33   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5296                      | CUSIP: 3132DS3D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2422584 | PA      | $2473151.25   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8251                      | CUSIP: 3140QGEZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5665428 | PA      | $4625251.72   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782696                      | CUSIP: 36241K7H5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    135235 | PA      | $135874.80    | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q08998                      | CUSIP: 3132GUKK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    958113 | PA      | $889311.43    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08551                      | CUSIP: 3128MJTH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    553758 | PA      | $524539.12    | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8282                      | CUSIP: 3132DWFX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6494656 | PA      | $6703848.92   | 0.04%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3254                      | CUSIP: 3142GTTL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8913473 | PA      | $8882653.31   | 0.06%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0984                      | CUSIP: 31419BCW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47909 | PA      | $47082.92     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0907                      | CUSIP: 3138WAAH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138115 | PA      | $136226.99    | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7607                      | CUSIP: 3140QFNZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6777746 | PA      | $5871368.56   | 0.04%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5597                      | CUSIP: 3140XMGF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5717182 | PA      | $5055034.83   | 0.03%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q46873                      | CUSIP: 3132WLT71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168760 | PA      | $162263.99    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3501                      | CUSIP: 31418C3K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    642192 | PA      | $633838.12    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18465                      | CUSIP: 3128MMQT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574745 | PA      | $561471.28    | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8220                      | CUSIP: 3132DWDZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14878401 | PA      | $12684157.01  | 0.08%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782654                      | CUSIP: 36241K5P9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    420852 | PA      | $422837.49    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3472                      | CUSIP: 31418C2E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1523684 | PA      | $1507196.44   | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8123                      | CUSIP: 3132D6AY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4036298 | PA      | $3647447.55   | 0.02%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61080                      | CUSIP: 31335BFV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    545306 | PA      | $527554.82    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8470                      | CUSIP: 3132DWMT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8466459 | PA      | $8552564.52   | 0.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04221                      | CUSIP: 3128M6AW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5666 | PA      | $5837.33      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783262                      | CUSIP: 36241LTT3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    209913 | PA      | $206299.39    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0211                      | CUSIP: 3142GQGV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5336883 | PA      | $5590540.66   | 0.03%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18673                      | CUSIP: 3128MMXB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1848278 | PA      | $1784553.16   | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1218                      | CUSIP: 3140Q8K87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    600715 | PA      | $575528.01    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8151                      | CUSIP: 36179XBU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13356133 | PA      | $12721326.36  | 0.08%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7346                      | CUSIP: 3140XBEU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    571627 | PA      | $492147.80    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2771                      | CUSIP: 31418CCH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4770763 | PA      | $4174519.86   | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781885                      | CUSIP: 36241KCW6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     23793 | PA      | $23906.51     | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4923                        | CUSIP: 36202FPG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    503770 | PA      | $495469.58    | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8115                      | CUSIP: 3138WJAR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264247 | PA      | $230478.28    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9364                      | CUSIP: 36179YMM3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9719251 | PA      | $9950312.38   | 0.06%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0563                      | CUSIP: 3138W9TV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177856 | PA      | $173955.39    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4891                      | CUSIP: 3140QQNH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2705059 | PA      | $2560996.35   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7244                      | CUSIP: 3138WHBN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184136 | PA      | $167009.58    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7866                      | CUSIP: 3140QTW47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6556345 | PA      | $6768549.20   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723517                      | CUSIP: 3620A9YN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     50257 | PA      | $49411.20     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3149                      | CUSIP: 31418CQB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    871416 | PA      | $812989.30    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3520                      | CUSIP: 36179R4D8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3905242 | PA      | $3456489.96   | 0.02%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995112                      | CUSIP: 31416BN53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162592 | PA      | $166829.41    | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5444                      | CUSIP: 31418FBN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7181360 | PA      | $7118379.22   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18726                      | CUSIP: 3128MMYY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1343571 | PA      | $1301577.75   | 0.01%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4921                      | CUSIP: 3138WEPF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13811 | PA      | $12643.89     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2756                      | CUSIP: 36179RBZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    183893 | PA      | $180279.62    | 0.00%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0375                      | CUSIP: 31419AMZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       489 | PA      | $487.44       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8269                      | CUSIP: 3132DWFJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2138480 | PA      | $2172425.02   | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4617                      | CUSIP: 31418EDX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    281314 | PA      | $251430.19    | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5443                      | CUSIP: 31418FBM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2996250 | PA      | $2902030.88   | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4123                      | CUSIP: 3140QPSM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15890062 | PA      | $14602447.70  | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4703                      | CUSIP: 3140J9GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    860182 | PA      | $776414.13    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1860                      | CUSIP: 3133L8B53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8374101 | PA      | $7603991.01   | 0.05%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2387                      | CUSIP: 31418BUM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    367017 | PA      | $333339.85    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6621                      | CUSIP: 3138WGLB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    850290 | PA      | $771736.61    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4098                      | CUSIP: 3133KKRT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8939900 | PA      | $7404690.07   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7503                      | CUSIP: 3132DVKQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2181022 | PA      | $1969988.97   | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9668                      | CUSIP: 3138WKW68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    602414 | PA      | $562399.77    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA5176                      | CUSIP: 31346YXD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    658453 | PA      | $544556.32    | 0.00%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786699                      | CUSIP: 3622ACKL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4434665 | PA      | $4105432.89   | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254903                      | CUSIP: 31371LDG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219374 | PA      | $220543.48    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0036                      | CUSIP: 3132CWBD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89796 | PA      | $87189.43     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3244                      | CUSIP: 36179RS91<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3670251 | PA      | $3329559.87   | 0.02%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6367                      | CUSIP: 3140XACD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1097297 | PA      | $1023056.20   | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4586                      | CUSIP: 36179TCX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4936360 | PA      | $4459631.19   | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC9564                      | CUSIP: 31417WTW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192317 | PA      | $189245.64    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8146                      | CUSIP: 3132DWBP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  58164483 | PA      | $45495287.11  | 0.28%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5108                      | CUSIP: 3140J9VA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164646 | PA      | $158925.73    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3313                      | CUSIP: 31416YVF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47866 | PA      | $47013.57     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2642                      | CUSIP: 31418B5C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1167155 | PA      | $1058599.71   | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE8289                      | CUSIP: 31419KF75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165457 | PA      | $157893.49    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4603                      | CUSIP: 31418EDH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3433222 | PA      | $3169823.40   | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7192                      | CUSIP: 36179V7D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  41997609 | PA      | $33756615.61  | 0.21%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4035                      | CUSIP: 3140XKPV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2093060 | PA      | $2039179.39   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2877                      | CUSIP: 3140X6FT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27808 | PA      | $27317.27     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8099                      | CUSIP: 3140QF7M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1104350 | PA      | $873121.76    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1117                      | CUSIP: 31427NG37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10301339 | PA      | $10427272.14  | 0.07%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8499                      | CUSIP: 3138WJNR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161045 | PA      | $151304.16    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5584                      | CUSIP: 31418FF28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3359998 | PA      | $3171080.65   | 0.02%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3311                      | CUSIP: 36179RVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2114849 | PA      | $1978328.92   | 0.01%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 744386                      | CUSIP: 3620AY6X9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     10521 | PA      | $10093.03     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04729                      | CUSIP: 3128M6SS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172136 | PA      | $177152.30    | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8177                      | CUSIP: 3132DWCN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  40188059 | PA      | $31346517.26  | 0.20%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0089                      | CUSIP: 3142GQC34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3579675 | PA      | $3671453.50   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4181                      | CUSIP: 3140QBUF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82269 | PA      | $78819.34     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0022                      | CUSIP: 36179MAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1207901 | PA      | $1117865.91   | 0.01%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5475                      | CUSIP: 3138WFCM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172579 | PA      | $161763.18    | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3938                      | CUSIP: 36179SLT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    320604 | PA      | $299908.19    | 0.00%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01674                      | CUSIP: 31292H2F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163013 | PA      | $167183.24    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5099                      | CUSIP: 3140J9UZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    326385 | PA      | $292458.82    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8298                      | CUSIP: 3140XCGG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    641546 | PA      | $623893.66    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 6/25                  | CUSIP: 01F052664<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -23300000 | PA      | $-23074297.56 | -0.14%            | 2025-06-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7940                      | CUSIP: 3140XPZE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12444077 | PA      | $11952454.19  | 0.07%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2330                      | CUSIP: 3140X5SU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1927552 | PA      | $1742249.12   | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4236                      | CUSIP: 3138WDV65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    402319 | PA      | $368227.54    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0595                      | CUSIP: 31427MUV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3081223 | PA      | $3133983.29   | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7530                      | CUSIP: 3132DVLK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1159196 | PA      | $960857.18    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4532                      | CUSIP: 3140X8BA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1123947 | PA      | $969779.64    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9110                      | CUSIP: 3138ERDQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    224202 | PA      | $217393.46    | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5217                      | CUSIP: 31418EYP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6627460 | PA      | $6809345.89   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745336                      | CUSIP: 31403DBD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185665 | PA      | $186748.25    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1541                      | CUSIP: 3140Q8WB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    986005 | PA      | $923592.32    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA4194                      | CUSIP: 31329MUT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    461322 | PA      | $415333.40    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3101                      | CUSIP: 3142GTNT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4455406 | PA      | $4580117.75   | 0.03%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2635                      | CUSIP: 3140QM4V3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1329130 | PA      | $1093408.18   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6263                      | CUSIP: 3132DT5Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4870495 | PA      | $4995369.44   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5265                      | CUSIP: 36179TZ65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4719666 | PA      | $4546597.06   | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08774                      | CUSIP: 3128MJ2G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1639570 | PA      | $1483912.75   | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR4722                      | CUSIP: 3140L3G88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1646275 | PA      | $1300550.07   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5620                      | CUSIP: 3138A7G69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20451 | PA      | $20346.62     | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5051                      | CUSIP: 31417BTH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18668 | PA      | $17750.64     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09012                      | CUSIP: 31294UAM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277746 | PA      | $272109.96    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18575                      | CUSIP: 3128MMT94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1405927 | PA      | $1367624.83   | 0.01%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QI8169                      | CUSIP: 3133WFCE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2675232 | PA      | $2708333.48   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP7830                      | CUSIP: 3138MBVY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145362 | PA      | $142418.01    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4656                      | CUSIP: 31418EE63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4190792 | PA      | $3969241.44   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0535                      | CUSIP: 3132ACSY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5998740 | PA      | $5459550.70   | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786577                      | CUSIP: 3622ACFS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4620923 | PA      | $4502230.72   | 0.03%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR3175                      | CUSIP: 3138W0Q51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12638 | PA      | $12374.80     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89601                      | CUSIP: 312936U21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1448 | PA      | $1427.32      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2587                      | CUSIP: 3132DP2U1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2081432 | PA      | $1965467.77   | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5164                      | CUSIP: 31418EW22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6220547 | PA      | $6030768.66   | 0.04%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8145                      | CUSIP: 3132DWBN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21803876 | PA      | $16113681.10  | 0.10%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5738                      | CUSIP: 3140XMLU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6275299 | PA      | $6479387.30   | 0.04%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737191                      | CUSIP: 3620AQ7C1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     53265 | PA      | $53511.71     | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5186                      | CUSIP: 3140XLXQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7101385 | PA      | $6375206.93   | 0.04%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9309                      | CUSIP: 3140QVKX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7729785 | PA      | $7525364.83   | 0.05%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4383                      | CUSIP: 3132E02Q4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5067848 | PA      | $5157793.39   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4423                      | CUSIP: 31418D4H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2783950 | PA      | $2434631.07   | 0.02%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2803                      | CUSIP: 31418CDH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4300445 | PA      | $4118915.34   | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256514                      | CUSIP: 31371M3X3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    305548 | PA      | $319789.68    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91819                      | CUSIP: 3128P8AU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403195 | PA      | $382270.63    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8468                      | CUSIP: 3132DWMR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19348105 | PA      | $18739688.00  | 0.12%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9670                      | CUSIP: 36179YW75<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2570053 | PA      | $2626936.28   | 0.02%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60080                      | CUSIP: 31335ACR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    514335 | PA      | $472835.06    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4038                      | CUSIP: 3140XKPY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5452741 | PA      | $5326004.80   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2 6/25                    | CUSIP: 01F020463<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -26965000 | PA      | $-24351724.78 | -0.15%            | 2025-06-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8503                      | CUSIP: 3132D6NU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9380343 | PA      | $8552871.83   | 0.05%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3786                      | CUSIP: 31418DF49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    303928 | PA      | $299119.55    | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5912                      | CUSIP: 3140QRSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2155272 | PA      | $2191503.92   | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2635                      | CUSIP: 3132DP4U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5887221 | PA      | $5087053.90   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1069                      | CUSIP: 3132CXFJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2007929 | PA      | $1907149.47   | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4729                      | CUSIP: 31418EHF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1282024 | PA      | $1213293.95   | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6360                      | CUSIP: 3140QEB68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18519052 | PA      | $15437239.32  | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3842                      | CUSIP: 3132E0HT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4200787 | PA      | $4253027.08   | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9426                      | CUSIP: 36179YPK4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2168249 | PA      | $2239411.20   | 0.01%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4155                      | CUSIP: 31418DTM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3306241 | PA      | $3008387.73   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4700                      | CUSIP: 31418EGJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7418302 | PA      | $6812540.41   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2045                      | CUSIP: 31418BHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    631922 | PA      | $578282.60    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3616                      | CUSIP: 3140XKAS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5987027 | PA      | $4885934.11   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1147                      | CUSIP: 3131XUHY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    499228 | PA      | $452795.25    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9867                      | CUSIP: 3140XD6D3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1400386 | PA      | $1160341.36   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07805                      | CUSIP: 3128MAAE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    687366 | PA      | $676206.38    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08021                      | CUSIP: 3128MJAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22036 | PA      | $22642.89     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1905                      | CUSIP: 3140XHDK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11606869 | PA      | $10491057.89  | 0.07%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745840                      | CUSIP: 31403DS59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183855 | PA      | $192221.84    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD8213                      | CUSIP: 3133B6DS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4759950 | PA      | $4105559.05   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5049                      | CUSIP: 3133KYTE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1163688 | PA      | $1057526.82   | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4077                      | CUSIP: 31418DQ70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  30808760 | PA      | $24175119.72  | 0.15%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5381                      | CUSIP: 3138LV6T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160906 | PA      | $153082.40    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5304                      | CUSIP: 3140J93N9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144565 | PA      | $140207.74    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A86314                      | CUSIP: 312933AP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159911 | PA      | $153495.18    | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE4309                      | CUSIP: 31419EYF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72614 | PA      | $69285.89     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1074                      | CUSIP: 3132DNFP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4701561 | PA      | $4227543.91   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9093                      | CUSIP: 3140XDC79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11015574 | PA      | $9638864.46   | 0.06%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3905                      | CUSIP: 31418DKT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6612301 | PA      | $5703251.68   | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06361                      | CUSIP: 3128M8MJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    126278 | PA      | $121124.62    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM0057                      | CUSIP: 3140X3B31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    777580 | PA      | $746457.82    | 0.00%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3678                      | CUSIP: 3140J8CQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    323855 | PA      | $315305.08    | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2301                      | CUSIP: 3138EJRX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    733995 | PA      | $680368.45    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5583                      | CUSIP: 31418FFZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179999 | PA      | $165075.99    | 0.00%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6296                      | CUSIP: 3140X97J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    685838 | PA      | $648625.30    | 0.00%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9543                      | CUSIP: 3133AUS82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5115412 | PA      | $4257746.16   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0821                      | CUSIP: 31417Y4F1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78439 | PA      | $77065.71     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2686                      | CUSIP: 3132DP6X1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3937000 | PA      | $3837127.61   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8318                      | CUSIP: 3138WJG44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    660299 | PA      | $575918.84    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9318                      | CUSIP: 3140XDK88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3453191 | PA      | $3146415.63   | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91177                      | CUSIP: 3128P7JW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1340 | PA      | $1334.01      | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08804                      | CUSIP: 3128MJ3N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1650208 | PA      | $1491478.24   | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02790                      | CUSIP: 31294MC33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       926 | PA      | $923.48       | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3985                      | CUSIP: 31418DNB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165670 | PA      | $157510.41    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0090                      | CUSIP: 3618N5C49<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  19687864 | PA      | $18596766.72  | 0.12%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0107                      | CUSIP: 3140W0DM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3638055 | PA      | $3691961.67   | 0.02%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY8520                      | CUSIP: 3138YNPE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106212 | PA      | $93269.34     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5148                      | CUSIP: 3133KYWH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1990749 | PA      | $1673353.51   | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91359                      | CUSIP: 3128P7QL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     96845 | PA      | $96580.16     | 0.00%             | 2031-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1376                      | CUSIP: 36179NQ50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2401536 | PA      | $2283275.10   | 0.01%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7552                      | CUSIP: 3132DVL94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24980809 | PA      | $20698770.91  | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QB8823                      | CUSIP: 3133AFYU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1913769 | PA      | $1595293.13   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1678                      | CUSIP: 36179N2K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      5080 | PA      | $4826.98      | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1974                      | CUSIP: 3142GSFQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7859989 | PA      | $7955278.41   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 719256                      | CUSIP: 3620A5BZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     16190 | PA      | $15908.18     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8546                      | CUSIP: 3140XQP84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2016560 | PA      | $2102480.22   | 0.01%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745353                      | CUSIP: 31403DBW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165648 | PA      | $170230.13    | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3910                      | CUSIP: 3142GUKY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5996171 | PA      | $6167290.15   | 0.04%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD5474                      | CUSIP: 31418TCL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192708 | PA      | $194098.09    | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK2413                      | CUSIP: 3138E6VF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    310743 | PA      | $295527.34    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6541                      | CUSIP: 36179VHS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5456264 | PA      | $4766438.84   | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7052                      | CUSIP: 36179VZR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27618236 | PA      | $23174064.33  | 0.14%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8939                      | CUSIP: 3140XQ4Z7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17212593 | PA      | $16988686.47  | 0.11%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2140                      | CUSIP: 3140XHLW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1650212 | PA      | $1474553.17   | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9571                      | CUSIP: 31417GT55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    578539 | PA      | $533198.68    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4401                      | CUSIP: 3140X73K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1533088 | PA      | $1215444.56   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8331                      | CUSIP: 3132DWHG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3943481 | PA      | $3913825.28   | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5117                      | CUSIP: 3133KYVJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3237213 | PA      | $2656910.12   | 0.02%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4617                      | CUSIP: 3140X8DX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3287776 | PA      | $2993286.33   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8152                      | CUSIP: 3132DWBV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8344325 | PA      | $7173691.04   | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890517                      | CUSIP: 31410LK68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44806 | PA      | $46997.31     | 0.00%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7505                      | CUSIP: 3132DVKS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2251963 | PA      | $2167393.55   | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9302                      | CUSIP: 3138MRKQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    976467 | PA      | $901385.16    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8817                      | CUSIP: 3140XCYP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7653375 | PA      | $6315177.95   | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 6/25                    | CUSIP: 01F050668<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $3098374.08   | 0.02%             | 2025-06-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17508                      | CUSIP: 3128PXKV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    244529 | PA      | $241708.40    | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8010                      | CUSIP: 3132DV3T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    217236 | PA      | $187641.86    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8201                      | CUSIP: 36179XDE3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  27802484 | PA      | $26481054.54  | 0.17%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH1111                      | CUSIP: 3138A2GV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62654 | PA      | $59764.44     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6208                      | CUSIP: 3140XM3S3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2942733 | PA      | $2950030.23   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1294                      | CUSIP: 3140X4NL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81204 | PA      | $80147.70     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2856                      | CUSIP: 3140QNE65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1066871 | PA      | $883995.74    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4156                      | CUSIP: 31418DTN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1286781 | PA      | $1196904.65   | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5645                      | CUSIP: 31418FHX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2306122 | PA      | $2233424.50   | 0.01%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5603                      | CUSIP: 3140X9GM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2893818 | PA      | $2552952.65   | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2458                      | CUSIP: 31418BWU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    526911 | PA      | $493229.01    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6931                      | CUSIP: 36179VVY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5933076 | PA      | $4978358.52   | 0.03%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723538                      | CUSIP: 3620A9ZB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     23054 | PA      | $22664.59     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1377                      | CUSIP: 36179NQ68<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    498590 | PA      | $488845.56    | 0.00%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8743                      | CUSIP: 3140XQWD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12436141 | PA      | $11306675.69  | 0.07%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q39359                      | CUSIP: 3132QWMH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    452857 | PA      | $411986.74    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6337                      | CUSIP: 36179VBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11276 | PA      | $9497.16      | 0.00%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4416                      | CUSIP: 3140J84A8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67111 | PA      | $67498.94     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08392                      | CUSIP: 3128MJNJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185682 | PA      | $183034.02    | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6830                      | CUSIP: 3140XASU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1856109 | PA      | $1826002.38   | 0.01%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8107                      | CUSIP: 3132D6AG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7828127 | PA      | $7078871.07   | 0.04%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5331                        | CUSIP: 36202F4Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    603321 | PA      | $558514.62    | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698091                      | CUSIP: 36296QRL5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     63844 | PA      | $62829.15     | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1307                      | CUSIP: 31418ANZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    701059 | PA      | $673050.41    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1632                      | CUSIP: 3138X0Y69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    503853 | PA      | $450873.52    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08633                      | CUSIP: 3128MJV31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317690 | PA      | $299705.86    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18676                      | CUSIP: 3128MMXE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    286703 | PA      | $273218.32    | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO8044                      | CUSIP: 3138LY5E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128979 | PA      | $119878.26    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8617                      | CUSIP: 3132A9SE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2041999 | PA      | $1957504.65   | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0157                      | CUSIP: 36179ME63<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     68714 | PA      | $69191.11     | 0.00%             | 2042-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1677                      | CUSIP: 36179N2J6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    336049 | PA      | $308264.93    | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8878                      | CUSIP: 36179X2K1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3571814 | PA      | $3482300.88   | 0.02%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4945                      | CUSIP: 3140XLP77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4631034 | PA      | $4543656.67   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2596                      | CUSIP: 3138EJ3E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296292 | PA      | $290117.62    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18574                      | CUSIP: 3128MMT86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    562822 | PA      | $542203.54    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q04649                      | CUSIP: 3132GKZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    630986 | PA      | $587269.18    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8110                      | CUSIP: 3132D6AK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5303456 | PA      | $4662707.97   | 0.03%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9421                      | CUSIP: 3140XRPF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2213304 | PA      | $1979089.42   | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1599                      | CUSIP: 3133L7X44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5417373 | PA      | $4939488.60   | 0.03%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7827                      | CUSIP: 3140XBVV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6524351 | PA      | $5617198.39   | 0.04%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2765                      | CUSIP: 3140QNCB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10699971 | PA      | $8379370.17   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK4523                      | CUSIP: 3138E9AZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    768815 | PA      | $730902.97    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7390                      | CUSIP: 3140QFF87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1832124 | PA      | $1654277.39   | 0.01%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 677219                      | CUSIP: 36295QK82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     40298 | PA      | $40495.35     | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2760                      | CUSIP: 31329LB50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6305 | PA      | $6187.38      | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK4374                      | CUSIP: 3131X72F4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159244 | PA      | $156109.31    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH2594                      | CUSIP: 3140GQ3C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    955338 | PA      | $863498.22    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735500                      | CUSIP: 31402RDD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161278 | PA      | $165529.21    | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8133                      | CUSIP: 3140QUBB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4064937 | PA      | $3943463.11   | 0.02%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5104                      | CUSIP: 3133KYU56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5944723 | PA      | $4895898.43   | 0.03%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18582                      | CUSIP: 3128MMUG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1221899 | PA      | $1187795.27   | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8475                      | CUSIP: 3132DWMY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26969971 | PA      | $26716585.84  | 0.17%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0537                      | CUSIP: 3132ACS27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4510751 | PA      | $4095441.16   | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9016                      | CUSIP: 3140QVAS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5819221 | PA      | $5902498.92   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0287                      | CUSIP: 3140XFJ93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2499013 | PA      | $1964057.90   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3448                      | CUSIP: 31418CZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    510141 | PA      | $504620.67    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8949                      | CUSIP: 36179X5J1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1799931 | PA      | $1826242.56   | 0.01%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2959                      | CUSIP: 31418CJD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    488762 | PA      | $440920.43    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1357                      | CUSIP: 3140J5QK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50018 | PA      | $49141.58     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3655                      | CUSIP: 3138WDBZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254176 | PA      | $246457.69    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08817                      | CUSIP: 3128MJ4B3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2014243 | PA      | $1877863.08   | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0933                      | CUSIP: 3138EHBB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1646790 | PA      | $1654996.98   | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4715                      | CUSIP: 31418EGZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1163650 | PA      | $1132678.47   | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5110                      | CUSIP: 3133KYVB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2379120 | PA      | $1956580.33   | 0.01%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4970                      | CUSIP: 3140X8QY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1524533 | PA      | $1532451.17   | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9461                      | CUSIP: 3138EEQP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    118011 | PA      | $115951.53    | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B7981                      | CUSIP: 3128UGHH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16468 | PA      | $17096.46     | 0.00%             | 2041-02-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0894                      | CUSIP: 3132DM7F6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    911271 | PA      | $724171.51    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8258                      | CUSIP: 3132DWE74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10213987 | PA      | $9928708.21   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7292                      | CUSIP: 3140XBC65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3582460 | PA      | $3222391.50   | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8312                      | CUSIP: 3140XCGW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2367108 | PA      | $1960614.88   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08808                      | CUSIP: 3128MJ3S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    741492 | PA      | $670169.81    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5122                      | CUSIP: 31418EVQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2074099 | PA      | $2129351.72   | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1432                      | CUSIP: 3142GRSW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2933836 | PA      | $2975821.47   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3396                      | CUSIP: 3131XJXZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34144 | PA      | $31687.17     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89870                      | CUSIP: 3129366F9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223472 | PA      | $220262.79    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9870                      | CUSIP: 3140XD6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3843916 | PA      | $3164357.27   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2305                      | CUSIP: 36179QR29<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    937068 | PA      | $909148.21    | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7323                      | CUSIP: 3132DVD44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5264136 | PA      | $5098189.77   | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4473                      | CUSIP: 31418D6K3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7153344 | PA      | $5848061.19   | 0.04%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4747                        | CUSIP: 36202FHY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2163274 | PA      | $2178313.79   | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA5511                      | CUSIP: 3133A0DQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6703055 | PA      | $5543590.35   | 0.03%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60854                      | CUSIP: 31335A5P9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124208 | PA      | $119970.69    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7935                      | CUSIP: 36179WY85<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9844265 | PA      | $7915647.49   | 0.05%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4286                      | CUSIP: 31418DXQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    281908 | PA      | $232216.70    | 0.00%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7672                      | CUSIP: 3140XBQ29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4641295 | PA      | $3787700.16   | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08624                      | CUSIP: 3128MJVS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1494254 | PA      | $1409954.49   | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01501                      | CUSIP: 31292HU28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24219 | PA      | $24791.72     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4501                      | CUSIP: 31418EAB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5578625 | PA      | $4702822.30   | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1577                      | CUSIP: 3140X4XF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1310296 | PA      | $1267922.22   | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3897                      | CUSIP: 31418DKK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294037 | PA      | $279830.66    | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4855                      | CUSIP: 3140J9MD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84774 | PA      | $79407.77     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2594                      | CUSIP: 3140XH3C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11660247 | PA      | $9643308.70   | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3053                      | CUSIP: 3133KJMA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325823 | PA      | $257602.08    | 0.00%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK3542                      | CUSIP: 3131X65B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33197 | PA      | $32904.69     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15736                      | CUSIP: 3128MESZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60167 | PA      | $58809.60     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18607                      | CUSIP: 3128MMU92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1028356 | PA      | $986926.38    | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7779                      | CUSIP: 31418VUD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56339 | PA      | $56625.90     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89729                      | CUSIP: 312936Y27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    235010 | PA      | $225011.48    | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13882                      | CUSIP: 3128PTJ30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9448 | PA      | $9408.87      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4319                      | CUSIP: 3132E0YQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2807753 | PA      | $2842669.56   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3410                      | CUSIP: 31418CYG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1457867 | PA      | $1417555.05   | 0.01%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5435                      | CUSIP: 3140XMBD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2293578 | PA      | $2235789.69   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8119                      | CUSIP: 3132D6AU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3927320 | PA      | $3550196.41   | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8479                      | CUSIP: 3138ANM59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14295 | PA      | $14364.36     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2560                      | CUSIP: 3140XHZ26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1441525 | PA      | $1331922.13   | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8205                      | CUSIP: 3132DWDJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5328941 | PA      | $4355540.14   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2821                      | CUSIP: 3140XJD34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1638718 | PA      | $1560151.11   | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8010                      | CUSIP: 3132D53T7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    628986 | PA      | $589574.53    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0241                      | CUSIP: 3140Q7HT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    743388 | PA      | $693545.28    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0146                      | CUSIP: 3618N5EU9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  30806285 | PA      | $29904286.38  | 0.19%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8665                      | CUSIP: 3140XCTX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3502524 | PA      | $3123822.01   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0005                      | CUSIP: 31417YAF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3891 | PA      | $3872.28      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3688                      | CUSIP: 31418DC26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2306445 | PA      | $2206135.09   | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6474                      | CUSIP: 3132DUFP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9683217 | PA      | $8336852.77   | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5938                      | CUSIP: 3138WFS49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1114551 | PA      | $1012281.46   | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV2051                      | CUSIP: 3140MFH55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170638 | PA      | $152421.18    | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3669                      | CUSIP: 31418DCF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150653 | PA      | $148410.36    | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04320                      | CUSIP: 3128M6DZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2281 | PA      | $2392.73      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7616                      | CUSIP: 3140XBPA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6030263 | PA      | $5445548.54   | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5504                      | CUSIP: 31417CDJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2190947 | PA      | $2037128.80   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8541                      | CUSIP: 3140XCP36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    791124 | PA      | $751664.22    | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1355                      | CUSIP: 31416WQH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    130975 | PA      | $131641.01    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE4400                      | CUSIP: 3133BD3H6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1147287 | PA      | $1090308.97   | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0210                      | CUSIP: 31419AGU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    261144 | PA      | $262476.50    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8342                      | CUSIP: 3132DWHT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4262964 | PA      | $4230906.16   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6961                      | CUSIP: 3138A8WX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17717 | PA      | $17626.62     | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3987                      | CUSIP: 3133KKNC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5068960 | PA      | $4174728.87   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04359                      | CUSIP: 3128M6E87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20242 | PA      | $20834.63     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9986                      | CUSIP: 3138WLCY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39787 | PA      | $38193.13     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4117                        | CUSIP: 36202ESE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       853 | PA      | $894.35       | 0.00%             | 2038-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01573                      | CUSIP: 31292HXA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181629 | PA      | $186061.26    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE1733                      | CUSIP: 31419B4T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219520 | PA      | $209767.67    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16485                      | CUSIP: 3128MFNA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1070789 | PA      | $1033268.91   | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4588                      | CUSIP: 36179TCZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    176370 | PA      | $170343.56    | 0.00%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY7916                      | CUSIP: 3140NQYN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190904 | PA      | $193613.55    | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0943                      | CUSIP: 31419BBM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191678 | PA      | $192649.24    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4623                      | CUSIP: 31418ED56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11826243 | PA      | $9666025.05   | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7728                      | CUSIP: 31417ESS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    734463 | PA      | $638727.34    | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5119                      | CUSIP: 3140XLVM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3317410 | PA      | $3376288.46   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2100                      | CUSIP: 3140QMKN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    540322 | PA      | $482468.77    | 0.00%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3427                      | CUSIP: 36179RYY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    433862 | PA      | $417408.79    | 0.00%             | 2031-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8141                      | CUSIP: 3132D6BJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3666810 | PA      | $3312409.56   | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698094                      | CUSIP: 36296QRP6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    147899 | PA      | $145501.96    | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI5737                      | CUSIP: 3138AKLT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2920 | PA      | $2866.71      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91236                      | CUSIP: 3128P7LR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8257 | PA      | $8226.75      | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5499                      | CUSIP: 31418FDD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9458570 | PA      | $9711503.41   | 0.06%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8129                      | CUSIP: 3132DWA60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2350366 | PA      | $1929855.14   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1888                      | CUSIP: 3138AFC24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1663054 | PA      | $1633692.14   | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08768                      | CUSIP: 3128MJ2A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    861982 | PA      | $828803.75    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1961                      | CUSIP: 31418BFB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150815 | PA      | $147295.58    | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8104                      | CUSIP: 3140XCAE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3264994 | PA      | $2784497.72   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6459                      | CUSIP: 3140XNE91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5505204 | PA      | $5611513.85   | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0201                      | CUSIP: 3142GQGK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2403264 | PA      | $2481799.57   | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 CA2286                      | CUSIP: 3617U9RF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    634655 | PA      | $505558.27    | 0.00%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0538                      | CUSIP: 3142GQS45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4079460 | PA      | $4258055.40   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82959                       | CUSIP: 36225FJD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     44469 | PA      | $44982.84     | 0.00%             | 2041-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3183                      | CUSIP: 31418CRD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1521354 | PA      | $1419350.25   | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07786                      | CUSIP: 3128M96X5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1212020 | PA      | $1150074.80   | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08887                      | CUSIP: 3128MJ6Z8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1298807 | PA      | $1126614.55   | 0.01%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3875                      | CUSIP: 36179SJU2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1132218 | PA      | $1059129.96   | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18368                      | CUSIP: 3128MMMS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3820 | PA      | $3804.31      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5064                      | CUSIP: 3133KYTV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219157 | PA      | $187363.02    | 0.00%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7768                      | CUSIP: 36179WTZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17440182 | PA      | $15218125.07  | 0.09%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8636                      | CUSIP: 3140XQS24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9151098 | PA      | $9052075.91   | 0.06%             | 2050-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738538                      | CUSIP: 3620ASPX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    517735 | PA      | $496388.94    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2654                      | CUSIP: 3138EJ5Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7132 | PA      | $7024.48      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82714                       | CUSIP: 36225FAQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      3279 | PA      | $3326.59      | 0.00%             | 2041-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4228                      | CUSIP: 31418DVW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6862141 | PA      | $6052376.37   | 0.04%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07941                      | CUSIP: 3128MAEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150251 | PA      | $147178.24    | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8384                      | CUSIP: 3132D6J50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2000001 | PA      | $2001429.49   | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2011                      | CUSIP: 3133USGU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2068673 | PA      | $1931264.97   | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6334                      | CUSIP: 3140QEBC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6509419 | PA      | $5391584.75   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q20121                      | CUSIP: 3132JMD22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    153210 | PA      | $146195.60    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04715                      | CUSIP: 3128M6SC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82239 | PA      | $86282.14     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3755                      | CUSIP: 31418DE57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325980 | PA      | $321128.83    | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3698                      | CUSIP: 3140X7DC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    477398 | PA      | $457083.02    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1109                      | CUSIP: 31416WGT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       305 | PA      | $307.73       | 0.00%             | 2030-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5559                      | CUSIP: 3138ENE96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    334347 | PA      | $329006.64    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8911                      | CUSIP: 3140XC3V8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4299000 | PA      | $3857509.03   | 0.02%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0610                      | CUSIP: 3140XFVC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12516335 | PA      | $11384848.09  | 0.07%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4705                      | CUSIP: 3140X8GP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4411591 | PA      | $3474109.35   | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4564                      | CUSIP: 31418ECA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5750665 | PA      | $4907957.07   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91725                      | CUSIP: 3128P74J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    232175 | PA      | $225769.09    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0232                      | CUSIP: 3138W9HJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191627 | PA      | $181139.91    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4786                        | CUSIP: 36202FJ72<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2233 | PA      | $2226.37      | 0.00%             | 2025-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1015                      | CUSIP: 31418ADV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    259983 | PA      | $234570.44    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5146                      | CUSIP: 3133KYWF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2328834 | PA      | $2031297.56   | 0.01%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6516                      | CUSIP: 3140QSG21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6034056 | PA      | $5904650.51   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6317                      | CUSIP: 3140QSAT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5285764 | PA      | $5139370.41   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8246                      | CUSIP: 3132DWET6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8713184 | PA      | $8457570.36   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17231                      | CUSIP: 3128PXA89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84743 | PA      | $83809.04     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0395                      | CUSIP: 3132D9NL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    741616 | PA      | $647187.43    | 0.00%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60989                      | CUSIP: 31335BC20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4453369 | PA      | $3915836.20   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6055                      | CUSIP: 3140X9WR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11728087 | PA      | $9199168.94   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4738                      | CUSIP: 3140X8HQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1747441 | PA      | $1620448.94   | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7386                      | CUSIP: 3140XBF47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3242366 | PA      | $2936745.00   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q09530                      | CUSIP: 3132GU4P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200506 | PA      | $186118.25    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3896                      | CUSIP: 31418DKJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243847 | PA      | $227958.82    | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1880                      | CUSIP: 3140J6CS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     72035 | PA      | $68175.53     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0768                      | CUSIP: 3138W92A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87711 | PA      | $86512.45     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1695                      | CUSIP: 3140XG3D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7783729 | PA      | $7259529.35   | 0.05%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3471                      | CUSIP: 3138EK2D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    265985 | PA      | $252655.31    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8405                      | CUSIP: 3138WJKT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    589150 | PA      | $557687.28    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7420                      | CUSIP: 36179WG51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4904404 | PA      | $4393978.06   | 0.03%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6146                      | CUSIP: 3132DTZK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24140350 | PA      | $24004075.52  | 0.15%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95121                      | CUSIP: 312943VN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7843 | PA      | $7715.94      | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890765                      | CUSIP: 31410LTW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1063403 | PA      | $965826.13    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7557                      | CUSIP: 3132DVME2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4973586 | PA      | $4744845.54   | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5371                      | CUSIP: 3140X86H5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1091392 | PA      | $947488.27    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4112                      | CUSIP: 3140XKSA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4271904 | PA      | $3715313.36   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2560                      | CUSIP: 31418BZ25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209628 | PA      | $199040.23    | 0.00%             | 2036-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4964                      | CUSIP: 36179TQR9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    387266 | PA      | $373790.93    | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2272                      | CUSIP: 36179QQZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     93402 | PA      | $91131.56     | 0.00%             | 2029-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4154                      | CUSIP: 3140X7TL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12923974 | PA      | $10177575.32  | 0.06%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0095                      | CUSIP: 31418MC91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140129 | PA      | $146986.33    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6880                      | CUSIP: 3140XAUE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2895301 | PA      | $2742355.96   | 0.02%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0531                      | CUSIP: 3132ACSU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8400287 | PA      | $7650487.93   | 0.05%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18884                      | CUSIP: 3128PY2R4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18185 | PA      | $17877.24     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4653                      | CUSIP: 36179TE27<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1501417 | PA      | $1398396.07   | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2760                      | CUSIP: 3138EKB61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    121380 | PA      | $119342.16    | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03600                      | CUSIP: 3128M5KM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $10792.21     | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08716                      | CUSIP: 3128MJYN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    610273 | PA      | $554242.01    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0538                      | CUSIP: 3132CWS39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2608294 | PA      | $2419595.18   | 0.02%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8346                      | CUSIP: 36179XHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29081514 | PA      | $26849781.10  | 0.17%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8378                      | CUSIP: 3132D6JX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4781839 | PA      | $4785254.50   | 0.03%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5304                        | CUSIP: 36202F3M6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    409282 | PA      | $378876.60    | 0.00%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61282                      | CUSIP: 31335BM78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2486763 | PA      | $2183495.56   | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4653                      | CUSIP: 3140XLE38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8843143 | PA      | $8787695.51   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5622                      | CUSIP: 31418FG84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1562216 | PA      | $1549217.19   | 0.01%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6395                      | CUSIP: 3140QSC90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1855042 | PA      | $1802070.84   | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8648                      | CUSIP: 36179XTD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11274068 | PA      | $11256687.66  | 0.07%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9486                      | CUSIP: 36179YRF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4525252 | PA      | $4273402.69   | 0.03%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698402                      | CUSIP: 36296Q3K3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     94763 | PA      | $93212.44     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 778794                      | CUSIP: 36176W7F2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    661341 | PA      | $614969.27    | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3651                      | CUSIP: 3138WDBV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    261671 | PA      | $253725.16    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08701                      | CUSIP: 3128MJX70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    501615 | PA      | $440128.37    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785843                      | CUSIP: 3622ABLY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16561157 | PA      | $13642635.84  | 0.09%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW5583                      | CUSIP: 3140MXFZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    477653 | PA      | $445813.76    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8444                      | CUSIP: 31417FL22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20413 | PA      | $19952.37     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6523                      | CUSIP: 3138EBG90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142632 | PA      | $140582.64    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5185                      | CUSIP: 3138MLXP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     37631 | PA      | $36803.24     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7475                      | CUSIP: 36179WJU3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2422271 | PA      | $2235059.67   | 0.01%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7550                      | CUSIP: 3140XBL81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54991 | PA      | $53141.83     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE6394                      | CUSIP: 3133BGC71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1342060 | PA      | $1304345.60   | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8182                      | CUSIP: 3132D6CT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20279 | PA      | $19121.29     | 0.00%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7909                      | CUSIP: 3138EQYF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6257840 | PA      | $5720785.02   | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1601                      | CUSIP: 36179NX60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    669015 | PA      | $635858.11    | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6339                      | CUSIP: 3140XABH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2399828 | PA      | $2183631.43   | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5613                      | CUSIP: 31418FGX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26668399 | PA      | $25827707.01  | 0.16%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4182                      | CUSIP: 31418DUG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21831612 | PA      | $17103611.87  | 0.11%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995246                      | CUSIP: 31416BTB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54623 | PA      | $54941.45     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5486                      | CUSIP: 31419GCY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1853 | PA      | $1845.03      | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2484                      | CUSIP: 31418BXN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    866418 | PA      | $811033.39    | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1170                      | CUSIP: 3138AEJQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21734 | PA      | $21842.58     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3237                      | CUSIP: 31418CS39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61301 | PA      | $53352.48     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3738                      | CUSIP: 36179SEK9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    339992 | PA      | $333146.14    | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784101                      | CUSIP: 3622A2RW4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2517378 | PA      | $2303635.60   | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05447                      | CUSIP: 3128M7L46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29743 | PA      | $29331.50     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3592                      | CUSIP: 3132DQ7D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5136067 | PA      | $5119913.12   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 6/25                  | CUSIP: 01F022667<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  59860000 | PA      | $48783553.49  | 0.30%             | 2025-06-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8341                      | CUSIP: 3140QUHT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3563918 | PA      | $3655292.73   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8070                      | CUSIP: 3132D56F4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1527077 | PA      | $1413783.63   | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3800                      | CUSIP: 31418DGJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1148388 | PA      | $1045416.34   | 0.01%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04121                      | CUSIP: 3128M54E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21141 | PA      | $21785.17     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8385                      | CUSIP: 3132D6J68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113380 | PA      | $114989.28    | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2839                      | CUSIP: 3140QNEM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5055240 | PA      | $3992038.72   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3665                      | CUSIP: 31418DCB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159651 | PA      | $152707.34    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4920                      | CUSIP: 31418EPE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5294148 | PA      | $5364947.77   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4044                      | CUSIP: 36179SP50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     73429 | PA      | $71059.01     | 0.00%             | 2031-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2620                      | CUSIP: 3140XH4E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3637956 | PA      | $3551126.23   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4945                        | CUSIP: 36202FP67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    901941 | PA      | $864401.00    | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA8275                      | CUSIP: 36178GFQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    169396 | PA      | $156955.94    | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890247                      | CUSIP: 31410LBQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63973 | PA      | $67004.38     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1873                      | CUSIP: 3140XHCK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3530924 | PA      | $3051015.19   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX4902                      | CUSIP: 3138Y6NU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437241 | PA      | $400940.36    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2678                      | CUSIP: 36179Q6P1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2984663 | PA      | $2726084.11   | 0.02%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1359                      | CUSIP: 3138WAQM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63034 | PA      | $62161.47     | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5114                      | CUSIP: 3133KYVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6820899 | PA      | $5776209.12   | 0.04%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3228                      | CUSIP: 3140X6SS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4557459 | PA      | $4208325.54   | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7273                      | CUSIP: 31417ECK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    483486 | PA      | $436080.88    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4032                      | CUSIP: 3140J8PS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    580012 | PA      | $527153.41    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3662                      | CUSIP: 36179SB71<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2450871 | PA      | $2167708.69   | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G13885                      | CUSIP: 3128MCRE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       187 | PA      | $186.61       | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8298                      | CUSIP: 3132DWGF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3256377 | PA      | $3081935.56   | 0.02%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2.5 6/25                  | CUSIP: 01F022469<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8200000 | PA      | $7567387.22   | 0.05%             | 2025-06-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09029                      | CUSIP: 31292SA67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1063935 | PA      | $955241.67    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2227                      | CUSIP: 3132AEPL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5301284 | PA      | $4935901.89   | 0.03%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4518                        | CUSIP: 36202FAT3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    115042 | PA      | $110566.43    | 0.00%             | 2039-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726468                      | CUSIP: 3620ADCD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      5639 | PA      | $5665.71      | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1083                      | CUSIP: 3140XGFZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10103528 | PA      | $8322238.59   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4111                      | CUSIP: 3140X7R92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1220677 | PA      | $1107906.13   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5125                      | CUSIP: 3133KYVS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2744081 | PA      | $2316758.26   | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 2.5 6/25                  | CUSIP: 21H022663<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6580000 | PA      | $5514264.38   | 0.03%             | 2025-06-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1152                      | CUSIP: 3140X4H66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45329 | PA      | $43433.95     | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889572                      | CUSIP: 31410KJR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     99231 | PA      | $102110.69    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91752                      | CUSIP: 3128P75M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    222157 | PA      | $215533.05    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5327                      | CUSIP: 3133KY4L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4212358 | PA      | $4071281.57   | 0.03%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01838                      | CUSIP: 3128LXBF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    442052 | PA      | $445147.19    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9453                      | CUSIP: 3138WKQF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213150 | PA      | $199391.90    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7269                      | CUSIP: 3138WHCF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129573 | PA      | $124388.18    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18438                      | CUSIP: 3128MMPY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76230 | PA      | $74853.14     | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BO3004                      | CUSIP: 3617KJKR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    333606 | PA      | $299149.45    | 0.00%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1579                      | CUSIP: 3140X4XH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1398342 | PA      | $1353120.92   | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04014                      | CUSIP: 31292LN76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199232 | PA      | $184993.82    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14056                      | CUSIP: 3128MCWR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        98 | PA      | $97.76        | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2062                      | CUSIP: 3133USJF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2610436 | PA      | $2057338.53   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP0525                      | CUSIP: 3138M3SP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215827 | PA      | $199318.48    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1782                      | CUSIP: 3140QL6U5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13564104 | PA      | $10622332.00  | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08739                      | CUSIP: 3128MJZD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168178 | PA      | $157264.14    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0206                      | CUSIP: 3618N5GQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17674080 | PA      | $17859263.78  | 0.11%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5451                      | CUSIP: 3140QRBV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2194948 | PA      | $2207936.35   | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3323                      | CUSIP: 3140XJVR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2278302 | PA      | $1866985.42   | 0.01%             | 2042-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555678                      | CUSIP: 31385XJX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    239503 | PA      | $240765.88    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8382                      | CUSIP: 3132DWJ38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8943915 | PA      | $8671050.99   | 0.05%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4520                      | CUSIP: 31418EAW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11529122 | PA      | $9709911.49   | 0.06%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6902                      | CUSIP: 31417DU43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106129 | PA      | $95854.57     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8986                      | CUSIP: 3140XC6Y9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4374636 | PA      | $4069086.93   | 0.03%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08762                      | CUSIP: 3128MJZ45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27456 | PA      | $25665.83     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ0813                      | CUSIP: 3140H13X6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106515 | PA      | $92870.26     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4399                      | CUSIP: 31418D3H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20404777 | PA      | $16703082.97  | 0.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0844                      | CUSIP: 3140QK5E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7041502 | PA      | $5744276.71   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 733746                      | CUSIP: 3620AMET5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     19822 | PA      | $19474.93     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08593                      | CUSIP: 3128MJUT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88430 | PA      | $86021.28     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8085                      | CUSIP: 3132D56W7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    703363 | PA      | $652917.44    | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1346                      | CUSIP: 3132ADP77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    218570 | PA      | $214346.05    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889996                      | CUSIP: 31410KXZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32721 | PA      | $33656.78     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5072                      | CUSIP: 3138WET66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1014161 | PA      | $890582.20    | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848285                      | CUSIP: 31300LF26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2794 | PA      | $2888.97      | 0.00%             | 2040-06-01      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0791                      | CUSIP: 31417Y2Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172604 | PA      | $173473.15    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9907                      | CUSIP: 36180AAG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20862191 | PA      | $21062850.21  | 0.13%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7919                      | CUSIP: 3133KPYQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    951665 | PA      | $875738.97    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4442                      | CUSIP: 3138LU5C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84103 | PA      | $87022.12     | 0.00%             | 2042-09-01      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1704                      | CUSIP: 3140Q83N3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1130663 | PA      | $1088909.04   | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6981                      | CUSIP: 3132DUXJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3254361 | PA      | $3235827.29   | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18512                      | CUSIP: 3128MMSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173836 | PA      | $170022.31    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725594                      | CUSIP: 31402DC73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27558 | PA      | $28244.72     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5466                      | CUSIP: 36179UCB6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5030302 | PA      | $4675712.81   | 0.03%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726323                      | CUSIP: 3620AC4G6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     72156 | PA      | $72496.42     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7151                      | CUSIP: 31418U5M2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3405 | PA      | $3393.48      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4072                      | CUSIP: 31418DQ21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    870340 | PA      | $769523.09    | 0.00%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8002                      | CUSIP: 3132D53K6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    433631 | PA      | $413493.07    | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q01798                      | CUSIP: 3132GE7K0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    352045 | PA      | $346514.11    | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7928                      | CUSIP: 3132A8YZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13538 | PA      | $13197.76     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 615447                      | CUSIP: 36290RWG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1622 | PA      | $1605.03      | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3383                      | CUSIP: 31418CXM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2364620 | PA      | $2132127.84   | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7556                      | CUSIP: 3140XBME7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3898547 | PA      | $3489653.35   | 0.02%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92179                      | CUSIP: 312940M48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79453 | PA      | $79962.70     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0862                      | CUSIP: 3140Q75Y9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1016895 | PA      | $919136.91    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 759137                      | CUSIP: 36230UEJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    395049 | PA      | $378914.09    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0418                      | CUSIP: 3132DMPB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4465264 | PA      | $4076468.27   | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5077                      | CUSIP: 3133KYUA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3503661 | PA      | $2987844.90   | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7375                      | CUSIP: 31417EFR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     71527 | PA      | $69954.41     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4681                      | CUSIP: 3132A5FW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1382022 | PA      | $1164128.09   | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9432                      | CUSIP: 3140QHPS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4821376 | PA      | $4388533.35   | 0.03%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0480                      | CUSIP: 3133BMQ99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2275084 | PA      | $2216161.79   | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8038                      | CUSIP: 3140XB4Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3911887 | PA      | $3364918.12   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737942                      | CUSIP: 3620ARZF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11087 | PA      | $11028.61     | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3004                      | CUSIP: 31418CKS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171651 | PA      | $164754.74    | 0.00%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4094                      | CUSIP: 31418DRQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3463833 | PA      | $3060584.15   | 0.02%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6574                      | CUSIP: 3140XAJU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3629468 | PA      | $3002792.84   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8097                      | CUSIP: 3132DV7J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15345788 | PA      | $12041583.89  | 0.08%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0215                      | CUSIP: 3138EGGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    737519 | PA      | $724870.23    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7519                      | CUSIP: 3132DVK87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2780125 | PA      | $2515467.50   | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698375                      | CUSIP: 36296Q2G3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    485752 | PA      | $477802.04    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8198                      | CUSIP: 36179XDB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5688199 | PA      | $4973685.33   | 0.03%             | 2052-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08619                      | CUSIP: 3128MJVM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    845046 | PA      | $749230.32    | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4340                      | CUSIP: 3140J8ZE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    341268 | PA      | $299043.82    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5109                      | CUSIP: 3133KYVA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1244606 | PA      | $1092724.21   | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08708                      | CUSIP: 3128MJYE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203631 | PA      | $196365.92    | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1366                      | CUSIP: 31418AQU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    473317 | PA      | $453649.15    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9016                      | CUSIP: 36179YAR5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20367949 | PA      | $19870240.12  | 0.12%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7528                      | CUSIP: 3132DVLH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8533505 | PA      | $6765433.29   | 0.04%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7920                      | CUSIP: 3140XBYS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2050826 | PA      | $1784903.49   | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01882                      | CUSIP: 3128LXCT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    116157 | PA      | $116985.71    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QI6074                      | CUSIP: 3133WCXB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    585924 | PA      | $595901.93    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08861                      | CUSIP: 3128MJ5X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172131 | PA      | $154874.62    | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6614                      | CUSIP: 3132DUK30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3848732 | PA      | $4006676.96   | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0215                      | CUSIP: 31419AGZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    382123 | PA      | $365853.84    | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9226                      | CUSIP: 3140XDHC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1870295 | PA      | $1626612.83   | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5009                      | CUSIP: 31418ER77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1634912 | PA      | $1587077.51   | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8092                      | CUSIP: 3132DV7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4071422 | PA      | $3504054.91   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8511                      | CUSIP: 3132D6N48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3406036 | PA      | $3102384.97   | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6474                      | CUSIP: 36179VFP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17011946 | PA      | $14871031.34  | 0.09%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4446                      | CUSIP: 31418D5G3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2895564 | PA      | $2443194.77   | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6153                      | CUSIP: 36179UZS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12339943 | PA      | $10802414.72  | 0.07%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0010                      | CUSIP: 3132D9AK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52685 | PA      | $52883.04     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3377                      | CUSIP: 3138WCXF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124538 | PA      | $114207.26    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC8568                      | CUSIP: 31417VQW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    639138 | PA      | $628827.58    | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3867                      | CUSIP: 3138WDJM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    842572 | PA      | $794615.43    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1257                      | CUSIP: 3140J5MF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    806228 | PA      | $733387.57    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5109                      | CUSIP: 3140J9VB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2326109 | PA      | $2254147.85   | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2211                      | CUSIP: 3132AEN44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    712564 | PA      | $663451.34    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1112                      | CUSIP: 31418AGW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151159 | PA      | $143399.34    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5208                        | CUSIP: 36202FYD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     15770 | PA      | $15586.86     | 0.00%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02384                      | CUSIP: 3128LXUH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146205 | PA      | $153123.88    | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8448                      | CUSIP: 3132DWL50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29939767 | PA      | $30742730.55  | 0.19%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2327                      | CUSIP: 3132DPSQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3049118 | PA      | $2922940.66   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4157                      | CUSIP: 31418DTP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21323335 | PA      | $15818519.83  | 0.10%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0262                      | CUSIP: 3140Y6JG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7760378 | PA      | $7901143.11   | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8162                      | CUSIP: 3140QUB88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13158338 | PA      | $13387764.20  | 0.08%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5113                      | CUSIP: 3133KYVE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1149872 | PA      | $944765.45    | 0.01%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8307                      | CUSIP: 3132DWGQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1102087 | PA      | $1068851.60   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2838                      | CUSIP: 31329LEK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12973 | PA      | $12666.19     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889455                      | CUSIP: 31410KE42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16435 | PA      | $17227.30     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0641                      | CUSIP: 3140W0WB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327941 | PA      | $278482.50    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7508                      | CUSIP: 3132DVKV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2528281 | PA      | $2283647.65   | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3936                      | CUSIP: 3140X7LS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177488 | PA      | $168861.44    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4516                      | CUSIP: 3140X8AS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2694945 | PA      | $2457214.79   | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3781                      | CUSIP: 3138X3FX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189181 | PA      | $184308.58    | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15537                      | CUSIP: 3128MELS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76242 | PA      | $74783.20     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5079                      | CUSIP: 36179TUC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    660302 | PA      | $637326.98    | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784443                      | CUSIP: 3622A25C2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    991218 | PA      | $974609.39    | 0.01%             | 2042-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV9931                      | CUSIP: 3140MQA90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    191570 | PA      | $175986.52    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2086                      | CUSIP: 3138EJJ82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3268 | PA      | $3391.11      | 0.00%             | 2042-05-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5915                      | CUSIP: 3140X9SD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    817299 | PA      | $822112.54    | 0.01%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5764                      | CUSIP: 36179UMM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2120661 | PA      | $2035606.62   | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FP0042                      | CUSIP: 3140XTBL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7104305 | PA      | $5574629.61   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7039                      | CUSIP: 3138WGZD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    623960 | PA      | $600918.25    | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4299                      | CUSIP: 3140QBX52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1711797 | PA      | $1480206.09   | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0977                      | CUSIP: 3140XGCP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4574538 | PA      | $3949211.88   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4665                      | CUSIP: 3140XLFF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2724047 | PA      | $2659030.15   | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7328                      | CUSIP: 3140QFEA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    198451 | PA      | $157333.64    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4563                      | CUSIP: 3140QQB95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1960984 | PA      | $1906213.27   | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01749                      | CUSIP: 31283H5J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    142801 | PA      | $146644.87    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6715                      | CUSIP: 3138EPN91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141510 | PA      | $133482.67    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3654                      | CUSIP: 3142GUBY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15531148 | PA      | $15717008.89  | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A89941                      | CUSIP: 312937BJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31771 | PA      | $31312.14     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR9198                      | CUSIP: 3138W7GG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146225 | PA      | $131064.88    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6733                      | CUSIP: 3140XAPT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1734619 | PA      | $1661383.48   | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5658                      | CUSIP: 31418FJC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3976958 | PA      | $4002976.69   | 0.02%             | 2045-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0139                      | CUSIP: 36179MEL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    117533 | PA      | $115778.39    | 0.00%             | 2027-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4392                      | CUSIP: 3140QP3A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4840137 | PA      | $4584257.99   | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2722                      | CUSIP: 3138WQAY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3022086 | PA      | $2705766.64   | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01371                      | CUSIP: 31292HQY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6026 | PA      | $6355.79      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0824                      | CUSIP: 3132DM4H5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5305041 | PA      | $4395687.18   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5228                        | CUSIP: 36202FYZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     10207 | PA      | $10114.24     | 0.00%             | 2026-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1273                      | CUSIP: 31418AMX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    129974 | PA      | $120102.04    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8267                      | CUSIP: 3132DWFG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8404827 | PA      | $8180584.83   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2521                      | CUSIP: 36179QYS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    991883 | PA      | $906442.93    | 0.01%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3735                      | CUSIP: 36179SEG8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5548935 | PA      | $4907837.81   | 0.03%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6983                      | CUSIP: 3140QEXM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1824230 | PA      | $1436003.31   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2832                      | CUSIP: 31418CEE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3789947 | PA      | $3547235.22   | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5098                      | CUSIP: 3140J9UY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    946355 | PA      | $934340.10    | 0.01%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3822                      | CUSIP: 3140XKG87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4326202 | PA      | $4399550.35   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4311                      | CUSIP: 31418DYH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    390999 | PA      | $331649.76    | 0.00%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4372                      | CUSIP: 3140XK2E9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11995722 | PA      | $9435335.05   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08796                      | CUSIP: 3128MJ3E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    823248 | PA      | $744061.93    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9135                      | CUSIP: 3140QVEH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4587653 | PA      | $4610498.99   | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5694                      | CUSIP: 3132DTKF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6596048 | PA      | $6765163.36   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0867                      | CUSIP: 3138EG6D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7424 | PA      | $7365.74      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7937                      | CUSIP: 36179WZA9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18102672 | PA      | $15790549.43  | 0.10%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9229                      | CUSIP: 3138ERHF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    383384 | PA      | $376496.09    | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK4740                      | CUSIP: 3140HJHS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411733 | PA      | $383355.06    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08818                      | CUSIP: 3128MJ4C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1502353 | PA      | $1440301.70   | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5023                      | CUSIP: 31418ESM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3188314 | PA      | $3088836.35   | 0.02%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1839                      | CUSIP: 36179QBG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    213409 | PA      | $202758.40    | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q10378                      | CUSIP: 3132HLM34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    447263 | PA      | $403030.31    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4801                        | CUSIP: 36202FKN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    776136 | PA      | $763499.32    | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256939                      | CUSIP: 31371NLU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2279 | PA      | $2457.78      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4742                      | CUSIP: 3138M8HU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    423713 | PA      | $415373.90    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN5342                      | CUSIP: 3140JM5C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3156308 | PA      | $2932846.34   | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1374                      | CUSIP: 3140XGQ44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6633679 | PA      | $5652244.99   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4654                      | CUSIP: 31418EE48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3632661 | PA      | $3227814.40   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5437                      | CUSIP: 3138ENBF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    366126 | PA      | $367991.22    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5090                      | CUSIP: 3133KYUP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2673392 | PA      | $2273133.10   | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AB9203                      | CUSIP: 36178WGL7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    842677 | PA      | $758913.49    | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6684                      | CUSIP: 36179VM98<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    188901 | PA      | $179832.71    | 0.00%             | 2035-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6040                      | CUSIP: 36179UV90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1045916 | PA      | $969573.68    | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16505                      | CUSIP: 3128MFNW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    596139 | PA      | $581791.75    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0933                      | CUSIP: 36179NBA5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2893575 | PA      | $2614745.84   | 0.02%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3058                      | CUSIP: 31418CMG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1498989 | PA      | $1398484.04   | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q21319                      | CUSIP: 3132JNPC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1297341 | PA      | $1196274.24   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1059                      | CUSIP: 31418AE95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    398717 | PA      | $388929.59    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8073                      | CUSIP: 3132D56J6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2893820 | PA      | $2552336.23   | 0.02%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 787109                      | CUSIP: 3622ACYE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2807020 | PA      | $2924630.32   | 0.02%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4856                      | CUSIP: 3140J9ME8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    425280 | PA      | $399423.98    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7795                      | CUSIP: 3133KPUU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4874192 | PA      | $4751763.71   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA2226                      | CUSIP: 31334YPK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190054 | PA      | $166894.90    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256803                      | CUSIP: 31371NGL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1733 | PA      | $1749.62      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03202                      | CUSIP: 3128M43K7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13667 | PA      | $14076.32     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0361                      | CUSIP: 3132CWMJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1442525 | PA      | $1371475.98   | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6760                      | CUSIP: 3132DUQM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7060133 | PA      | $6865920.96   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3805                      | CUSIP: 36179SGN1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    197075 | PA      | $191203.33    | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0543                      | CUSIP: 3138EGS96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204948 | PA      | $205963.93    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0291                      | CUSIP: 31427MKD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7884511 | PA      | $7879425.05   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0149                      | CUSIP: 3140XFEX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1118826 | PA      | $992742.88    | 0.01%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93095                      | CUSIP: 312941NL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179930 | PA      | $177192.57    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V81760                      | CUSIP: 3132L65V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28137 | PA      | $26501.94     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4322                      | CUSIP: 36179SYT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1217957 | PA      | $1135146.95   | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5272                      | CUSIP: 31418E2E9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12717460 | PA      | $12855740.42  | 0.08%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6061                      | CUSIP: 3140X9WX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    484011 | PA      | $383577.05    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8745                      | CUSIP: 3140XCWF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23825321 | PA      | $19443532.44  | 0.12%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4563                      | CUSIP: 31418EB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17105371 | PA      | $13986196.61  | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7253                      | CUSIP: 36179WBW7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2321971 | PA      | $1784070.18   | 0.01%             | 2051-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3245                      | CUSIP: 3140XJTB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1930392 | PA      | $1923113.86   | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1507                      | CUSIP: 3132DNU84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  46553967 | PA      | $36413735.34  | 0.23%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY8862                      | CUSIP: 3138YNZ42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     86045 | PA      | $80544.87     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8057                      | CUSIP: 3132DV5S0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    530135 | PA      | $475029.59    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 931801                      | CUSIP: 31412QGJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11176 | PA      | $11233.88     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8238                      | CUSIP: 3132DWEK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21214035 | PA      | $20092533.39  | 0.13%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8328                      | CUSIP: 3132DWHD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11592448 | PA      | $10956960.82  | 0.07%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0405                      | CUSIP: 3132ACNW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1961181 | PA      | $1917617.07   | 0.01%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7705                      | CUSIP: 3140XBR36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1632917 | PA      | $1466753.52   | 0.01%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6542                      | CUSIP: 36179VHT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6874874 | PA      | $6180855.51   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF5841                      | CUSIP: 3133BTP20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3118669 | PA      | $3099894.76   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3734                      | CUSIP: 3138ELEG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14014 | PA      | $14484.74     | 0.00%             | 2043-06-01      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1697                      | CUSIP: 3132DN3E1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    989760 | PA      | $941997.31    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08824                      | CUSIP: 3128MJ4J6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2983417 | PA      | $2781416.66   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190396                      | CUSIP: 31368HNM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    630342 | PA      | $620599.08    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09042                      | CUSIP: 31292SBK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    383782 | PA      | $353867.83    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4574                      | CUSIP: 3132A5CK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128615 | PA      | $124950.79    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08741                      | CUSIP: 3128MJZF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8512027 | PA      | $7458003.51   | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0717                      | CUSIP: 3132ACYN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47871 | PA      | $46472.10     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03507                      | CUSIP: 3128M5GQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10871 | PA      | $11407.52     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6218                      | CUSIP: 36179U4B5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    823383 | PA      | $720791.46    | 0.00%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4226                      | CUSIP: 3140X7VU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28086 | PA      | $23263.11     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5229                      | CUSIP: 3140XLY36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3438772 | PA      | $3425807.45   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0023                      | CUSIP: 3132CWAY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6947 | PA      | $6683.48      | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8375                      | CUSIP: 3138WJJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    222751 | PA      | $209069.14    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0691                      | CUSIP: 3138XBXV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    377515 | PA      | $357759.21    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8594                      | CUSIP: 3132A9RP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9248 | PA      | $8979.38      | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6471                      | CUSIP: 3140QSFM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1850748 | PA      | $1749869.75   | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735989                      | CUSIP: 31402RUN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186326 | PA      | $190642.87    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8351                      | CUSIP: 3132DWH48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3189519 | PA      | $3279046.41   | 0.02%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD7073                      | CUSIP: 31418U2F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       131 | PA      | $130.35       | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2 7/25                    | CUSIP: 01F020471<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26965000 | PA      | $24352776.41  | 0.15%             | 2025-07-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4306                      | CUSIP: 31418DYC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20028548 | PA      | $16445178.24  | 0.10%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3093                      | CUSIP: 3140X6NK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59501 | PA      | $55400.25     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4262                      | CUSIP: 36179SWX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4248287 | PA      | $3843318.73   | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0892                      | CUSIP: 3132DM7D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    390538 | PA      | $309377.42    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2681                      | CUSIP: 3140QM6T6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1989167 | PA      | $1796697.69   | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4541                      | CUSIP: 31418EBK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277175 | PA      | $241777.23    | 0.00%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1921                      | CUSIP: 36179QD24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    202959 | PA      | $198995.73    | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4747                      | CUSIP: 3132A5HY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    802929 | PA      | $724736.82    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2451                      | CUSIP: 3132DPWL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3616838 | PA      | $3761875.36   | 0.02%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK0916                      | CUSIP: 3140HEAS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    506947 | PA      | $501461.81    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783366                      | CUSIP: 36241LW36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    180907 | PA      | $182164.99    | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995515                      | CUSIP: 31416B3Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33347 | PA      | $32830.20     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8574                      | CUSIP: 3132A9Q34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    559532 | PA      | $544517.28    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8045                      | CUSIP: 36179W5E4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4331355 | PA      | $3991181.11   | 0.02%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08721                      | CUSIP: 3128MJYT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2438556 | PA      | $2136595.79   | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2321                      | CUSIP: 3140XHSK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3336552 | PA      | $2731257.94   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2086                      | CUSIP: 3132AEJ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3207364 | PA      | $2879984.20   | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60676                      | CUSIP: 31335AXD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    690109 | PA      | $666565.81    | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95796                      | CUSIP: 312944NM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41025 | PA      | $39227.89     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z40045                      | CUSIP: 3132FCBN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31616 | PA      | $31824.68     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0584                      | CUSIP: 3140XFUJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    152525 | PA      | $120685.06    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3404                      | CUSIP: 3133KJX98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2124940 | PA      | $1687326.20   | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8806                      | CUSIP: 3140XQYC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7176426 | PA      | $7158340.50   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4343                      | CUSIP: 31418DZH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6735923 | PA      | $4978038.03   | 0.03%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06409                      | CUSIP: 3128M8N26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    350494 | PA      | $367585.42    | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61932                      | CUSIP: 31335CED2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    473739 | PA      | $428762.94    | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97046                      | CUSIP: 312945ZK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221295 | PA      | $217801.18    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890789                      | CUSIP: 31410LUN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23374 | PA      | $22596.04     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4818                      | CUSIP: 31418EK82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2740402 | PA      | $2783901.00   | 0.02%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 7 6/25                    | CUSIP: 21H070662<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $10287460.00  | 0.06%             | 2025-06-23      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5465                      | CUSIP: 36179UCA8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    289654 | PA      | $261137.25    | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4293                        | CUSIP: 36202EXW4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      7825 | PA      | $8268.61      | 0.00%             | 2038-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18717                      | CUSIP: 3128MMYP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    565336 | PA      | $554525.68    | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH2886                      | CUSIP: 3138A4F42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       805 | PA      | $800.16       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0505                      | CUSIP: 31427MR37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7662740 | PA      | $6027191.69   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0898                      | CUSIP: 3140XF7L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3319262 | PA      | $2852043.27   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2444                      | CUSIP: 36179QWD9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    773198 | PA      | $692879.49    | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09000                      | CUSIP: 31292R7M8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    552765 | PA      | $512680.27    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5126                      | CUSIP: 3140QCVU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1215308 | PA      | $1051647.22   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4495                        | CUSIP: 36202E7G8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    353609 | PA      | $348195.45    | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 984281                      | CUSIP: 31415MM69<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117290 | PA      | $122978.74    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05645                      | CUSIP: 3128M7TA4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    426662 | PA      | $420544.83    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5135                      | CUSIP: 3133KYV48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6122602 | PA      | $5163660.68   | 0.03%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07195                      | CUSIP: 3128M9KG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    584615 | PA      | $576369.50    | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8878                      | CUSIP: 3140QU2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10480971 | PA      | $10823475.69  | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0091                      | CUSIP: 3618N5C56<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29699281 | PA      | $28829694.88  | 0.18%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0264                      | CUSIP: 3140Y6JJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7855222 | PA      | $7985433.53   | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725220                      | CUSIP: 31402CVM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    346017 | PA      | $347874.23    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4977                      | CUSIP: 3132DSQ62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4685002 | PA      | $4544998.32   | 0.03%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7408                      | CUSIP: 31417EGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149965 | PA      | $134393.28    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9615                      | CUSIP: 3138WKVH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    553280 | PA      | $531292.14    | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8164                      | CUSIP: 3140XQCA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11734991 | PA      | $11965270.73  | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A86249                      | CUSIP: 3129325J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181299 | PA      | $178790.69    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07942                      | CUSIP: 3128MAEP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65877 | PA      | $64509.20     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1585                      | CUSIP: 3138EHXP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1394814 | PA      | $1296202.79   | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01589                      | CUSIP: 31283HXS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77559 | PA      | $78077.34     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8787                      | CUSIP: 3140XCXR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2760541 | PA      | $2277858.96   | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04527                      | CUSIP: 3128M6LG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    316242 | PA      | $325485.07    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 677292                      | CUSIP: 36295QNH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     55502 | PA      | $55757.72     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3278                      | CUSIP: 31418CUC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    375885 | PA      | $360124.93    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9174                      | CUSIP: 36179YFP4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    477685 | PA      | $493810.61    | 0.00%             | 2053-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ4000                      | CUSIP: 3142GUNS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9846643 | PA      | $9821828.12   | 0.06%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725205                      | CUSIP: 31402CU67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168560 | PA      | $169464.41    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB0499                      | CUSIP: 3133KTRU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8484943 | PA      | $7199216.85   | 0.04%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5398                      | CUSIP: 36179T7K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6894860 | PA      | $6408837.41   | 0.04%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3032                      | CUSIP: 3132DQLM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5494963 | PA      | $5503437.98   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04334                      | CUSIP: 3128M6EF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89945 | PA      | $90539.28     | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9487                      | CUSIP: 3138WKRH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    378853 | PA      | $350610.10    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08692                      | CUSIP: 3128MJXW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1391604 | PA      | $1222763.81   | 0.01%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6008                      | CUSIP: 3140QDVA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    692938 | PA      | $620477.09    | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2549                      | CUSIP: 31418BZP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    966096 | PA      | $876844.90    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9240                      | CUSIP: 36179YHR8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20561457 | PA      | $20033317.80  | 0.13%             | 2053-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3918                      | CUSIP: 3140QPK89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    875615 | PA      | $829325.11    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1629                      | CUSIP: 3138X0Y36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4204204 | PA      | $3760386.01   | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1104                      | CUSIP: 3133KGGM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3308388 | PA      | $2866996.43   | 0.02%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3484                      | CUSIP: 3138EK2S3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    791897 | PA      | $778209.24    | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0696                      | CUSIP: 3140XFX22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4155354 | PA      | $3576940.55   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0695                      | CUSIP: 3138XBXZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165071 | PA      | $161461.13    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 487825                      | CUSIP: 36210B4J1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    100384 | PA      | $98724.98     | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AZ0988                      | CUSIP: 36197DCZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    468969 | PA      | $421187.21    | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701603                      | CUSIP: 36296UNU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     51235 | PA      | $51478.47     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96815                      | CUSIP: 312945SC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4844 | PA      | $4627.53      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3566                      | CUSIP: 3140X66C0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1005354 | PA      | $940145.98    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3781                      | CUSIP: 3138A5FX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171434 | PA      | $163564.56    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8492                      | CUSIP: 3132DWNH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9121516 | PA      | $8833969.95   | 0.06%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786630                      | CUSIP: 3622ACHF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2761138 | PA      | $2760332.73   | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2493                      | CUSIP: 31329KXW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1080781 | PA      | $1002785.00   | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5907                      | CUSIP: 3140X9R56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    504334 | PA      | $460002.73    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3170                      | CUSIP: 3140QNQY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6464478 | PA      | $5507066.45   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2602                      | CUSIP: 36179Q3K5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    627560 | PA      | $595486.14    | 0.00%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7559                      | CUSIP: 3140XBMH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1389479 | PA      | $1185587.82   | 0.01%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3996                      | CUSIP: 3132E0NM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2188585 | PA      | $2236661.14   | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0317                      | CUSIP: 36179MK66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1980273 | PA      | $1794239.20   | 0.01%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4796                      | CUSIP: 31418EKJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1351814 | PA      | $1295423.93   | 0.01%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE7993                      | CUSIP: 3133BH3A2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    832925 | PA      | $767253.04    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BZ5517                      | CUSIP: 3617U1DW9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    118975 | PA      | $99049.29     | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 620472                      | CUSIP: 36290XJR2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     65691 | PA      | $65014.64     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6999                      | CUSIP: 3140XAX56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7716618 | PA      | $7081726.88   | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C92004                      | CUSIP: 3128P8GM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1144091 | PA      | $1096260.03   | 0.01%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3752                      | CUSIP: 3140QPE29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11783697 | PA      | $10510954.85  | 0.07%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4095                      | CUSIP: 31418DRR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3561392 | PA      | $3247229.90   | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0568                      | CUSIP: 3132DMTZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6182726 | PA      | $4863074.47   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BC8968                      | CUSIP: 3617BC6D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    601224 | PA      | $573923.74    | 0.00%             | 2047-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3376                      | CUSIP: 36179RXD6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2993569 | PA      | $2715690.98   | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1202                      | CUSIP: 3132DNKP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3717273 | PA      | $3325068.64   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1679                      | CUSIP: 36179N2L1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    483626 | PA      | $474092.66    | 0.00%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5175                        | CUSIP: 36202FXC5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    736736 | PA      | $724257.51    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO3659                      | CUSIP: 3138LUB53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180728 | PA      | $167259.33    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ9190                      | CUSIP: 3140KVF88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4159001 | PA      | $3295990.46   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255767                      | CUSIP: 31371MCC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.36         | 0.00%             | 2025-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2959                      | CUSIP: 3138LTJD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    201881 | PA      | $191617.08    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8800                      | CUSIP: 3140XCX60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2761048 | PA      | $2376286.05   | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3915                      | CUSIP: 3132E0K43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6395652 | PA      | $6529150.63   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6820                      | CUSIP: 3133KNSH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18933914 | PA      | $14868959.57  | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8585                      | CUSIP: 3140XCRF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5596721 | PA      | $5028955.26   | 0.03%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9511                      | CUSIP: 3133AUR83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1369297 | PA      | $1083878.77   | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5667                      | CUSIP: 3140X9JM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3456897 | PA      | $3195401.38   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4225                      | CUSIP: 31417AVT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    466181 | PA      | $433864.19    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08688                      | CUSIP: 3128MJXS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    799195 | PA      | $748579.81    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5956                      | CUSIP: 3140X9TN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73528 | PA      | $68529.11     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93337                      | CUSIP: 312941V61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90218 | PA      | $88846.20     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3956                      | CUSIP: 3140QBME5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    761213 | PA      | $683515.44    | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5764                      | CUSIP: 3133KMMM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16105646 | PA      | $12617699.20  | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH5768                      | CUSIP: 3140GUMS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61822 | PA      | $59268.14     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00730                      | CUSIP: 31292GY34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       799 | PA      | $813.06       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5111                      | CUSIP: 3140XLVD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3964250 | PA      | $3961692.49   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01644                      | CUSIP: 31283HZH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    169020 | PA      | $173286.03    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18571                      | CUSIP: 3128MMT52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400973 | PA      | $386703.50    | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8183                      | CUSIP: 3132DWCU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19267000 | PA      | $15771714.19  | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3798                      | CUSIP: 31418DGG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157992 | PA      | $150654.38    | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4996                      | CUSIP: 3140X8RS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6037916 | PA      | $4773702.31   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0627                      | CUSIP: 31419AVV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5059 | PA      | $5031.76      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q53751                      | CUSIP: 3132XWEZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1657141 | PA      | $1497744.18   | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8178                      | CUSIP: 3132DWCP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22883334 | PA      | $18731997.40  | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8462                      | CUSIP: 3132DWMK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22788483 | PA      | $22581503.93  | 0.14%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1836                      | CUSIP: 3140XHBE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6227631 | PA      | $5150402.91   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4962                      | CUSIP: 36179TQP3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4578520 | PA      | $4127764.51   | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2879                      | CUSIP: 3140X6FV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144705 | PA      | $141007.62    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08473                      | CUSIP: 3128MJQ37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1757050 | PA      | $1633254.89   | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5731                      | CUSIP: 3133KMLL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12463956 | PA      | $9772468.20   | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q41208                      | CUSIP: 3132WEKW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456593 | PA      | $414672.25    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5724                      | CUSIP: 3138LWLE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65076 | PA      | $62097.68     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3333                      | CUSIP: 31418CV35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3079173 | PA      | $2869832.69   | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37159                      | CUSIP: 31297S5U5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11318 | PA      | $11399.02     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0600                      | CUSIP: 3132D9UZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8583342 | PA      | $7502072.91   | 0.05%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2683                      | CUSIP: 3138EJ6V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65830 | PA      | $65458.60     | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4181                      | CUSIP: 31418DUF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17090083 | PA      | $12640736.14  | 0.08%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5664                      | CUSIP: 3140X9JJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170314 | PA      | $155734.50    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1106                      | CUSIP: 31418AGQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    162064 | PA      | $155929.20    | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5837                      | CUSIP: 3138WFPX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75724 | PA      | $70883.56     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1282                      | CUSIP: 3140XGM89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    656793 | PA      | $619517.51    | 0.00%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8062                      | CUSIP: 3132DV5X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4535536 | PA      | $3904910.38   | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DA1520                      | CUSIP: 3140A1VN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3124930 | PA      | $3167892.38   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9328                      | CUSIP: 3138MRLJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349005 | PA      | $322854.71    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8140                      | CUSIP: 3132D6BH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5466279 | PA      | $4800734.09   | 0.03%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745412                      | CUSIP: 31403DDR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    337099 | PA      | $345829.88    | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3415                      | CUSIP: 31418CYM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3141944 | PA      | $2925390.88   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783276                      | CUSIP: 36241LT97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    308461 | PA      | $303105.18    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5585                      | CUSIP: 31418FF36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4791044 | PA      | $4640011.74   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4847                      | CUSIP: 31418EL57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1826546 | PA      | $1855538.96   | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1090                      | CUSIP: 36179NF78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    603586 | PA      | $556287.08    | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2827                      | CUSIP: 36179RD89<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    486755 | PA      | $461377.43    | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17774                      | CUSIP: 3128PXT71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181924 | PA      | $179741.22    | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5017                        | CUSIP: 36202FSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2108981 | PA      | $2073934.21   | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4894                      | CUSIP: 31418ENL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10771554 | PA      | $10915604.80  | 0.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00834                      | CUSIP: 31292G4T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2757 | PA      | $2809.64      | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61771                      | CUSIP: 31335B6G6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157721 | PA      | $155316.71    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5388                      | CUSIP: 31418E7A2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10245859 | PA      | $10156001.69  | 0.06%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3377                      | CUSIP: 36179RXE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    493800 | PA      | $461923.32    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5620                      | CUSIP: 3133KMG58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3027043 | PA      | $2390405.00   | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8370                      | CUSIP: 3132D6JP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3700244 | PA      | $3645847.45   | 0.02%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3802                      | CUSIP: 36179SGK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2894977 | PA      | $2560504.86   | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18663                      | CUSIP: 3128MMWZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245691 | PA      | $237417.58    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6223                      | CUSIP: 3138EN4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    452625 | PA      | $442660.82    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4416                      | CUSIP: 31418D4A7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1504748 | PA      | $1343162.71   | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9289                      | CUSIP: 3140QHKB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2834509 | PA      | $2314091.07   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4325                      | CUSIP: 31418DYX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  51974759 | PA      | $40653788.67  | 0.25%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8474                      | CUSIP: 3132DWMX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29548771 | PA      | $28619586.62  | 0.18%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6633                      | CUSIP: 3140XALP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    667584 | PA      | $671010.87    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4269                        | CUSIP: 36202EW62<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     98193 | PA      | $103015.15    | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783314                      | CUSIP: 36241LVF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     39219 | PA      | $39403.92     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995203                      | CUSIP: 31416BRY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    582512 | PA      | $585719.37    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8268                      | CUSIP: 3132DWFH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9334366 | PA      | $9293340.71   | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8533                      | CUSIP: 3132DWPS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8499999 | PA      | $8422797.11   | 0.05%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4571                      | CUSIP: 31418ECH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1688928 | PA      | $1472749.59   | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0223                      | CUSIP: 3140XFG96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    466079 | PA      | $442540.03    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 938805                      | CUSIP: 31412YNW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4055 | PA      | $4229.27      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8130                      | CUSIP: 3140XQA80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3926209 | PA      | $3922449.20   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4609                      | CUSIP: 31417BDP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    376976 | PA      | $357914.76    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0007                      | CUSIP: 36179MAG5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    189145 | PA      | $186485.83    | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6527                      | CUSIP: 3138WGHD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    335947 | PA      | $314262.01    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM0903                      | CUSIP: 3131XUAC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1244737 | PA      | $1171393.28   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC1591                      | CUSIP: 31417KXV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32537 | PA      | $33491.70     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4831                      | CUSIP: 3140QQLM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2509222 | PA      | $2378725.87   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0654                      | CUSIP: 3140XFWQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3686226 | PA      | $3062421.96   | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786757                      | CUSIP: 3622ACME7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4208229 | PA      | $4205687.06   | 0.03%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2542                      | CUSIP: 31418BZG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    248422 | PA      | $217995.55    | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4030                      | CUSIP: 3140QPPQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9396490 | PA      | $8914416.82   | 0.06%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6659                      | CUSIP: 3140XNMH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2708449 | PA      | $2751120.12   | 0.02%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7563                      | CUSIP: 3132DVML6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10241329 | PA      | $9792722.87   | 0.06%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1937                      | CUSIP: 3138AFEK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563309 | PA      | $566109.78    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4805                        | CUSIP: 36202FKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      6795 | PA      | $7061.61      | 0.00%             | 2040-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02699                      | CUSIP: 3128M4KL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     50020 | PA      | $52419.83     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8455                      | CUSIP: 3132DWMC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27144886 | PA      | $27872893.27  | 0.17%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14197                      | CUSIP: 3128MC3E3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30717 | PA      | $30502.81     | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM3456                      | CUSIP: 3131XWZV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1151035 | PA      | $1080694.72   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4237                      | CUSIP: 31418DV74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16380442 | PA      | $12822746.34  | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7512                      | CUSIP: 3132DVKZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1753956 | PA      | $1523787.09   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8099                      | CUSIP: 3132DV7L3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12816205 | PA      | $10547248.31  | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3378                      | CUSIP: 36179RXF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    165460 | PA      | $160529.69    | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0409                      | CUSIP: 3138EGN34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36568 | PA      | $34881.57     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6832                      | CUSIP: 31419HSW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2116 | PA      | $2196.72      | 0.00%             | 2040-11-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6020                      | CUSIP: 3132DTVM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5901612 | PA      | $6017421.25   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5 6/25                    | CUSIP: 21H050664<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10420000 | PA      | $10110844.85  | 0.06%             | 2025-06-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9469                      | CUSIP: 3138ERQX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    332945 | PA      | $323899.35    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4828                      | CUSIP: 3140X8LJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5771996 | PA      | $4927244.33   | 0.03%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9816                      | CUSIP: 3140XD4A1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1535984 | PA      | $1424861.95   | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3726                      | CUSIP: 3133KKD71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15403214 | PA      | $11985561.08  | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4635                      | CUSIP: 3140X8EH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    547003 | PA      | $430420.47    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1472                      | CUSIP: 3140X4T63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456647 | PA      | $446588.60    | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9905                      | CUSIP: 36180AAE3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13273755 | PA      | $12890289.74  | 0.08%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5991                      | CUSIP: 3138WTUR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58028 | PA      | $51682.90     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5131                      | CUSIP: 3133KYVY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4406893 | PA      | $3718485.93   | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18531                      | CUSIP: 3128MMSV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154469 | PA      | $150809.61    | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5019                      | CUSIP: 36179TSG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1647413 | PA      | $1485225.56   | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW1845                      | CUSIP: 3140MTBP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    951894 | PA      | $940875.37    | 0.01%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6400                      | CUSIP: 3132DUDD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2529446 | PA      | $2637991.94   | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8025                      | CUSIP: 3140QF4K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1553373 | PA      | $1268172.56   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE4624                      | CUSIP: 31419FD60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15447 | PA      | $14732.45     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4785                      | CUSIP: 3132A5J63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18434 | PA      | $17163.75     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08046                      | CUSIP: 3128MJBQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    416695 | PA      | $428349.20    | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4215                      | CUSIP: 3133KKVG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65418 | PA      | $51250.60     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7313                      | CUSIP: 36179WDS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8941835 | PA      | $7805348.51   | 0.05%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8064                      | CUSIP: 3132DV5Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    721913 | PA      | $669449.44    | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC6418                      | CUSIP: 3133ARDX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2201790 | PA      | $1816805.34   | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6846                      | CUSIP: 3132DUTB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3856922 | PA      | $3982057.13   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4344                      | CUSIP: 3132E0ZH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3998947 | PA      | $4110882.05   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4479                      | CUSIP: 3138LU6R1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63323 | PA      | $60056.12     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1441                      | CUSIP: 3138ASS78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     98217 | PA      | $97353.15     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995838                      | CUSIP: 31416CHP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     79825 | PA      | $82139.67     | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1947                      | CUSIP: 3140J6EV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1258678 | PA      | $1316261.36   | 0.01%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW1004                      | CUSIP: 3138XQDJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287601 | PA      | $264162.11    | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC6037                      | CUSIP: 3140F1V74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128658 | PA      | $116691.27    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3182                      | CUSIP: 31418CRC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    945970 | PA      | $855030.83    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9279                      | CUSIP: 3140GYJZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    337302 | PA      | $324107.97    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5032                      | CUSIP: 3133KYSV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1326588 | PA      | $1176621.85   | 0.01%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO6382                      | CUSIP: 3138LXCU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    476190 | PA      | $441486.83    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0391                      | CUSIP: 36179MNG1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2675582 | PA      | $2423810.37   | 0.02%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9851                      | CUSIP: 3138AP5M6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    427555 | PA      | $419410.32    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1724                      | CUSIP: 3140X44J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3304514 | PA      | $2854345.17   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q43259                      | CUSIP: 3132WGTR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245372 | PA      | $222766.83    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08637                      | CUSIP: 3128MJV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296450 | PA      | $279548.97    | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8650                      | CUSIP: 36179XTF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    733551 | PA      | $752251.23    | 0.00%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1838                      | CUSIP: 36179QBF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    196357 | PA      | $179968.01    | 0.00%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93511                      | CUSIP: 3129413U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    257831 | PA      | $259495.54    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 699759                      | CUSIP: 31400WMG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1094 | PA      | $1115.09      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0208                      | CUSIP: 3138EGGS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    203449 | PA      | $199805.81    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4493                      | CUSIP: 3132E07E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8455050 | PA      | $8631534.71   | 0.05%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3394                      | CUSIP: 3138A4XY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    625358 | PA      | $596655.21    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06224                      | CUSIP: 3128M8G99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    188278 | PA      | $175882.71    | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0024                      | CUSIP: 3618N5A25<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  34816082 | PA      | $32875701.87  | 0.21%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7683                      | CUSIP: 3140XPRD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1111009 | PA      | $1107514.69   | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1449                      | CUSIP: 36179NTE8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    649829 | PA      | $617720.83    | 0.00%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08823                      | CUSIP: 3128MJ4H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    803749 | PA      | $725685.03    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0657                      | CUSIP: 3132ACWS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1137299 | PA      | $1191613.96   | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BU1104                      | CUSIP: 3140M2GN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3976966 | PA      | $3150486.25   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3505                      | CUSIP: 3140QN3P5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8403249 | PA      | $7474616.62   | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2664                      | CUSIP: 3142GS6A1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2638909 | PA      | $2558400.11   | 0.02%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8265                      | CUSIP: 3132D6FE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    939766 | PA      | $941024.44    | 0.01%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4386                      | CUSIP: 31418D2U5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5860268 | PA      | $4806410.55   | 0.03%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781496                      | CUSIP: 36225BUV8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     24255 | PA      | $24873.95     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4205                      | CUSIP: 31418DU75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9484486 | PA      | $8365272.77   | 0.05%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3870                      | CUSIP: 31418DJQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4067184 | PA      | $3363660.23   | 0.02%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18569                      | CUSIP: 3128MMT37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    353049 | PA      | $343734.46    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT5990                      | CUSIP: 3138WTUQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128101 | PA      | $114529.94    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5216                      | CUSIP: 31418EYN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10816686 | PA      | $10944440.05  | 0.07%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3657                      | CUSIP: 31418DB35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    726561 | PA      | $693954.17    | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725232                      | CUSIP: 31402CVZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    323596 | PA      | $325322.76    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2310                      | CUSIP: 3132DPR75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4955184 | PA      | $5072551.71   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2679                      | CUSIP: 36179Q6Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1871097 | PA      | $1775451.68   | 0.01%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783382                      | CUSIP: 36241LXK7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    118560 | PA      | $116501.44    | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4867                      | CUSIP: 31418EMR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    467151 | PA      | $442126.34    | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE5069                      | CUSIP: 3140FQT31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    376326 | PA      | $330468.96    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08615                      | CUSIP: 3128MJVH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1286924 | PA      | $1180485.37   | 0.01%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8570                      | CUSIP: 3132A9QX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190162 | PA      | $185060.53    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4292                        | CUSIP: 36202EXV6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     15378 | PA      | $16133.12     | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9489                      | CUSIP: 36179YRJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12264641 | PA      | $12427640.72  | 0.08%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7535                      | CUSIP: 3132DVLQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19243017 | PA      | $15986605.96  | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4647                      | CUSIP: 3132A5EU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    259626 | PA      | $235640.62    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV5979                      | CUSIP: 3138XHUD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    720259 | PA      | $681247.10    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9603                      | CUSIP: 36179YU44<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4776687 | PA      | $4515322.34   | 0.03%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00765                      | CUSIP: 31292GZ66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1383 | PA      | $1443.04      | 0.00%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8115                      | CUSIP: 3132DWAQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1265503 | PA      | $1089150.43   | 0.01%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8514                      | CUSIP: 3132DWN74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3647099 | PA      | $3532128.20   | 0.02%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5018                      | CUSIP: 36179TSF3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    925320 | PA      | $814653.87    | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9606                      | CUSIP: 3140XRU86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8669581 | PA      | $8126230.04   | 0.05%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08791                      | CUSIP: 3128MJ2Z2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    333459 | PA      | $291125.28    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6529                      | CUSIP: 3140QSHF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6129601 | PA      | $6110323.27   | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7631                      | CUSIP: 3140QTPR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8280384 | PA      | $8659063.66   | 0.05%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8302                      | CUSIP: 3140XCGL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18719 | PA      | $17370.11     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund | Vanguard Market Liquidity Fund | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78 | Long             | STIV             | CORP              | US        |   5731864 | NS      | $573129127.26 | 3.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6411                      | CUSIP: 36179VDQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3602062 | PA      | $3339145.67   | 0.02%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2314                      | CUSIP: 3132DPSB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2362387 | PA      | $2351265.50   | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5118                      | CUSIP: 3133KYVK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6321713 | PA      | $5344907.55   | 0.03%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5157                      | CUSIP: 3138EMWT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47241 | PA      | $45064.01     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI3417                      | CUSIP: 3138AGYP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4098 | PA      | $4213.76      | 0.00%             | 2041-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QO1222                      | CUSIP: 3133WKLB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    714097 | PA      | $691816.98    | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9171                      | CUSIP: 36179YFL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17635165 | PA      | $17602468.08  | 0.11%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9125                      | CUSIP: 3138ERD72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     48794 | PA      | $46275.53     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ9232                      | CUSIP: 3140E2HJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    349407 | PA      | $339789.87    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3595                      | CUSIP: 36179R7G8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    257045 | PA      | $221708.92    | 0.00%             | 2046-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01883                      | CUSIP: 3128LXCU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101388 | PA      | $102111.24    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9553                      | CUSIP: 3133AUTJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5717453 | PA      | $4514977.26   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3834                      | CUSIP: 3140X7HL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7908137 | PA      | $7566675.45   | 0.05%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q16616                      | CUSIP: 3132J7YN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    974815 | PA      | $879774.09    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6750                      | CUSIP: 3140QSQC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3882997 | PA      | $3857437.06   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2841                      | CUSIP: 31418CEP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    749119 | PA      | $681834.01    | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5264                      | CUSIP: 3133KYZ51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2513261 | PA      | $2535201.34   | 0.02%             | 2043-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14120                      | CUSIP: 3128MCYR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     37245 | PA      | $37092.26     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2871                      | CUSIP: 31418CFM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11001 | PA      | $10647.54     | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8133                      | CUSIP: 3132DWBA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13465491 | PA      | $9959794.62   | 0.06%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4714                      | CUSIP: 3140X8GY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2246216 | PA      | $1861887.24   | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5368                      | CUSIP: 3132DS6D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25621444 | PA      | $20901318.37  | 0.13%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4600                      | CUSIP: 31418EDE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  32543293 | PA      | $28946975.96  | 0.18%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08573                      | CUSIP: 3128MJT75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    192013 | PA      | $181700.39    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0578                      | CUSIP: 3138EGUC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15496 | PA      | $15386.50     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08792                      | CUSIP: 3128MJ3A6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1888295 | PA      | $1706664.48   | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0154                      | CUSIP: 36179ME30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2085721 | PA      | $1928504.15   | 0.01%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6997                      | CUSIP: 3138EPX33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1299660 | PA      | $1277351.72   | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BU5917                      | CUSIP: 3140M7SF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9202502 | PA      | $7625073.01   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0942                      | CUSIP: 3132DNBK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2100964 | PA      | $1740831.28   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08786                      | CUSIP: 3128MJ2U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183704 | PA      | $176403.33    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9909                      | CUSIP: 36180AAJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4821831 | PA      | $4932996.53   | 0.03%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4741                      | CUSIP: 3140XLHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1327295 | PA      | $1371084.36   | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735402                      | CUSIP: 31402RAB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    626054 | PA      | $629626.63    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6981                      | CUSIP: 3140QEXK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6456447 | PA      | $5104601.35   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5129                      | CUSIP: 3140XLVX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  33311797 | PA      | $27414339.68  | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4761                      | CUSIP: 31418EJF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10290540 | PA      | $9994441.13   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK7766                      | CUSIP: 3138ECTY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    679748 | PA      | $667880.44    | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8233                      | CUSIP: 3132D6EE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325549 | PA      | $321576.80    | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4080                      | CUSIP: 3132E0Q96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3316224 | PA      | $3291285.90   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3978                      | CUSIP: 3140X7M48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1101502 | PA      | $1018354.66   | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7645                      | CUSIP: 3140QFP78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13584084 | PA      | $11784484.90  | 0.07%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0000                      | CUSIP: 31326SAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1283250 | PA      | $1109236.59   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1016                      | CUSIP: 31418ADW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26911 | PA      | $25567.96     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4965                      | CUSIP: 3140XLQT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1874160 | PA      | $1940383.33   | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2446                      | CUSIP: 36179QWF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    872080 | PA      | $827363.06    | 0.01%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735496                      | CUSIP: 31402RC98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5063 | PA      | $5355.84      | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4955                      | CUSIP: 3140XLQH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3209612 | PA      | $3122724.91   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1028                      | CUSIP: 3140X4EA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    371624 | PA      | $333924.35    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0547                      | CUSIP: 3140XFTD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    332953 | PA      | $273799.41    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4278                      | CUSIP: 31418DXG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4305143 | PA      | $3797116.75   | 0.02%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0105                      | CUSIP: 3132CWDJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171235 | PA      | $160505.63    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FP0051                      | CUSIP: 3140XTBV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11739189 | PA      | $9251898.77   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8107                      | CUSIP: 3132DWAG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5546448 | PA      | $4554116.09   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0205                      | CUSIP: 3618N5GP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21833910 | PA      | $21696199.62  | 0.14%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4626                      | CUSIP: 31418ED80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22527186 | PA      | $20694707.80  | 0.13%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0258                      | CUSIP: 3618N5JC4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6696427 | PA      | $6500357.49   | 0.04%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5876                      | CUSIP: 36179UQ54<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    483184 | PA      | $447916.24    | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8570                      | CUSIP: 36179XQX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13683897 | PA      | $13662801.56  | 0.09%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3360                      | CUSIP: 3140XJWW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4646036 | PA      | $4641586.46   | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5232                        | CUSIP: 36202FY59<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    332588 | PA      | $308151.88    | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254766                      | CUSIP: 31371K6B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    319698 | PA      | $321363.47    | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9727                      | CUSIP: 36179YYY4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11528342 | PA      | $11785299.75  | 0.07%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4769                      | CUSIP: 3132A5JN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    327940 | PA      | $305336.83    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6038                      | CUSIP: 3140X9V85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3938809 | PA      | $3663094.92   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781830                      | CUSIP: 36241KA73<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    133230 | PA      | $133857.01    | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5133                      | CUSIP: 3140X8V38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5012699 | PA      | $4692271.02   | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92269                      | CUSIP: 312940QW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30390 | PA      | $29929.57     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0221                      | CUSIP: 36179MG61<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    243833 | PA      | $232902.44    | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6709                      | CUSIP: 3133KNN25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7172418 | PA      | $5898144.25   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08650                      | CUSIP: 3128MJWL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1357654 | PA      | $1234700.85   | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5775                      | CUSIP: 3140XMMZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2603697 | PA      | $2649907.83   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3938                      | CUSIP: 31418DLU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    791730 | PA      | $734192.02    | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV2634                      | CUSIP: 3140MF4U4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81524 | PA      | $74867.00     | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3217                      | CUSIP: 31418CSF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    103995 | PA      | $99041.05     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7706                      | CUSIP: 36179WR34<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16575249 | PA      | $14463393.28  | 0.09%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03805                      | CUSIP: 31292LGN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    774964 | PA      | $721618.45    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1527                      | CUSIP: 3142GRVV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11541759 | PA      | $11681683.65  | 0.07%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555880                      | CUSIP: 31385XQ91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    121455 | PA      | $124267.94    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4937                      | CUSIP: 31417BPX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    490157 | PA      | $454980.84    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01665                      | CUSIP: 31283HZ65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189292 | PA      | $194135.23    | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7226                      | CUSIP: 3140XBA42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1125515 | PA      | $1050051.10   | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4199                      | CUSIP: 3140QBUZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    318115 | PA      | $314672.36    | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9407                      | CUSIP: 3138ERNZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29273 | PA      | $28759.54     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786642                      | CUSIP: 3622ACHT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5289108 | PA      | $5392871.68   | 0.03%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8217                      | CUSIP: 3132D6DW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2244771 | PA      | $2254090.99   | 0.01%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8925                      | CUSIP: 31417F4K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243705 | PA      | $219305.69    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9071                      | CUSIP: 3133KRCG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2572679 | PA      | $2618339.22   | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00078                      | CUSIP: 3132GDCP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38392 | PA      | $37795.64     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08882                      | CUSIP: 3128MJ6U9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1085972 | PA      | $1009728.70   | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14813                      | CUSIP: 3128MDSA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76162 | PA      | $74877.96     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8512                      | CUSIP: 3132D6N55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11968992 | PA      | $10905686.86  | 0.07%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7569                      | CUSIP: 3132DVMS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7725595 | PA      | $7906168.10   | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3934                      | CUSIP: 3138WDLQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202490 | PA      | $197479.20    | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX0833                      | CUSIP: 3138Y14T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    445814 | PA      | $409218.19    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8805                      | CUSIP: 3138ETYB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456299 | PA      | $418857.01    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8136                      | CUSIP: 3132D6BD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8546885 | PA      | $7506262.53   | 0.05%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6820                      | CUSIP: 36179VSH4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8293083 | PA      | $7246825.85   | 0.05%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8188                      | CUSIP: 3132DWCZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  30722846 | PA      | $23934888.25  | 0.15%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08702                      | CUSIP: 3128MJX88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1028704 | PA      | $934256.20    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4777                      | CUSIP: 36179TJW6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    981984 | PA      | $865154.64    | 0.01%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07239                      | CUSIP: 3128M9LU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    531685 | PA      | $481345.98    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745311                      | CUSIP: 3620C1AL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    194207 | PA      | $186541.39    | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM0913                      | CUSIP: 3131XUAN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1180159 | PA      | $1110619.94   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7138                      | CUSIP: 36179V4X5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2138812 | PA      | $1921562.45   | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 6/25                  | CUSIP: 01F022667<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2900000 | PA      | $-2363386.32  | -0.01%            | 2025-06-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890755                      | CUSIP: 31410LTL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177284 | PA      | $168223.94    | 0.00%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1859                      | CUSIP: 3132AEB47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3226068 | PA      | $3188134.71   | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783353                      | CUSIP: 36241LWN2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     59616 | PA      | $59895.68     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3429                      | CUSIP: 3138EKY33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    321119 | PA      | $315451.34    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK0909                      | CUSIP: 3140HEAK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    290941 | PA      | $270888.21    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2134                      | CUSIP: 3140XHLQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5991617 | PA      | $5357576.89   | 0.03%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6913                      | CUSIP: 3140XAVF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1607739 | PA      | $1458205.32   | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4398                      | CUSIP: 31418D3G5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  30992048 | PA      | $24202722.04  | 0.15%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07589                      | CUSIP: 3128M9XS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59715 | PA      | $61528.08     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3775                      | CUSIP: 3132E0FQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13984280 | PA      | $13879116.63  | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08715                      | CUSIP: 3128MJYM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3507537 | PA      | $3077591.81   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4777                      | CUSIP: 3132A5JW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    410805 | PA      | $370414.17    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7948                      | CUSIP: 3133KPZM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5045812 | PA      | $5026788.39   | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95257                      | CUSIP: 312943ZW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    109014 | PA      | $101895.85    | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9409                      | CUSIP: 3140QHN35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11938223 | PA      | $10179532.86  | 0.06%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1223                      | CUSIP: 36179NLC0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1336418 | PA      | $1205835.25   | 0.01%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7118                      | CUSIP: 3138EP4C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1133391 | PA      | $1071202.18   | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6631                      | CUSIP: 3140KELM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3642606 | PA      | $2879919.95   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1762                      | CUSIP: 36179N5X2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    978818 | PA      | $959523.90    | 0.01%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3778                      | CUSIP: 3140X7FU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1070584 | PA      | $885733.33    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AQ6652                      | CUSIP: 36189XL93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    411161 | PA      | $370682.57    | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8487                      | CUSIP: 36179XNC6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2682462 | PA      | $2395740.02   | 0.01%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67715                      | CUSIP: 3132XCSC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4127062 | PA      | $3981108.23   | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5497                      | CUSIP: 31418FDB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8955011 | PA      | $8873676.53   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1840                      | CUSIP: 36179QBH3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    509171 | PA      | $499181.06    | 0.00%             | 2044-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QJ3250                      | CUSIP: 3133CTTF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3766045 | PA      | $3871461.51   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781988                      | CUSIP: 36241KF52<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    102236 | PA      | $102734.73    | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3731                      | CUSIP: 31418DED0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194457 | PA      | $191562.63    | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8068                      | CUSIP: 3132D56D9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3082023 | PA      | $2729888.00   | 0.02%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8069                      | CUSIP: 3132DV6E0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1261293 | PA      | $1129397.77   | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08705                      | CUSIP: 3128MJYB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264951 | PA      | $232473.80    | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 535704                      | CUSIP: 31384WDH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1034 | PA      | $1043.70      | 0.00%             | 2030-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4426                      | CUSIP: 36179S4K0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    624110 | PA      | $611123.30    | 0.00%             | 2032-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0615                      | CUSIP: 3132DMVG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    894058 | PA      | $856571.52    | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61352                      | CUSIP: 31335BQD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27332 | PA      | $26883.86     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9316                      | CUSIP: 3140QVK60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4464060 | PA      | $4352979.90   | 0.03%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5122                      | CUSIP: 3133KYVP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2996314 | PA      | $2621552.45   | 0.02%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4754                      | CUSIP: 3140X8H83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2932791 | PA      | $2709216.72   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8350                      | CUSIP: 3140QUH41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6721271 | PA      | $6802755.29   | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4437                      | CUSIP: 31418D4X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34001833 | PA      | $26521286.96  | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5529                      | CUSIP: 31418FEB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2240001 | PA      | $2114230.83   | 0.01%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4733                      | CUSIP: 31418EHK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19975071 | PA      | $18911266.78  | 0.12%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8231                      | CUSIP: 3132DWEC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15904906 | PA      | $15064077.41  | 0.09%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4396                      | CUSIP: 3140QP3E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6761112 | PA      | $6403679.33   | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0855                      | CUSIP: 3140Q75R4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2273256 | PA      | $2052588.75   | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2712                      | CUSIP: 3140X6AN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24117 | PA      | $23585.88     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91796                      | CUSIP: 3129397H8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40169 | PA      | $40429.95     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8409                      | CUSIP: 3132DWKW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6869541 | PA      | $6943699.21   | 0.04%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0533                      | CUSIP: 3142GQSX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3926279 | PA      | $4123933.82   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01857                      | CUSIP: 3128LXB25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30376 | PA      | $30575.86     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM0802                      | CUSIP: 3131XT3K4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1263888 | PA      | $1189415.30   | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0149                      | CUSIP: 3618N5EX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4086906 | PA      | $4182150.04   | 0.03%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4761                      | CUSIP: 3140X8JF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2471127 | PA      | $1966852.35   | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B8336                      | CUSIP: 3128UGUL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9674 | PA      | $10001.85     | 0.00%             | 2041-06-01      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6925                      | CUSIP: 3138WGVT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182479 | PA      | $177066.10    | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4288                      | CUSIP: 3138X3XS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    973475 | PA      | $923296.13    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3713                        | CUSIP: 36202EDS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     23350 | PA      | $24295.21     | 0.00%             | 2035-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2879                      | CUSIP: 31418CFV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    906265 | PA      | $846350.86    | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4373                      | CUSIP: 3140X72F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3434748 | PA      | $3193720.74   | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4400                      | CUSIP: 31418D3J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3296949 | PA      | $2831841.24   | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995737                      | CUSIP: 31416CEJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    392292 | PA      | $394577.18    | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995674                      | CUSIP: 31416CCK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60795 | PA      | $63725.94     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6046                      | CUSIP: 3132DTWF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2963908 | PA      | $3013733.81   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J21162                      | CUSIP: 31306YJF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    101473 | PA      | $99415.18     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995049                      | CUSIP: 31416BL63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247687 | PA      | $254506.77    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9313                      | CUSIP: 3140XDK39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1438538 | PA      | $1270132.74   | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4715                        | CUSIP: 36202FGY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    301904 | PA      | $304002.73    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1082                      | CUSIP: 3133KGFX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     97674 | PA      | $96139.42     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3414                      | CUSIP: 3140X6YL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3536036 | PA      | $3339479.49   | 0.02%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1656                      | CUSIP: 3132DNZV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2238929 | PA      | $1863543.29   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4512                      | CUSIP: 36179TAM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    257515 | PA      | $248716.00    | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2133                      | CUSIP: 3140XHLP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5697511 | PA      | $5280337.93   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3463                      | CUSIP: 31418CZ56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41112 | PA      | $40317.58     | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 704480                      | CUSIP: 36296XUD4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    207555 | PA      | $208536.68    | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0330                      | CUSIP: 3140W0LL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4497577 | PA      | $4623469.55   | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1442                      | CUSIP: 3140XGS83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5248201 | PA      | $4575887.82   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5400                      | CUSIP: 3138ENAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13602 | PA      | $13361.62     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3572                      | CUSIP: 36179R6H7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    207836 | PA      | $201656.79    | 0.00%             | 2031-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM7731                      | CUSIP: 3131Y2SU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176023 | PA      | $163890.99    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7767                      | CUSIP: 36179WTY4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26451428 | PA      | $22178480.43  | 0.14%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD3808                      | CUSIP: 31418RGS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43933 | PA      | $43231.91     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3211                      | CUSIP: 31418CR97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2351969 | PA      | $2192068.80   | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257452                      | CUSIP: 31371N5M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4104 | PA      | $4180.84      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BD7160                      | CUSIP: 3140FE5W0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1107632 | PA      | $1038213.11   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1790                      | CUSIP: 3142GR7C8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6188645 | PA      | $6405386.43   | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0217                      | CUSIP: 3140XFG39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7690317 | PA      | $6475866.07   | 0.04%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60919                      | CUSIP: 31335BAU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    647191 | PA      | $626122.87    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9585                      | CUSIP: 3138WKUK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166066 | PA      | $155761.51    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8488                      | CUSIP: 36179XND4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8817853 | PA      | $8115676.93   | 0.05%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07851                      | CUSIP: 3128MABU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154825 | PA      | $147908.60    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8112                      | CUSIP: 3138ETAN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2213461 | PA      | $2020040.44   | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8029                      | CUSIP: 3132A84N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60599 | PA      | $59074.52     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2561                      | CUSIP: 31418BZ33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    588965 | PA      | $571665.03    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2974                      | CUSIP: 3132DQJT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1277106 | PA      | $1323828.54   | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01864                      | CUSIP: 3128LXB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52270 | PA      | $52619.44     | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3282                      | CUSIP: 36179RUF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     23175 | PA      | $22338.61     | 0.00%             | 2030-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2906                      | CUSIP: 3140XJGQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4144545 | PA      | $4029175.87   | 0.03%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1610                      | CUSIP: 3140XGYG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3006070 | PA      | $2784836.19   | 0.02%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3240                      | CUSIP: 3140QAS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214272 | PA      | $211083.00    | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3216                      | CUSIP: 31418CSE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    334243 | PA      | $319875.77    | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E09010                      | CUSIP: 31294UAK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177716 | PA      | $174317.18    | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8744                      | CUSIP: 3140XQWE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18326519 | PA      | $14414875.72  | 0.09%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BP1022                      | CUSIP: 3617L7D30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    481172 | PA      | $431323.49    | 0.00%             | 2049-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1065                      | CUSIP: 36179NFE3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     38526 | PA      | $37789.68     | 0.00%             | 2028-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4121                      | CUSIP: 3140QPSK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1452978 | PA      | $1332969.08   | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8068                      | CUSIP: 3140XP6E4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3713055 | PA      | $3685132.55   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5716                      | CUSIP: 31417CK61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28399 | PA      | $27967.62     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6925                      | CUSIP: 3140XNVT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23261058 | PA      | $18990313.81  | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08242                      | CUSIP: 3128MJHU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78533 | PA      | $82493.81     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0307                      | CUSIP: 3618N5KV0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2096922 | PA      | $2035524.74   | 0.01%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM0062                      | CUSIP: 3140X3B80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7177301 | PA      | $6437977.00   | 0.04%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 952436                      | CUSIP: 31413QSZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5051 | PA      | $5156.82      | 0.00%             | 2037-09-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5121                      | CUSIP: 3140XLVP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1996582 | PA      | $2052607.30   | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0145                      | CUSIP: 3618N5ET2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6141698 | PA      | $5799406.68   | 0.04%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA8386                      | CUSIP: 36178GJ70<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    195805 | PA      | $186526.77    | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725425                      | CUSIP: 31402C4J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    354004 | PA      | $362531.45    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783771                      | CUSIP: 3622A2FL1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     57542 | PA      | $57816.81     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV8024                      | CUSIP: 3140MM4J4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1012707 | PA      | $930011.59    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783069                      | CUSIP: 36241LMS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    483014 | PA      | $486370.61    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888029                      | CUSIP: 31410FSS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    184433 | PA      | $192953.18    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 7 6/25                    | CUSIP: 01F070666<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4450000 | PA      | $4645644.70   | 0.03%             | 2025-06-12      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2705                      | CUSIP: 31418CAF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2478289 | PA      | $2171654.12   | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3880                      | CUSIP: 3132E0JZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4837639 | PA      | $4842076.62   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8341                      | CUSIP: 3132DWHS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10033697 | PA      | $9740127.96   | 0.06%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01820                      | CUSIP: 3128LXAV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    216197 | PA      | $222217.25    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5785                      | CUSIP: 3140JANB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1234330 | PA      | $1121069.72   | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02168                      | CUSIP: 3128LXMR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24648 | PA      | $25791.94     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07031                      | CUSIP: 3128M9EC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    230260 | PA      | $219452.98    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2471                      | CUSIP: 3133KHW85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    466069 | PA      | $417623.01    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5020                      | CUSIP: 36179TSH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2592382 | PA      | $2412073.52   | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97259                      | CUSIP: 312946B47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52633 | PA      | $50319.14     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5616                      | CUSIP: 3138A7G28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81743 | PA      | $81233.18     | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8512                      | CUSIP: 3140QGN60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7647329 | PA      | $5998341.57   | 0.04%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6473                      | CUSIP: 3138WGFP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199394 | PA      | $174972.12    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3053                        | CUSIP: 36202DMA6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1246 | PA      | $1280.28      | 0.00%             | 2031-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0487                      | CUSIP: 3138LQRH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    874939 | PA      | $787035.59    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6840                      | CUSIP: 31417DS61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55851 | PA      | $54655.16     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3187                      | CUSIP: 31418CRH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1159865 | PA      | $1105069.81   | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1459                      | CUSIP: 31418ATR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2121707 | PA      | $2030773.70   | 0.01%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14614                      | CUSIP: 3128MDK36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3176 | PA      | $3165.17      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2925                      | CUSIP: 3138XEHB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28252 | PA      | $27870.69     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18818                      | CUSIP: 3128PYYP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    444572 | PA      | $437047.79    | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9827                      | CUSIP: 3138AP4M7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3945 | PA      | $4096.08      | 0.00%             | 2041-11-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL2349                      | CUSIP: 3131XHTE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    740010 | PA      | $689086.33    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8491                      | CUSIP: 36179XNG7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8233285 | PA      | $8223165.46   | 0.05%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8362                      | CUSIP: 3138WJJG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2667168 | PA      | $2429100.26   | 0.02%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9950                      | CUSIP: 3138ESBU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1303110 | PA      | $1223475.72   | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1287                      | CUSIP: 36179NNC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1127142 | PA      | $1105324.59   | 0.01%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7429                      | CUSIP: 3140XPHF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2192074 | PA      | $2199565.65   | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3611                      | CUSIP: 3138WDAM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342696 | PA      | $315223.28    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3191                      | CUSIP: 3140XJRM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    880619 | PA      | $881427.33    | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1348                      | CUSIP: 3132CXP97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13093270 | PA      | $11499104.59  | 0.07%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1343                      | CUSIP: 3142GRP53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2416108 | PA      | $2462764.89   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1776                      | CUSIP: 3132AD6M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1634983 | PA      | $1468608.99   | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5645                      | CUSIP: 3138WFHX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    430282 | PA      | $390800.23    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV2623                      | CUSIP: 3140MF4H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179026 | PA      | $169561.57    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH8835                      | CUSIP: 3138AAY96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1871 | PA      | $1880.16      | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60440                      | CUSIP: 31335APZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4661183 | PA      | $4256532.28   | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA0466                      | CUSIP: 31416HQU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139206 | PA      | $137079.56    | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4562                      | CUSIP: 31418EB82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12674086 | PA      | $9873852.18   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18581                      | CUSIP: 3128MMUF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1677767 | PA      | $1614724.70   | 0.01%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9111                      | CUSIP: 3138ERDR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87344 | PA      | $84855.31     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1457                      | CUSIP: 3140XGTP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3227011 | PA      | $2511004.06   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM1779                      | CUSIP: 3131XU6Q5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2781238 | PA      | $2433642.84   | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1920                      | CUSIP: 3140XHD20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6918437 | PA      | $6584166.79   | 0.04%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0595                      | CUSIP: 3132DMUU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2172128 | PA      | $1883010.13   | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2806                      | CUSIP: 3138EKDL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12966 | PA      | $13435.64     | 0.00%             | 2039-08-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1887                      | CUSIP: 3133L8CY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3352363 | PA      | $3047211.40   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1225                      | CUSIP: 36179NLE6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    600875 | PA      | $571734.85    | 0.00%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01552                      | CUSIP: 31292HWM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164685 | PA      | $168662.26    | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5234                        | CUSIP: 36202FY75<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    143556 | PA      | $141131.65    | 0.00%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256311                      | CUSIP: 31371MVC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24696 | PA      | $24759.08     | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04591                      | CUSIP: 3128M6NG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39021 | PA      | $40095.64     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7099                      | CUSIP: 31417D3H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    161186 | PA      | $144795.17    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8680                      | CUSIP: 3140XQUE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1366419 | PA      | $1290151.59   | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4263                      | CUSIP: 36179SWY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    645005 | PA      | $601554.19    | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ0881                      | CUSIP: 3138YR6T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    360727 | PA      | $348181.08    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18631                      | CUSIP: 3128MMVZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1459325 | PA      | $1396813.51   | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4497                      | CUSIP: 31418D7K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2967868 | PA      | $2681948.30   | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB0353                      | CUSIP: 3133KTMA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1663375 | PA      | $1374610.01   | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5261                      | CUSIP: 3132DSZ21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3512762 | PA      | $3550957.76   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60855                      | CUSIP: 31335A5Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176813 | PA      | $171996.83    | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7252                      | CUSIP: 3140XPBW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1719640 | PA      | $1668251.53   | 0.01%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4418                      | CUSIP: 3140QB4C9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1534530 | PA      | $1331237.79   | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR1196                      | CUSIP: 3138NXKJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    618811 | PA      | $555123.62    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4919                      | CUSIP: 3140XLPD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5458461 | PA      | $4463107.49   | 0.03%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS6674                      | CUSIP: 3132A7MX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    374058 | PA      | $365413.05    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08771                      | CUSIP: 3128MJ2D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1584073 | PA      | $1479789.32   | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3741                      | CUSIP: 3132E0EN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2273136 | PA      | $2357008.86   | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2510                      | CUSIP: 31418BYG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100023 | PA      | $96248.34     | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5805                      | CUSIP: 3140X9NX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5624067 | PA      | $5032237.14   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2866                      | CUSIP: 31418CFG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1737584 | PA      | $1626307.84   | 0.01%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1815                      | CUSIP: 3140XHAR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2773312 | PA      | $2625553.11   | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01599                      | CUSIP: 31292HX41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    200689 | PA      | $205714.66    | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08743                      | CUSIP: 3128MJZH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136616 | PA      | $127750.38    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8323                      | CUSIP: 3132D6G87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1291533 | PA      | $1272950.09   | 0.01%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8104                      | CUSIP: 3132DWAD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27230304 | PA      | $20140984.04  | 0.13%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0089                      | CUSIP: 3618N5C31<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3852107 | PA      | $3530612.52   | 0.02%             | 2054-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9107                      | CUSIP: 3138ERDM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124008 | PA      | $121227.49    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18666                      | CUSIP: 3128MMW41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1383607 | PA      | $1336642.60   | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6105                      | CUSIP: 3140X9YB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2556435 | PA      | $2117429.85   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6710                      | CUSIP: 36179VN30<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  30893575 | PA      | $26996035.12  | 0.17%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5483                      | CUSIP: 3140JACV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1396505 | PA      | $1262254.24   | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5904                      | CUSIP: 3133KMRZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3839975 | PA      | $3173352.80   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07872                      | CUSIP: 3128MACH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    365478 | PA      | $357824.55    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6012                      | CUSIP: 3140QRVE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4901756 | PA      | $4498043.37   | 0.03%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05965                      | CUSIP: 3128M76A9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    709304 | PA      | $698536.57    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735670                      | CUSIP: 31402RJP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195224 | PA      | $199647.71    | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785023                      | CUSIP: 3622AAPG3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    400192 | PA      | $386205.40    | 0.00%             | 2034-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8508                      | CUSIP: 3132D6NZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10026816 | PA      | $9142317.84   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0624                      | CUSIP: 36179MVR8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3047084 | PA      | $2757656.13   | 0.02%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD6438                      | CUSIP: 31418UEL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195318 | PA      | $196310.00    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP6680                      | CUSIP: 3140KEM62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3490215 | PA      | $2759436.18   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7504                      | CUSIP: 3140XBKS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2013914 | PA      | $1815903.29   | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08577                      | CUSIP: 3128MJUB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    220854 | PA      | $209026.63    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8679                      | CUSIP: 3132A9UC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89727 | PA      | $86558.94     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782734                      | CUSIP: 36241LBB1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    220684 | PA      | $221727.84    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91187                      | CUSIP: 3128P7J87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5027 | PA      | $5080.71      | 0.00%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0153                      | CUSIP: 36179ME22<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    780621 | PA      | $707121.79    | 0.00%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2374                      | CUSIP: 3140QMT87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19992896 | PA      | $16534613.18  | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1837                      | CUSIP: 3140XHBF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26033670 | PA      | $21497938.12  | 0.13%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8554                      | CUSIP: 3140QUQG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4393131 | PA      | $4553853.33   | 0.03%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0373                      | CUSIP: 3132D9MW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1042669 | PA      | $941682.56    | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0395                      | CUSIP: 31419ANM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    275655 | PA      | $271070.00    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7710                      | CUSIP: 3138LYR82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    294964 | PA      | $281376.60    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0331                      | CUSIP: 3133BMLL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    874499 | PA      | $804729.26    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4727                      | CUSIP: 3140X8HD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    482901 | PA      | $466120.28    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK5328                      | CUSIP: 3140HJ4N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    278713 | PA      | $259503.20    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4494                      | CUSIP: 31418D7G1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5670434 | PA      | $4865177.11   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701734                      | CUSIP: 36296USX9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     56439 | PA      | $55542.43     | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09022                      | CUSIP: 31292SAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2228346 | PA      | $2002005.57   | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3930                      | CUSIP: 3140X7LL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2140820 | PA      | $2018608.62   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8230                      | CUSIP: 3132D6EB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1006950 | PA      | $1010187.01   | 0.01%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785312                      | CUSIP: 3622AAYH1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    466078 | PA      | $387292.18    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7554                      | CUSIP: 3132DVMB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10450357 | PA      | $8665560.53   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP4559                      | CUSIP: 3138M8B51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211362 | PA      | $189959.30    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3192                      | CUSIP: 3132DQRM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5668139 | PA      | $5543038.94   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0987                      | CUSIP: 3140QLCZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1616525 | PA      | $1336905.53   | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5115                      | CUSIP: 3133KYVG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5454929 | PA      | $4782422.19   | 0.03%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BN4443                      | CUSIP: 3140JL5D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104449 | PA      | $99939.27     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889624                      | CUSIP: 31410KLD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28776 | PA      | $29575.81     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0887                      | CUSIP: 3140XF6Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1823920 | PA      | $1572600.32   | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8155                      | CUSIP: 3132DWBY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34140392 | PA      | $26661368.95  | 0.17%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J18940                      | CUSIP: 3128PY4Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     90107 | PA      | $88581.76     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7521                      | CUSIP: 3138EQLB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2685141 | PA      | $2699627.54   | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4713                      | CUSIP: 31418EGX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    672630 | PA      | $654375.97    | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2976                      | CUSIP: 3140X6JW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8565 | PA      | $8218.48      | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2646                      | CUSIP: 3138EJ5G9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5910 | PA      | $6128.70      | 0.00%             | 2042-05-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2303                      | CUSIP: 3140X5RZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143218 | PA      | $139609.77    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4805                      | CUSIP: 31418EKT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1290932 | PA      | $1222181.44   | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1526                      | CUSIP: 3132ADVT2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    367839 | PA      | $344325.56    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05936                      | CUSIP: 3128M74V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205803 | PA      | $197154.42    | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0606                      | CUSIP: 31417YU88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87527 | PA      | $87175.79     | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4289                      | CUSIP: 3140QPXT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2118542 | PA      | $2006542.96   | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7054                      | CUSIP: 36179VZT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4165231 | PA      | $3742147.80   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4994                      | CUSIP: 31418ERQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    906078 | PA      | $877808.19    | 0.01%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09007                      | CUSIP: 31292SAG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    807843 | PA      | $748481.44    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91875                      | CUSIP: 3128P8CL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    329549 | PA      | $312974.39    | 0.00%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5231                      | CUSIP: 3140QCY59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4069987 | PA      | $3672365.05   | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 710846                      | CUSIP: 36297FWF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     61913 | PA      | $60909.15     | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04269                      | CUSIP: 31292LW68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    166294 | PA      | $150317.42    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5235                        | CUSIP: 36202FY83<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     94295 | PA      | $94950.27     | 0.00%             | 2041-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0499                      | CUSIP: 3138W9RV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    216647 | PA      | $212086.61    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5500                      | CUSIP: 3140QDDE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1415931 | PA      | $1323671.50   | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8131                      | CUSIP: 3132D6A83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10170285 | PA      | $8932006.11   | 0.06%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1037                      | CUSIP: 31418AEK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411709 | PA      | $396567.72    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3029                      | CUSIP: 31418CLK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    320510 | PA      | $309827.03    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4581                      | CUSIP: 31418ECT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5030015 | PA      | $4417587.15   | 0.03%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786914                      | CUSIP: 3622ACSB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1242019 | PA      | $1267161.86   | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7631                      | CUSIP: 3140XBPR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3047989 | PA      | $2769925.49   | 0.02%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2373                      | CUSIP: 3140QMT79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3333572 | PA      | $2762154.13   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6405                      | CUSIP: 3138WGDK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75079 | PA      | $70232.78     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01847                      | CUSIP: 31292JBQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    277798 | PA      | $285136.61    | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4333                      | CUSIP: 3132E0Y63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5052321 | PA      | $5217424.29   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4387                      | CUSIP: 31418D2V3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17179022 | PA      | $14525207.98  | 0.09%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725221                      | CUSIP: 31402CVN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    591821 | PA      | $605763.35    | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5132                      | CUSIP: 3140XLV21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11227045 | PA      | $9574805.71   | 0.06%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8386                      | CUSIP: 3138ETJ80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1845520 | PA      | $1750695.56   | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3365                      | CUSIP: 3138EKW35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    387119 | PA      | $405689.17    | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1873                      | CUSIP: 3140X5CK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7009283 | PA      | $6060989.93   | 0.04%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725424                      | CUSIP: 31402C4H2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    564265 | PA      | $577758.87    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5078                      | CUSIP: 36179TUB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2508840 | PA      | $2334342.27   | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786659                      | CUSIP: 3622ACJC5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10446715 | PA      | $10162058.88  | 0.06%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4980                      | CUSIP: 31418ERA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1035669 | PA      | $1048871.91   | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737660                      | CUSIP: 3620ARQM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     63258 | PA      | $60731.30     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5527                      | CUSIP: 36179UD82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    933131 | PA      | $840097.63    | 0.01%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2629                      | CUSIP: 3138EJ4P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95232 | PA      | $95784.93     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2960                      | CUSIP: 36179RJD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3382185 | PA      | $2993537.13   | 0.02%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2576                      | CUSIP: 3140X52J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25559 | PA      | $24613.88     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1062                      | CUSIP: 31418AFC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30301 | PA      | $29875.93     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3444                      | CUSIP: 31418CZJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1951097 | PA      | $1867461.57   | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0734                      | CUSIP: 3132CWY73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5969754 | PA      | $5547196.73   | 0.03%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0810                      | CUSIP: 31427M3U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4441359 | PA      | $4408487.39   | 0.03%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ9563                      | CUSIP: 3138E2TV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6504 | PA      | $6751.31      | 0.00%             | 2042-01-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16447                      | CUSIP: 3128MFL48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14970 | PA      | $14656.39     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5021                      | CUSIP: 3140XLSK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3568928 | PA      | $2938207.23   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18565                      | CUSIP: 3128MMTX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    425693 | PA      | $414604.49    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08831                      | CUSIP: 3128MJ4R8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2719927 | PA      | $2535767.43   | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9777                      | CUSIP: 36179Y2J2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2200980 | PA      | $2078314.04   | 0.01%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7075                      | CUSIP: 3140XA2H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62063 | PA      | $57785.50     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08105                      | CUSIP: 3128MJDK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125120 | PA      | $128716.31    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06214                      | CUSIP: 3128M8GX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    256565 | PA      | $268474.47    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW7396                      | CUSIP: 3138XXGE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     34995 | PA      | $34687.43     | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 2658                        | CUSIP: 36202C5T6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     20004 | PA      | $20435.62     | 0.00%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4379                      | CUSIP: 31418D2M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25516257 | PA      | $20911195.37  | 0.13%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2201                      | CUSIP: 3140X5NT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    946672 | PA      | $883791.14    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7544                      | CUSIP: 3132DVLZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8142691 | PA      | $7053781.45   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14490                      | CUSIP: 3128PT7B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61803 | PA      | $61496.43     | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08353                      | CUSIP: 3128MJMB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342517 | PA      | $337664.22    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3706                      | CUSIP: 3138WDDL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    228053 | PA      | $209537.11    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785311                      | CUSIP: 3622AAYG3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1747017 | PA      | $1452247.94   | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03600                      | CUSIP: 31292K7M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     69485 | PA      | $64764.67     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9526                      | CUSIP: 3140XRSQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1902124 | PA      | $1858953.76   | 0.01%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2572                      | CUSIP: 3140X52E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2077863 | PA      | $1750261.02   | 0.01%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4127                      | CUSIP: 36179SSQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4492904 | PA      | $4067425.73   | 0.03%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91947                      | CUSIP: 312940EU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181089 | PA      | $182261.79    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0858                      | CUSIP: 3132DM5T8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6198579 | PA      | $5139935.36   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4125                      | CUSIP: 36179SSN8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1548479 | PA      | $1330658.53   | 0.01%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783672                      | CUSIP: 3622A2CH3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    169582 | PA      | $152859.41    | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6765                      | CUSIP: 36179VQS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1045244 | PA      | $877049.02    | 0.01%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX2530                      | CUSIP: 3138Y3Y47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157205 | PA      | $148191.60    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J19197                      | CUSIP: 3128Q0GE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    216891 | PA      | $213920.65    | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07784                      | CUSIP: 3128M96V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2494569 | PA      | $2367626.62   | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07026                      | CUSIP: 3128M9D74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75867 | PA      | $74617.95     | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783035                      | CUSIP: 36241LLQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    190414 | PA      | $187223.73    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3933                      | CUSIP: 31418DLP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    641863 | PA      | $569669.70    | 0.00%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2219                      | CUSIP: 3142GSPD4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7509472 | PA      | $7779512.82   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08632                      | CUSIP: 3128MJV23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    922673 | PA      | $844620.62    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257048                      | CUSIP: 31371NP90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       700 | PA      | $709.12       | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07924                      | CUSIP: 3128MAD55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2310197 | PA      | $2127897.76   | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08051                      | CUSIP: 3128MJBV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     65737 | PA      | $66204.63     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2903                      | CUSIP: 31418CGM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8517 | PA      | $8237.76      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9244                      | CUSIP: 36179YHV9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2694165 | PA      | $2782588.05   | 0.02%             | 2053-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9665                      | CUSIP: 3140XDW36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5026934 | PA      | $3952405.76   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5762                      | CUSIP: 36179UMK5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1623559 | PA      | $1463719.88   | 0.01%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5090                      | CUSIP: 3140J9UQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8851 | PA      | $8892.42      | 0.00%             | 2031-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7620                      | CUSIP: 3138A9PE8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23702 | PA      | $23296.67     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3418                      | CUSIP: 3140XJYQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10274387 | PA      | $10096586.64  | 0.06%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6527                      | CUSIP: 3140XAHD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1932581 | PA      | $1899126.56   | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8509                      | CUSIP: 3132D6N22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9787055 | PA      | $8905355.54   | 0.06%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 436717                      | CUSIP: 36207NDW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    154818 | PA      | $155549.81    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6942                      | CUSIP: 3138EPWC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9923 | PA      | $9591.59      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9667                      | CUSIP: 36179YW42<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13674130 | PA      | $13284439.04  | 0.08%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9241                      | CUSIP: 36179YHS6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22279468 | PA      | $22217272.22  | 0.14%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1375                      | CUSIP: 36179NQ43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    495090 | PA      | $454820.84    | 0.00%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0322                      | CUSIP: 3140XFLC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4095845 | PA      | $3615950.96   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5627                      | CUSIP: 3133KMHC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2065729 | PA      | $1720028.07   | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0423                      | CUSIP: 3140QKPH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11232978 | PA      | $9907434.53   | 0.06%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4540                      | CUSIP: 31418EBJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    946723 | PA      | $796696.84    | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC7906                      | CUSIP: 3133ASYB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1600938 | PA      | $1327516.76   | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91025                      | CUSIP: 312939D65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43166 | PA      | $43446.18     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3385                      | CUSIP: 3140J7XP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1858123 | PA      | $1750790.67   | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8278                      | CUSIP: 3132DWFT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4126369 | PA      | $4191868.52   | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9491                      | CUSIP: 36179YRL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1780792 | PA      | $1839098.38   | 0.01%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6154                      | CUSIP: 36179UZT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1049097 | PA      | $943190.46    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3028                      | CUSIP: 31418CLJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    183630 | PA      | $173838.87    | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7245                      | CUSIP: 3138WHBP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    332167 | PA      | $301272.77    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6875                      | CUSIP: 3140QST92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4945875 | PA      | $5042928.91   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18552                      | CUSIP: 3128MMTJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    278727 | PA      | $271754.08    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3465                      | CUSIP: 31418CZ72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    598468 | PA      | $572742.43    | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08601                      | CUSIP: 3128MJU32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    681443 | PA      | $643889.44    | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0949                      | CUSIP: 31419BBT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4603451 | PA      | $4391090.21   | 0.03%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08653                      | CUSIP: 3128MJWP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2132810 | PA      | $1875374.42   | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9779                      | CUSIP: 36179Y2L7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21003264 | PA      | $20885559.98  | 0.13%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782665                      | CUSIP: 36241K6A1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    389807 | PA      | $391653.53    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2445                      | CUSIP: 36179QWE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1607863 | PA      | $1469742.51   | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9324                      | CUSIP: 3138MRLE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    935572 | PA      | $839823.69    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5937                      | CUSIP: 31417CS30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    963161 | PA      | $889771.28    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2032                      | CUSIP: 3140Q9HJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194617 | PA      | $182115.65    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 705753                      | CUSIP: 36297ABW2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      2850 | PA      | $2979.53      | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5286                      | CUSIP: 3133KL2T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6259284 | PA      | $5106163.81   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07907                      | CUSIP: 3128MADL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    839900 | PA      | $881344.59    | 0.01%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7242                      | CUSIP: 3140XPBL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4346874 | PA      | $3604479.85   | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783289                      | CUSIP: 36241LUN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    957489 | PA      | $940864.71    | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1191                      | CUSIP: 3140Q8KD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1567214 | PA      | $1414593.24   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2842                      | CUSIP: 3140QNEQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14318618 | PA      | $11244529.92  | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7380                      | CUSIP: 3140XBFW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    133337 | PA      | $110648.19    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7527                      | CUSIP: 3140QFLH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13025435 | PA      | $10633957.63  | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB2077                      | CUSIP: 31416XJX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    424040 | PA      | $405227.22    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786826                      | CUSIP: 3622ACPK0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6160412 | PA      | $6168241.08   | 0.04%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7613                      | CUSIP: 3132A8N62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88079 | PA      | $86806.96     | 0.00%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2348                      | CUSIP: 3138XDTE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    120262 | PA      | $113630.53    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7769                      | CUSIP: 36179WT24<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1551563 | PA      | $1388629.74   | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9425                      | CUSIP: 36179YPJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15473444 | PA      | $15842511.64  | 0.10%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5126                      | CUSIP: 3133KYVT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2870111 | PA      | $2509732.22   | 0.02%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786681                      | CUSIP: 3622ACJ27<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2575106 | PA      | $2571940.55   | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD3793                      | CUSIP: 31418RGB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42051 | PA      | $42268.15     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ3437                      | CUSIP: 3138AUZB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20695 | PA      | $21476.63     | 0.00%             | 2041-11-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8070                      | CUSIP: 3132DV6F7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    480145 | PA      | $445101.49    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4550                      | CUSIP: 3138WEBU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    587526 | PA      | $539053.62    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04219                      | CUSIP: 3128M6AU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24097 | PA      | $24797.30     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555591                      | CUSIP: 31385XF85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     47305 | PA      | $48400.57     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2149                      | CUSIP: 36179QL66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1204480 | PA      | $1143529.89   | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 550656                      | CUSIP: 36213CWR7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     29493 | PA      | $29636.56     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 487821                      | CUSIP: 36210B4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    236975 | PA      | $238097.59    | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0981                      | CUSIP: 3132CXCS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1029040 | PA      | $1032347.75   | 0.01%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97474                      | CUSIP: 312946JT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178350 | PA      | $170218.80    | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1042                      | CUSIP: 3140J5EQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1261917 | PA      | $1184405.72   | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4154                      | CUSIP: 31418DTL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1920850 | PA      | $1701384.45   | 0.01%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8067                      | CUSIP: 3132D56C1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    944693 | PA      | $836757.15    | 0.01%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5431                      | CUSIP: 3140QRA94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5260577 | PA      | $5172829.96   | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735676                      | CUSIP: 31402RJV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1277438 | PA      | $1284598.56   | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783261                      | CUSIP: 36241LTS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    235260 | PA      | $231175.04    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09008                      | CUSIP: 31292SAH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    305093 | PA      | $274539.28    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8389                      | CUSIP: 3132DWKA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5676721 | PA      | $6011614.84   | 0.04%             | 2053-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8031                      | CUSIP: 3132D54Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1876785 | PA      | $1754497.46   | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6767                      | CUSIP: 36179VQU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    570060 | PA      | $512156.30    | 0.00%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0786                      | CUSIP: 3132DM2T1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212586 | PA      | $168406.95    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06808                      | CUSIP: 3128M83R3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3488077 | PA      | $3331753.31   | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3047                      | CUSIP: 31419DL58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    180325 | PA      | $177349.87    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8163                      | CUSIP: 3132DWB85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    448089 | PA      | $399971.92    | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5590                      | CUSIP: 31418FF85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144986 | PA      | $145089.64    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q07465                      | CUSIP: 3132GSTW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    279674 | PA      | $259604.11    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6034                      | CUSIP: 3140QRV42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1350931 | PA      | $1394233.08   | 0.01%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08597                      | CUSIP: 3128MJUX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    756999 | PA      | $695321.30    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06881                      | CUSIP: 3128M86S8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13537 | PA      | $12587.96     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8347                      | CUSIP: 3132D6HY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3691757 | PA      | $3575418.61   | 0.02%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0529                      | CUSIP: 3132ACSS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7859539 | PA      | $6933755.69   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4730                      | CUSIP: 3132A5HF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    548374 | PA      | $495656.80    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1222                      | CUSIP: 3138EHLC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9387 | PA      | $9757.67      | 0.00%             | 2040-09-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3488                      | CUSIP: 3132DQ2V7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6580784 | PA      | $5174113.98   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1193                      | CUSIP: 3138AEKF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296237 | PA      | $291043.22    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1597                      | CUSIP: 3138EHX31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1256 | PA      | $1316.09      | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4468                        | CUSIP: 36202E6D6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    197721 | PA      | $194709.93    | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93996                      | CUSIP: 312942NM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247917 | PA      | $244085.23    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6740                      | CUSIP: 3138EBP25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1474573 | PA      | $1405019.98   | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QN4368                      | CUSIP: 3133GAZ90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1040972 | PA      | $918132.50    | 0.01%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4661                      | CUSIP: 3140X8FB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1422823 | PA      | $1324778.64   | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8453                      | CUSIP: 3140XQMB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6705961 | PA      | $6684870.53   | 0.04%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1694                      | CUSIP: 3132DN3B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2162158 | PA      | $2047853.76   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G62009                      | CUSIP: 31335CGS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    941525 | PA      | $867999.14    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS1767                      | CUSIP: 3132A16C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    556173 | PA      | $572207.24    | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08540                      | CUSIP: 3128MJS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1709410 | PA      | $1530554.78   | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8112                      | CUSIP: 3132DWAM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13151915 | PA      | $9721986.68   | 0.06%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5595                      | CUSIP: 3138WFGD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168437 | PA      | $152981.86    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8148                      | CUSIP: 36179XBR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    816212 | PA      | $715470.05    | 0.00%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0540                      | CUSIP: 3132ACS50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2372049 | PA      | $2224126.12   | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4154                      | CUSIP: 3140XKTL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4035583 | PA      | $4165569.15   | 0.03%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0243                      | CUSIP: 3140Q7HV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    179646 | PA      | $172282.10    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1858                      | CUSIP: 3132AEB39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6212089 | PA      | $5961332.05   | 0.04%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2808                      | CUSIP: 3132DQDM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5768105 | PA      | $4535148.03   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6572                      | CUSIP: 3140XNJS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5032747 | PA      | $5212151.75   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6328                      | CUSIP: 3140QSA68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5115922 | PA      | $5182739.86   | 0.03%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09064                      | CUSIP: 31292SB90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168163 | PA      | $158814.94    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0066                      | CUSIP: 3132DMCB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    372115 | PA      | $377456.89    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5222                      | CUSIP: 3140X8YU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2950368 | PA      | $2298508.48   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0659                      | CUSIP: 3142GQWV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3778422 | PA      | $3957390.98   | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05832                      | CUSIP: 3128M7Y59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32544 | PA      | $32753.00     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2891                      | CUSIP: 36179RF87<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1818843 | PA      | $1625584.47   | 0.01%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q38893                      | CUSIP: 3132QV3B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19283 | PA      | $18062.19     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3686                      | CUSIP: 3140XKCY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1438771 | PA      | $1403980.98   | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4122                      | CUSIP: 3140QBSL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    880940 | PA      | $792122.51    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8526                      | CUSIP: 3132DWPK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5127809 | PA      | $5267336.56   | 0.03%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V82942                      | CUSIP: 3132L8HT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3749561 | PA      | $3244251.30   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5265                      | CUSIP: 36184BZ67<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    304592 | PA      | $279825.98    | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4096                      | CUSIP: 31418DRS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10842588 | PA      | $8923036.80   | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5643                      | CUSIP: 31418FHV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6930000 | PA      | $6355449.51   | 0.04%             | 2055-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7797                      | CUSIP: 3140XBUX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5094581 | PA      | $4759366.18   | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5054                      | CUSIP: 3133KYTK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1945340 | PA      | $1721063.94   | 0.01%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1866                      | CUSIP: 3132AECB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190243 | PA      | $187411.42    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1787                      | CUSIP: 3142GR6Z8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5841433 | PA      | $6059249.05   | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782562                      | CUSIP: 36241KZ35<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    153982 | PA      | $154710.56    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3293                      | CUSIP: 3140XJUT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2385360 | PA      | $2369323.23   | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2949                      | CUSIP: 3138EKH32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     27884 | PA      | $29006.49     | 0.00%             | 2042-08-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5470                      | CUSIP: 3140X9CG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4143433 | PA      | $3777927.17   | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2523                      | CUSIP: 31329KYU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    454663 | PA      | $435118.77    | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8308                      | CUSIP: 3132DWGR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    448288 | PA      | $445757.33    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1661                      | CUSIP: 3138X0Z35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    235071 | PA      | $229136.78    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4606                      | CUSIP: 3132A5DK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1253971 | PA      | $1109593.19   | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0812                      | CUSIP: 3132DM3V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10599593 | PA      | $9120846.58   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08847                      | CUSIP: 3128MJ5H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    618607 | PA      | $576142.55    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0462                      | CUSIP: 36179MQP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4162972 | PA      | $3844641.45   | 0.02%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05911                      | CUSIP: 3128M73U8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    761243 | PA      | $766212.54    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5531                      | CUSIP: 31418FED5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8634277 | PA      | $8553157.58   | 0.05%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8266                      | CUSIP: 3132DWFF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11984547 | PA      | $11346290.54  | 0.07%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8127                      | CUSIP: 3132DWA45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17351994 | PA      | $12834459.69  | 0.08%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698089                      | CUSIP: 36296QRJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    193314 | PA      | $186317.59    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5252                      | CUSIP: 3132DSZR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6724556 | PA      | $6667682.01   | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18672                      | CUSIP: 3128MMXA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1102636 | PA      | $1050791.95   | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91853                      | CUSIP: 3128P8BW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    635738 | PA      | $605154.94    | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7803                      | CUSIP: 3138WHU59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199638 | PA      | $186501.71    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA1983                      | CUSIP: 3133KHFY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1654607 | PA      | $1428168.16   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q38530                      | CUSIP: 3132QVPQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     31091 | PA      | $30029.87     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8326                      | CUSIP: 3138ETHC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    627134 | PA      | $607111.04    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8149                      | CUSIP: 3132DWBS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15125917 | PA      | $11178480.61  | 0.07%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1711                      | CUSIP: 3138EH3V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    695722 | PA      | $683693.80    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18608                      | CUSIP: 3128MMVA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    498711 | PA      | $483822.29    | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2721                      | CUSIP: 3138WQAX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1065166 | PA      | $957650.01    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3623                      | CUSIP: 3132E0AY8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2175613 | PA      | $2205999.87   | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0806                      | CUSIP: 3140QK3Q9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    807449 | PA      | $603035.98    | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1628                      | CUSIP: 3138X0Y28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1485648 | PA      | $1330686.60   | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08474                      | CUSIP: 3128MJQ45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173194 | PA      | $164883.04    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1538                      | CUSIP: 3140XGV89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9839120 | PA      | $8440331.79   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7193                      | CUSIP: 36179V7E4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18685889 | PA      | $15679060.17  | 0.10%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BT9377                      | CUSIP: 3140LYM34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5057811 | PA      | $3975101.75   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG D97610                      | CUSIP: 3128E4N32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       586 | PA      | $586.44       | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5397                      | CUSIP: 36179T7J8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    240524 | PA      | $216844.62    | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08681                      | CUSIP: 3128MJXK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5107382 | PA      | $4641650.83   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5177                      | CUSIP: 31418EXF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5232317 | PA      | $4800970.25   | 0.03%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4922                        | CUSIP: 36202FPF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1293779 | PA      | $1240168.90   | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7537                      | CUSIP: 3132DVLS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5831983 | PA      | $4587194.98   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8166                      | CUSIP: 3132DWCB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18845580 | PA      | $14717140.98  | 0.09%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91718                      | CUSIP: 3128P74B6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    425475 | PA      | $407250.56    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0756                      | CUSIP: 36179MZV5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    165571 | PA      | $161983.88    | 0.00%             | 2028-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783707                      | CUSIP: 3622A2DL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      9550 | PA      | $9359.44      | 0.00%             | 2028-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4780                      | CUSIP: 36179TJZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    432980 | PA      | $417914.98    | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3965                      | CUSIP: 3138WDMP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    812331 | PA      | $766121.83    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0881                      | CUSIP: 3140XF6T3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7756392 | PA      | $6421997.14   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1543                      | CUSIP: 3132DNWC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23967078 | PA      | $19731481.74  | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4660                      | CUSIP: 31418EFA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1334213 | PA      | $1192481.92   | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2656                      | CUSIP: 3138EJ5S3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151199 | PA      | $148049.07    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4254                      | CUSIP: 31418DWQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9180910 | PA      | $6790690.45   | 0.04%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255814                      | CUSIP: 31371MDT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    410963 | PA      | $422277.57    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6289                      | CUSIP: 3138EN7B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64655 | PA      | $66404.00     | 0.00%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8583                      | CUSIP: 3138WJRD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    929011 | PA      | $842314.56    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3119                      | CUSIP: 3138WCPD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41119 | PA      | $40136.56     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4990                      | CUSIP: 31418ERL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4065445 | PA      | $4018383.83   | 0.03%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4378                      | CUSIP: 3140XK2L3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4083394 | PA      | $4054600.72   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8966                      | CUSIP: 3138WJ6C7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    512628 | PA      | $478577.39    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5142                      | CUSIP: 3133KLWB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12019791 | PA      | $9948172.65   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8004                      | CUSIP: 3140XB3N8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1911330 | PA      | $1856874.01   | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1275                      | CUSIP: 3140XGMZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3271731 | PA      | $2718070.68   | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5181                      | CUSIP: 3140X8XK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1513078 | PA      | $1257026.05   | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786927                      | CUSIP: 3622ACSQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3671311 | PA      | $3750219.20   | 0.02%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK4769                      | CUSIP: 3140HJJP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    295835 | PA      | $292634.29    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4068                      | CUSIP: 36179SQV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9135231 | PA      | $8079790.63   | 0.05%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9516                      | CUSIP: 3140XDSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5567380 | PA      | $4600879.17   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3443                      | CUSIP: 31418CZH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3225171 | PA      | $3002882.02   | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786862                      | CUSIP: 3622ACQP8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7688628 | PA      | $6658561.86   | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1415                      | CUSIP: 3138ASSD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    190122 | PA      | $186731.45    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8046                      | CUSIP: 3132D55F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1116957 | PA      | $1061943.65   | 0.01%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60536                      | CUSIP: 31335ASZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    306772 | PA      | $290465.18    | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5775                      | CUSIP: 3132DTMY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7925186 | PA      | $8117853.72   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE6643                      | CUSIP: 31419HLZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       841 | PA      | $872.82       | 0.00%             | 2040-10-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1091                      | CUSIP: 36179NF86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4152817 | PA      | $3965632.21   | 0.02%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783121                      | CUSIP: 36241LPE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    936225 | PA      | $898834.48    | 0.01%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3903                      | CUSIP: 3140XKKR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4347848 | PA      | $4354554.09   | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4877                        | CUSIP: 36202FM29<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     22677 | PA      | $22564.94     | 0.00%             | 2025-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4207                      | CUSIP: 31418DU91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342574 | PA      | $318646.92    | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16932                      | CUSIP: 3128PWVZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6229 | PA      | $6163.52      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1288                      | CUSIP: 3132DNND1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    750386 | PA      | $688407.96    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8991                      | CUSIP: 3140XC7D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2453256 | PA      | $2277307.43   | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8008                      | CUSIP: 3140XP3S6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3675489 | PA      | $3650146.33   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9582                      | CUSIP: 3133KRUF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1271764 | PA      | $1308156.94   | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8426                      | CUSIP: 36179XLF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15629435 | PA      | $14386064.70  | 0.09%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3327                      | CUSIP: 3140XJVV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18744 | PA      | $17352.78     | 0.00%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04587                      | CUSIP: 3128M6NC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     64439 | PA      | $66317.07     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3353                      | CUSIP: 3132DQWN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1362930 | PA      | $1329441.41   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08658                      | CUSIP: 3128MJWU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    654490 | PA      | $575491.36    | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5330                      | CUSIP: 3140X84Q7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197977 | PA      | $187977.05    | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5508                      | CUSIP: 31419GDN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20082 | PA      | $20786.08     | 0.00%             | 2040-12-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA8065                      | CUSIP: 3133A26A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    949029 | PA      | $817074.85    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AC3014                      | CUSIP: 31417MK44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5188 | PA      | $5369.13      | 0.00%             | 2039-10-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995050                      | CUSIP: 31416BL71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    281967 | PA      | $294804.72    | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0501                      | CUSIP: 3132DMRW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4060883 | PA      | $3539400.77   | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7903                      | CUSIP: 3140QTX95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    309165 | PA      | $292024.02    | 0.00%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI8186                      | CUSIP: 3138ANCY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163794 | PA      | $155991.72    | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1156                      | CUSIP: 36179NH92<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1201846 | PA      | $1084446.26   | 0.01%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60038                      | CUSIP: 31335ABF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2096109 | PA      | $1939148.05   | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5204                        | CUSIP: 36202FX92<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    256333 | PA      | $251973.33    | 0.00%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3243                      | CUSIP: 31418CS96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1764247 | PA      | $1667418.25   | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8030                      | CUSIP: 3132DV4P7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8287259 | PA      | $7147938.64   | 0.04%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8763                      | CUSIP: 3140XQWZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4090791 | PA      | $4160838.57   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7147                      | CUSIP: 3140XN5H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3057415 | PA      | $2535244.79   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9033                      | CUSIP: 3138ABBB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1180 | PA      | $1173.47      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3676                      | CUSIP: 3140J8CN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    873235 | PA      | $830485.18    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9546                      | CUSIP: 3133AUTB4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6973988 | PA      | $5524676.64   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0331                      | CUSIP: 3138W9LM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    138732 | PA      | $124041.26    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5239                      | CUSIP: 3138LVZD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    321658 | PA      | $306300.83    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6785                      | CUSIP: 31417DRF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54687 | PA      | $53515.79     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2806                      | CUSIP: 31418CDL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2919928 | PA      | $2554999.68   | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0428                      | CUSIP: 31417YPN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58556 | PA      | $58319.17     | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA2236                      | CUSIP: 31334YPV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1729804 | PA      | $1519021.05   | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9017                      | CUSIP: 36179YAS3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12667209 | PA      | $12639764.05  | 0.08%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AC3794                      | CUSIP: 36179DGB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     16878 | PA      | $16494.49     | 0.00%             | 2028-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889983                      | CUSIP: 31410KXL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    194266 | PA      | $203623.45    | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7504                      | CUSIP: 3132DVKR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4696317 | PA      | $4224296.17   | 0.03%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4519                        | CUSIP: 36202FAU0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    103775 | PA      | $102185.66    | 0.00%             | 2039-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18540                      | CUSIP: 3128MMS61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    284944 | PA      | $275841.60    | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848674                      | CUSIP: 31300LT70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4660 | PA      | $4832.26      | 0.00%             | 2042-02-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4837                      | CUSIP: 36179TLS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6015933 | PA      | $5433063.92   | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06168                      | CUSIP: 3128M8FH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    137831 | PA      | $128744.93    | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3174                      | CUSIP: 3138EKQ40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    289705 | PA      | $283333.24    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5244                      | CUSIP: 3140X8ZJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3645189 | PA      | $3339629.56   | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1163                      | CUSIP: 3140X4JH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    910821 | PA      | $875606.12    | 0.01%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848353                      | CUSIP: 31300LH65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3176 | PA      | $3299.94      | 0.00%             | 2040-09-01      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 908775                      | CUSIP: 31411HT83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2202 | PA      | $2307.75      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7523                      | CUSIP: 3132DVLC7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13690817 | PA      | $11369701.88  | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q13205                      | CUSIP: 3132HPR22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1785043 | PA      | $1614628.90   | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4488                      | CUSIP: 3140QB7A0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1556482 | PA      | $1462847.46   | 0.01%             | 2034-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3781                      | CUSIP: 3132A4FW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1150808 | PA      | $1027312.67   | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3495                      | CUSIP: 31418C3D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1004449 | PA      | $934277.69    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7593                      | CUSIP: 3140QFNK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5926987 | PA      | $4663773.13   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8042                      | CUSIP: 3132DV5B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173012 | PA      | $170275.26    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06893                      | CUSIP: 3128M87E8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202194 | PA      | $192535.15    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3247                      | CUSIP: 31418CTD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1380841 | PA      | $1332104.08   | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0393                      | CUSIP: 3138EGNK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199540 | PA      | $196085.50    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2414                      | CUSIP: 36179QVF5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    150232 | PA      | $146450.60    | 0.00%             | 2029-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15688                      | CUSIP: 3128MERH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     26804 | PA      | $26416.34     | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4474                      | CUSIP: 31418D6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17364075 | PA      | $14645103.81  | 0.09%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0730                      | CUSIP: 3132DMY33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5463836 | PA      | $4314700.18   | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03832                      | CUSIP: 31292LHH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52311 | PA      | $51458.59     | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9801                      | CUSIP: 3140XR3K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12611029 | PA      | $12516192.64  | 0.08%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1308                      | CUSIP: 31418AN20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    107710 | PA      | $105341.56    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555967                      | CUSIP: 31385XTY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    131845 | PA      | $134899.11    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1026                      | CUSIP: 3140X4D86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1068179 | PA      | $970164.61    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4833                        | CUSIP: 36202FLN4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    674494 | PA      | $646713.34    | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7114                      | CUSIP: 3140QS3Y5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3785585 | PA      | $3760666.29   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5412                      | CUSIP: 3140JAAN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175547 | PA      | $169009.80    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8111                      | CUSIP: 3132D6AL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6154761 | PA      | $5565668.85   | 0.03%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 780651                      | CUSIP: 36225AWL0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       352 | PA      | $355.24       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CC0217                      | CUSIP: 3140Y6G38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7068091 | PA      | $7179179.86   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04123                      | CUSIP: 3128M54G2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5406 | PA      | $5676.46      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3150                      | CUSIP: 31418CQC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    204035 | PA      | $195671.64    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH6783                      | CUSIP: 3138A8RD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1278236 | PA      | $1218940.73   | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0005                      | CUSIP: 3142GQAF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3588673 | PA      | $3689404.31   | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3357                      | CUSIP: 3132DQWS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1354806 | PA      | $1375887.74   | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1251                      | CUSIP: 3140X4L95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    655731 | PA      | $586910.11    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0331                      | CUSIP: 3140XFLM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3492420 | PA      | $2999736.36   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7311                      | CUSIP: 36179WDQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  36979889 | PA      | $29723498.96  | 0.19%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11218                      | CUSIP: 3132HMK75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195101 | PA      | $180737.44    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8239                      | CUSIP: 3132DWEL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6398009 | PA      | $6219311.26   | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5711                      | CUSIP: 36179UKY7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    731875 | PA      | $702521.26    | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932864                      | CUSIP: 31412RMM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    462091 | PA      | $440904.80    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2652                      | CUSIP: 3133KH5M4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    799777 | PA      | $663184.98    | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4461                      | CUSIP: 3140XK5X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1360624 | PA      | $1327723.69   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08660                      | CUSIP: 3128MJWW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1005970 | PA      | $942887.93    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784297                      | CUSIP: 3622A2X23<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    262732 | PA      | $245036.25    | 0.00%             | 2046-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3689                      | CUSIP: 3140XKC32<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2880786 | PA      | $2885229.82   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3683                      | CUSIP: 31418DCV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    716048 | PA      | $669587.96    | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4209                      | CUSIP: 31418DVB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  29008025 | PA      | $21445522.94  | 0.13%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4834                        | CUSIP: 36202FLP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    760599 | PA      | $748215.99    | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3982                      | CUSIP: 3140X7M89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2013300 | PA      | $1804025.30   | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2147                      | CUSIP: 36179QL41<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    424329 | PA      | $382152.96    | 0.00%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1157                      | CUSIP: 36179NJA7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2188706 | PA      | $2017684.58   | 0.01%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4555                      | CUSIP: 3140QQBZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    422660 | PA      | $400150.38    | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3664                      | CUSIP: 36179SB97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    101545 | PA      | $94989.59     | 0.00%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08479                      | CUSIP: 3128MJQ94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    511067 | PA      | $474746.63    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2372                      | CUSIP: 36179QT50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1199679 | PA      | $1138159.46   | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3364                      | CUSIP: 3140J7W27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315154 | PA      | $303890.64    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4578                        | CUSIP: 36202FCP9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    158710 | PA      | $159812.59    | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05849                      | CUSIP: 3128M7ZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    308415 | PA      | $303834.12    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3742                      | CUSIP: 3138X3EQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1630097 | PA      | $1504880.86   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD8781                      | CUSIP: 36180MXJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    442468 | PA      | $398659.74    | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8077                      | CUSIP: 3138EQ6P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    323422 | PA      | $318752.47    | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0536                      | CUSIP: 3132ACSZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9720978 | PA      | $8816842.40   | 0.06%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6475                      | CUSIP: 36179VFQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3575885 | PA      | $3214899.76   | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08788                      | CUSIP: 3128MJ2W9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2136163 | PA      | $1933360.69   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK7591                      | CUSIP: 3131XBNG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254126 | PA      | $247842.43    | 0.00%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0521                      | CUSIP: 3132CWSJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1023038 | PA      | $931833.09    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ5065                      | CUSIP: 3138MLTX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41984 | PA      | $37586.16     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3045                      | CUSIP: 3140XJL35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1013114 | PA      | $990200.06    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05671                      | CUSIP: 3128M7T48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104392 | PA      | $107498.73    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8237                      | CUSIP: 3132DWEJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17029551 | PA      | $15638956.85  | 0.10%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4979                        | CUSIP: 36202FQ82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    494000 | PA      | $497430.49    | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7742                      | CUSIP: 3140XPS83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5650677 | PA      | $5602885.96   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA8621                      | CUSIP: 31416SSK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62012 | PA      | $61038.89     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4583                      | CUSIP: 3140X8CV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7358166 | PA      | $5833615.38   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4413                      | CUSIP: 31418D3X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18775065 | PA      | $14662073.41  | 0.09%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5136                      | CUSIP: 36179TV51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3259478 | PA      | $2938582.73   | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1035                      | CUSIP: 31418AEH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23359 | PA      | $23031.96     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8023                      | CUSIP: 3132DV4G7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6769998 | PA      | $5598953.67   | 0.03%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0147                      | CUSIP: 3618N5EV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  30598632 | PA      | $30405639.98  | 0.19%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5436                      | CUSIP: 3140JABE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2430744 | PA      | $2291035.99   | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737286                      | CUSIP: 3620ARCX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     48924 | PA      | $48092.78     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8506                      | CUSIP: 3132DWNX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  37584080 | PA      | $37230973.89  | 0.23%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4371                      | CUSIP: 3138WD2D2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    383506 | PA      | $350955.41    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07810                      | CUSIP: 3128MAAK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36053 | PA      | $35529.93     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8785                      | CUSIP: 3140XCXP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5252463 | PA      | $4334066.79   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8872                      | CUSIP: 3140XC2E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    281595 | PA      | $274838.36    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4850                      | CUSIP: 31418EL81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4379678 | PA      | $4403336.51   | 0.03%             | 2037-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5242                      | CUSIP: 3132DSZF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5585061 | PA      | $5567495.36   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5014                      | CUSIP: 3140X8SC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1405293 | PA      | $1345932.41   | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6599                      | CUSIP: 36179VKL3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9766200 | PA      | $8540198.01   | 0.05%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C04246                      | CUSIP: 31292LWF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189435 | PA      | $170319.60    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7555                      | CUSIP: 3132DVMC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5491661 | PA      | $4749547.44   | 0.03%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1012                      | CUSIP: 36179NDR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5882148 | PA      | $5399875.63   | 0.03%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2753                      | CUSIP: 3132DQBW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2694168 | PA      | $2692430.20   | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08670                      | CUSIP: 3128MJW89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2849795 | PA      | $2504035.92   | 0.02%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA6290                      | CUSIP: 36178D7B1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    379893 | PA      | $340516.83    | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4800                        | CUSIP: 36202FKM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    318307 | PA      | $305181.67    | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3736                      | CUSIP: 36179SEH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5309816 | PA      | $4808635.51   | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256031                      | CUSIP: 31371MLL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3129 | PA      | $3125.85      | 0.00%             | 2025-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2516                      | CUSIP: 3140XHYN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    873121 | PA      | $804552.89    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0204                      | CUSIP: 3618N5GN3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  33675918 | PA      | $32689897.22  | 0.20%             | 2055-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G16724                      | CUSIP: 3128MFVR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77082 | PA      | $73452.55     | 0.00%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0461                      | CUSIP: 36179MQN3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    750781 | PA      | $679884.61    | 0.00%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7741                      | CUSIP: 3138WHS78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3556166 | PA      | $3242080.98   | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR5589                      | CUSIP: 3140L4F79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    215336 | PA      | $167624.47    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1404                      | CUSIP: 3140QLR24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6381430 | PA      | $5546996.34   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3073                      | CUSIP: 31418CMX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1349457 | PA      | $1295827.85   | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890565                      | CUSIP: 31410LMN9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    469588 | PA      | $421555.69    | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4722                      | CUSIP: 3140X8G84<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411648 | PA      | $355055.63    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6223                      | CUSIP: 3132DT4G2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2902143 | PA      | $2952744.55   | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5256                      | CUSIP: 3132DSZV7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5480502 | PA      | $5434150.12   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 310104                      | CUSIP: 31374CNV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    256227 | PA      | $262659.31    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8506                      | CUSIP: 3132D6NX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7266218 | PA      | $6634323.45   | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7663                      | CUSIP: 3140QTQR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6728881 | PA      | $7046069.84   | 0.04%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784494                      | CUSIP: 3622A27F3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    537063 | PA      | $494969.47    | 0.00%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5047                      | CUSIP: 3132DSTC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4048795 | PA      | $4036060.69   | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A94605                      | CUSIP: 312943DJ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    262243 | PA      | $250752.27    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3370                      | CUSIP: 3140XJW82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3713980 | PA      | $3064588.08   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4570                      | CUSIP: 31418ECG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1304598 | PA      | $1097072.29   | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2625                      | CUSIP: 3142GS4K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7829247 | PA      | $7780156.79   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0783                      | CUSIP: 36179M2Q2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1303560 | PA      | $1202778.50   | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM1043                      | CUSIP: 3140J5ER6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170997 | PA      | $165323.20    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8367                      | CUSIP: 3132DWJL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  27373634 | PA      | $27159227.39  | 0.17%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2601                      | CUSIP: 36179Q3J8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1647648 | PA      | $1505743.99   | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3142                      | CUSIP: 3140XJP49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2699703 | PA      | $2522067.08   | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7120                      | CUSIP: 3132DU4D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3995636 | PA      | $4066551.56   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0794                      | CUSIP: 3132AC3B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    831179 | PA      | $800484.80    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8043                      | CUSIP: 3132DV5C5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    273933 | PA      | $226206.83    | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2058                      | CUSIP: 3140QMJC9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14350368 | PA      | $11215649.23  | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4261                      | CUSIP: 31418DWX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3283727 | PA      | $2973535.33   | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3272                      | CUSIP: 3140X6T68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1189290 | PA      | $1107338.73   | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1859                      | CUSIP: 3138AFB58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    253370 | PA      | $248897.15    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6045                      | CUSIP: 3138ENWF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    458469 | PA      | $434253.46    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08607                      | CUSIP: 3128MJU99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    263343 | PA      | $255675.38    | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95575                      | CUSIP: 312944FQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    405653 | PA      | $388184.50    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7623                      | CUSIP: 3140XBPH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5582404 | PA      | $4609806.20   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2817                      | CUSIP: 31418CDX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    367075 | PA      | $334253.52    | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888450                      | CUSIP: 31410GBT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    206877 | PA      | $211567.61    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4040                        | CUSIP: 36202EPZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     33317 | PA      | $34895.31     | 0.00%             | 2037-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QB9394                      | CUSIP: 3133AGNK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    232460 | PA      | $182335.08    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4679                        | CUSIP: 36202FFU5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    164943 | PA      | $166089.57    | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4058                      | CUSIP: 3140QPQL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3368089 | PA      | $3121476.41   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4138                      | CUSIP: 3140XKS43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6045291 | PA      | $4995824.54   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4128                      | CUSIP: 36179SSR9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    480294 | PA      | $448538.99    | 0.00%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX7627                      | CUSIP: 3140NCPM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1079289 | PA      | $1066120.44   | 0.01%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783177                      | CUSIP: 36241LQ66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    344232 | PA      | $338437.26    | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4074                      | CUSIP: 31418DQ47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3297550 | PA      | $3006662.59   | 0.02%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA2966                      | CUSIP: 3140QAJL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    718888 | PA      | $710435.38    | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05623                      | CUSIP: 3128M7SL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5028 | PA      | $5060.73      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD1259                      | CUSIP: 3133AXMG4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5118386 | PA      | $4024309.34   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0851                      | CUSIP: 3138EG5M2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    234793 | PA      | $246147.19    | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08596                      | CUSIP: 3128MJUW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    536364 | PA      | $521753.06    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5260                      | CUSIP: 31418EZ29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1931731 | PA      | $2051335.97   | 0.01%             | 2054-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8134                      | CUSIP: 3132DWBB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  45664489 | PA      | $35746540.97  | 0.22%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1443                      | CUSIP: 3142GRS92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6241413 | PA      | $6445861.27   | 0.04%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14781                      | CUSIP: 3128PUJ29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13910 | PA      | $13834.94     | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5133                      | CUSIP: 31418EV31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1174134 | PA      | $1159808.79   | 0.01%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3310                      | CUSIP: 3140QAVC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1270156 | PA      | $1184994.25   | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2736                      | CUSIP: 3142GTBE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4489667 | PA      | $4383561.23   | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08227                      | CUSIP: 3128MJHD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164527 | PA      | $172739.68    | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2232                      | CUSIP: 3140QMPS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3618448 | PA      | $3292468.49   | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5652                      | CUSIP: 36179UH54<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3477499 | PA      | $3342373.09   | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2625                      | CUSIP: 3140XH4K0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    965880 | PA      | $763342.96    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR2619                      | CUSIP: 3140L04D6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3131321 | PA      | $2474709.05   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7214                      | CUSIP: 3140XPAQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1965242 | PA      | $2025931.93   | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8662                      | CUSIP: 3140QUTU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3503637 | PA      | $3427403.84   | 0.02%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4841                      | CUSIP: 31418ELX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6802942 | PA      | $6610808.19   | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4678                        | CUSIP: 36202FFT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    251650 | PA      | $247632.84    | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6190                      | CUSIP: 3138WF2Y1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1007939 | PA      | $915766.95    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4916                      | CUSIP: 31418EPA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    337857 | PA      | $310135.97    | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18572                      | CUSIP: 3128MMT60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    989555 | PA      | $963106.66    | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4701                      | CUSIP: 31418EGK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20551957 | PA      | $19465456.87  | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9618                      | CUSIP: 3140XRVL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1774459 | PA      | $1513596.63   | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8373                      | CUSIP: 3132DWJS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15752621 | PA      | $15938672.25  | 0.10%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0115                      | CUSIP: 31417YDV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181335 | PA      | $180500.20    | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9786                      | CUSIP: 3138WK2U8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    114574 | PA      | $107393.52    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3280                      | CUSIP: 3138EKUE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157155 | PA      | $164754.15    | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738017                      | CUSIP: 3620AR4A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     80324 | PA      | $77058.99     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4671                      | CUSIP: 3132A5FL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4378193 | PA      | $3836485.98   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3451                      | CUSIP: 3138WCZR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    189060 | PA      | $178425.92    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5420                      | CUSIP: 31418FAW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3215867 | PA      | $3187663.98   | 0.02%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1008                      | CUSIP: 3140Q8DN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    449181 | PA      | $420748.77    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5513                      | CUSIP: 3140XMDT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2700136 | PA      | $2756496.95   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4469                        | CUSIP: 36202E6E4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    349406 | PA      | $351831.49    | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5892                      | CUSIP: 3138WFRN8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    827841 | PA      | $751878.95    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255004                      | CUSIP: 31371LGM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4317 | PA      | $4590.42      | 0.00%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8035                      | CUSIP: 3132D54U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2171820 | PA      | $2025557.18   | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4618                        | CUSIP: 36202FDX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    228722 | PA      | $230311.81    | 0.00%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3365                      | CUSIP: 3140X6W31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    931003 | PA      | $801555.72    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4929                      | CUSIP: 31418EPP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2405839 | PA      | $2523945.32   | 0.02%             | 2053-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08862                      | CUSIP: 3128MJ5Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1532747 | PA      | $1427531.03   | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5914                      | CUSIP: 3140JASC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8819421 | PA      | $7902675.58   | 0.05%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0767                      | CUSIP: 3140XFZ95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3918294 | PA      | $3124822.96   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2600                      | CUSIP: 36179Q3H2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    446520 | PA      | $399731.48    | 0.00%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4453                      | CUSIP: 36179S5N3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    348391 | PA      | $336486.86    | 0.00%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782974                      | CUSIP: 36241LJT4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    180344 | PA      | $181173.69    | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9056                      | CUSIP: 3140XDB21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5793270 | PA      | $4941602.99   | 0.03%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2643                      | CUSIP: 31418B5D4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4569433 | PA      | $4298220.78   | 0.03%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5256                      | CUSIP: 3133KLZV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170964 | PA      | $133724.93    | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60711                      | CUSIP: 31335AYG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173707 | PA      | $171097.09    | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8132                      | CUSIP: 3132D6A91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4859637 | PA      | $4391468.15   | 0.03%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2769                      | CUSIP: 3140XJCF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1821909 | PA      | $1426205.68   | 0.01%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3584                      | CUSIP: 3132DQ6V3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5829985 | PA      | $5951676.27   | 0.04%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00284                      | CUSIP: 3132GDJ52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243756 | PA      | $239869.03    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5214                      | CUSIP: 31418EYL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12254881 | PA      | $11881005.16  | 0.07%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7665                      | CUSIP: 3133KPQS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5920943 | PA      | $5455955.69   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5121                      | CUSIP: 3133KYVN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3119276 | PA      | $2637104.18   | 0.02%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4861                      | CUSIP: 31418EMK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1331059 | PA      | $1274286.83   | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0900                      | CUSIP: 3132DM7M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2987271 | PA      | $2364599.07   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4369                        | CUSIP: 36202E2A6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    270352 | PA      | $272227.88    | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3521                      | CUSIP: 36179R4E6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6793939 | PA      | $6163291.23   | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4516                      | CUSIP: 31418EAS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12620429 | PA      | $11404598.20  | 0.07%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18568                      | CUSIP: 3128MMT29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    219529 | PA      | $211819.86    | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5123                      | CUSIP: 3140X8VR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4211652 | PA      | $3887765.87   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0794                      | CUSIP: 3138LQ3C6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23757 | PA      | $23328.92     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08080                      | CUSIP: 3128MJCS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    103707 | PA      | $106698.61    | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4060                      | CUSIP: 3140X7QN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2284002 | PA      | $2133718.80   | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4636                      | CUSIP: 3140XLEJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1073998 | PA      | $1077667.87   | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3902                      | CUSIP: 31418DKQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8039045 | PA      | $6648486.76   | 0.04%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA3321                      | CUSIP: 3140QAVP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1604021 | PA      | $1442803.10   | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2624                      | CUSIP: 3132DP4H8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3600297 | PA      | $3241810.96   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6115                      | CUSIP: 3133KMYL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    927072 | PA      | $763234.25    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6297                      | CUSIP: 3140X97K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    591245 | PA      | $574055.49    | 0.00%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4176                      | CUSIP: 31418DUA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6077760 | PA      | $5183694.36   | 0.03%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8257                      | CUSIP: 3132DWE66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23494113 | PA      | $22242896.59  | 0.14%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8348                      | CUSIP: 36179XHZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15913051 | PA      | $15515498.62  | 0.10%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5044                      | CUSIP: 3140X8TA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2883205 | PA      | $2269610.74   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A90768                      | CUSIP: 312938Z97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117993 | PA      | $118758.58    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3586                      | CUSIP: 3138A46Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    317248 | PA      | $302590.34    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8419                      | CUSIP: 3132DWK85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1991593 | PA      | $1930210.63   | 0.01%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0316                      | CUSIP: 3140XFK67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5502246 | PA      | $4498085.10   | 0.03%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5925                      | CUSIP: 3138WFSP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    210089 | PA      | $202386.09    | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2460                      | CUSIP: 3140XHWW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9320490 | PA      | $8081356.66   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2781                      | CUSIP: 31418CCT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1099235 | PA      | $925926.32    | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2520                      | CUSIP: 36179QYR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    449967 | PA      | $402950.35    | 0.00%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4737                      | CUSIP: 31418EHP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10806084 | PA      | $10504268.07  | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3278                      | CUSIP: 3140X6UC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1087994 | PA      | $983401.56    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8510                      | CUSIP: 3132D6N30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3413570 | PA      | $3106047.01   | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08469                      | CUSIP: 3128MJQX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    282334 | PA      | $262652.22    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4043                      | CUSIP: 31418DP55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    205849 | PA      | $195582.05    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4932                      | CUSIP: 3140XLPS1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4947570 | PA      | $5029196.28   | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7306                      | CUSIP: 3138EQDL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28620 | PA      | $28139.73     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4452                      | CUSIP: 36179S5M5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1576462 | PA      | $1469277.82   | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1520                      | CUSIP: 3142GRVN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7593033 | PA      | $7742033.83   | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC9096                      | CUSIP: 3140F5DA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3183117 | PA      | $2886064.32   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1J1516                      | CUSIP: 3128NHVH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4328 | PA      | $4469.92      | 0.00%             | 2037-02-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3697                      | CUSIP: 3140X7DB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1138014 | PA      | $1088164.83   | 0.01%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC6009                      | CUSIP: 3140F1VB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     21124 | PA      | $19159.09     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6933                      | CUSIP: 36179VV23<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    369687 | PA      | $332367.51    | 0.00%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07977                      | CUSIP: 3128MAFS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    266292 | PA      | $262467.17    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5282                        | CUSIP: 36202F2P0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    281535 | PA      | $283492.42    | 0.00%             | 2042-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5138                      | CUSIP: 3133KYV71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7424094 | PA      | $6258237.59   | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5989                      | CUSIP: 3140XMUP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1164020 | PA      | $914842.07    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9492                      | CUSIP: 36179YRM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1143827 | PA      | $1178432.95   | 0.01%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1972                      | CUSIP: 3140XHFN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3400865 | PA      | $2882637.99   | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4424                        | CUSIP: 36202E4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    462108 | PA      | $465315.53    | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2666                      | CUSIP: 3132DP6B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2214140 | PA      | $2160601.69   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15336                      | CUSIP: 3128MEEH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    579305 | PA      | $562014.14    | 0.00%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3071                      | CUSIP: 31418CMV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1269940 | PA      | $1218922.59   | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7049                      | CUSIP: 3138EPZP2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    488930 | PA      | $478004.20    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783278                      | CUSIP: 36241LUB0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      8959 | PA      | $9021.64      | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698474                      | CUSIP: 36296Q6K0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    629106 | PA      | $618809.40    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4003                      | CUSIP: 36179SNU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18587450 | PA      | $16439944.95  | 0.10%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4368                        | CUSIP: 36202EZ93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    488990 | PA      | $481632.03    | 0.00%             | 2039-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5682                      | CUSIP: 3133KMJ30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19176384 | PA      | $15065366.18  | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5111                      | CUSIP: 3133KYVC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5764104 | PA      | $4881794.73   | 0.03%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4408                      | CUSIP: 31418D3S9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2875227 | PA      | $2515633.78   | 0.02%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8932                      | CUSIP: 3140XC4S4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3985080 | PA      | $3786739.97   | 0.02%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4410                      | CUSIP: 3138WD3U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175843 | PA      | $160834.19    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3217                      | CUSIP: 3140X6SF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2810539 | PA      | $2524542.65   | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13273                      | CUSIP: 3128PST64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38456 | PA      | $38315.49     | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5467                      | CUSIP: 36179UCC4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3470460 | PA      | $3341029.97   | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2005                      | CUSIP: 3140J6GP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1543470 | PA      | $1439982.50   | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5144                        | CUSIP: 36202FWD4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     79827 | PA      | $74226.75     | 0.00%             | 2041-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4127                      | CUSIP: 3132A4SQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    696073 | PA      | $681171.35    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5875                      | CUSIP: 36179UQ47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2147886 | PA      | $1933070.95   | 0.01%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4899                      | CUSIP: 36179TNQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5078584 | PA      | $4471196.77   | 0.03%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08830                      | CUSIP: 3128MJ4Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     18921 | PA      | $17065.82     | 0.00%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888275                      | CUSIP: 31410F2G9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59621 | PA      | $61127.42     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8084                      | CUSIP: 3132DV6V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3036535 | PA      | $2613383.03   | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9658                      | CUSIP: 3140QVWU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6546437 | PA      | $6560625.49   | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q03310                      | CUSIP: 3132GJKX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110856 | PA      | $105399.65    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8202                      | CUSIP: 36179XDF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18894242 | PA      | $18404497.66  | 0.11%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 785056                      | CUSIP: 3622AAQH0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    312712 | PA      | $291649.94    | 0.00%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60506                      | CUSIP: 31335AR34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1300938 | PA      | $1185967.35   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY4200                      | CUSIP: 3138YHU24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574300 | PA      | $507619.24    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3188                      | CUSIP: 3140XJRJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2069936 | PA      | $1935031.74   | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B4681                      | CUSIP: 3128JQCT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       160 | PA      | $166.28       | 0.00%             | 2040-05-01      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1254                      | CUSIP: 31427NMC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10110000 | PA      | $10294173.87  | 0.06%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 736520                      | CUSIP: 3620AQG56<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    352653 | PA      | $346477.31    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3937                      | CUSIP: 31418DLT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4937667 | PA      | $4251128.49   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5988                      | CUSIP: 3140X9UN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7291698 | PA      | $5730788.02   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67712                      | CUSIP: 3132XCR98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3157870 | PA      | $2964781.77   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4031                      | CUSIP: 31418DPR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    332248 | PA      | $317590.65    | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782557                      | CUSIP: 36241KZW1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     21586 | PA      | $21690.47     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 720161                      | CUSIP: 3620A6B63<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    194597 | PA      | $191351.62    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 719232                      | CUSIP: 3620A5A90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1775605 | PA      | $1744512.11   | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2593                      | CUSIP: 3132DP3A4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3029281 | PA      | $3036793.58   | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4170                      | CUSIP: 36179ST31<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    192014 | PA      | $185758.64    | 0.00%             | 2032-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4063                      | CUSIP: 31418DQR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    675356 | PA      | $645562.13    | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1155                      | CUSIP: 3140X4H90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1986850 | PA      | $1907344.27   | 0.01%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0706                      | CUSIP: 31417YYC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56348 | PA      | $56124.36     | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0712                      | CUSIP: 3132ACYH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108678 | PA      | $101187.10    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5878                      | CUSIP: 3138ENQ85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    649649 | PA      | $640264.77    | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9201                      | CUSIP: 3140XDGK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11097087 | PA      | $9198368.45   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6219                      | CUSIP: 36179U4C3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7611032 | PA      | $6842698.67   | 0.04%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06995                      | CUSIP: 3128M9C83<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    287637 | PA      | $302206.57    | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8206                      | CUSIP: 3132DWDK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20082445 | PA      | $17139543.36  | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7468                      | CUSIP: 3140XPJN0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2809252 | PA      | $2810951.65   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7989                      | CUSIP: 36179W2W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  15967860 | PA      | $14291035.07  | 0.09%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8114                      | CUSIP: 3132DWAP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12792780 | PA      | $10503983.74  | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4816                      | CUSIP: 3140X8K63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4597149 | PA      | $3617362.59   | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08779                      | CUSIP: 3128MJ2M1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8298389 | PA      | $7510558.22   | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3889                      | CUSIP: 3140XKKB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7589106 | PA      | $6021449.09   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8571                      | CUSIP: 36179XQY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11583236 | PA      | $11752563.61  | 0.07%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6996                      | CUSIP: 36179VXZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5535965 | PA      | $4837546.77   | 0.03%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6994                      | CUSIP: 36179VXX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  44307303 | PA      | $35613089.43  | 0.22%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255230                      | CUSIP: 31371LPP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12510 | PA      | $12578.97     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH1304                      | CUSIP: 3138A2NW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5066 | PA      | $5039.89      | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1555                      | CUSIP: 3140XGWR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    433989 | PA      | $388470.53    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9306                      | CUSIP: 36179YKT0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  18116628 | PA      | $18398447.02  | 0.11%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB3936                      | CUSIP: 31417ALS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44269 | PA      | $41097.71     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1029                      | CUSIP: 31418AEB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    848416 | PA      | $827770.88    | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8467                      | CUSIP: 3132A9MQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    474392 | PA      | $465055.21    | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7543                      | CUSIP: 3138WHLZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1669134 | PA      | $1521714.14   | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737413                      | CUSIP: 3620ARGW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       336 | PA      | $334.95       | 0.00%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02866                      | CUSIP: 31294MFF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4143 | PA      | $4126.45      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8850                      | CUSIP: 3140XCZQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2023533 | PA      | $1771366.03   | 0.01%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3663                      | CUSIP: 36179SB89<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4014341 | PA      | $3635436.94   | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01837                      | CUSIP: 3128LXBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    544805 | PA      | $548684.77    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723240                      | CUSIP: 3620A9PZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    142077 | PA      | $142747.53    | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3834                      | CUSIP: 31418DHL9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84647 | PA      | $73009.56     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2660                      | CUSIP: 3132DP5V6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4408327 | PA      | $4283135.80   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61260                      | CUSIP: 31335BMH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13217 | PA      | $12961.82     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AE7714                      | CUSIP: 36181BSB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    189194 | PA      | $169440.66    | 0.00%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6931                      | CUSIP: 3140XNVZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6850477 | PA      | $6811805.78   | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1857                      | CUSIP: 3132AEB21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6100275 | PA      | $5886439.11   | 0.04%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9259                      | CUSIP: 3138ERJD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15278 | PA      | $15001.13     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 3.5 6/25                  | CUSIP: 01F032468<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4195000 | PA      | $4006551.37   | 0.03%             | 2025-06-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61422                      | CUSIP: 31335BSK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1735519 | PA      | $1664922.50   | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1221                      | CUSIP: 3138EHLB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     30097 | PA      | $31369.05     | 0.00%             | 2039-12-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5178                      | CUSIP: 31417BXG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5323266 | PA      | $4944751.29   | 0.03%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786597                      | CUSIP: 3622ACGE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4718659 | PA      | $4545626.98   | 0.03%             | 2051-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3105                      | CUSIP: 36179RNW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2829295 | PA      | $2566665.92   | 0.02%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8343                      | CUSIP: 3132DWHU0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14896809 | PA      | $15086718.48  | 0.09%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5542                      | CUSIP: 3140QREQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3149960 | PA      | $3132177.78   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7834                      | CUSIP: 3138E0V48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209832 | PA      | $194975.36    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1132                      | CUSIP: 3132DNHH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5029440 | PA      | $4645466.40   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9964                      | CUSIP: 36180AB93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12941177 | PA      | $12563275.29  | 0.08%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3619                      | CUSIP: 3140X7AV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    507651 | PA      | $485731.65    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3655                      | CUSIP: 3132E0BY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11932696 | PA      | $11726198.57  | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO0800                      | CUSIP: 3138LQ3J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    377737 | PA      | $372289.76    | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL3233                      | CUSIP: 3138EKSX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55306 | PA      | $56921.63     | 0.00%             | 2043-03-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4158                      | CUSIP: 3140XKTQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4073740 | PA      | $3764002.12   | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00232                      | CUSIP: 3132GDHH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    228142 | PA      | $224592.62    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8784                      | CUSIP: 3138WJXN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3404334 | PA      | $2973545.82   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3234                      | CUSIP: 3140QNSY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4658775 | PA      | $4002279.19   | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256711                      | CUSIP: 31371NDQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32079 | PA      | $32976.22     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BO8431                      | CUSIP: 3140K4LM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    710882 | PA      | $663007.38    | 0.00%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6730                      | CUSIP: 3138WGPQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    244748 | PA      | $222137.64    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT2074                      | CUSIP: 3132AEJT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1545624 | PA      | $1362597.72   | 0.01%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC9555                      | CUSIP: 3133AUTL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5014902 | PA      | $3969586.95   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1652                      | CUSIP: 31418AZS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    672999 | PA      | $653585.36    | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4053                      | CUSIP: 3132E0QE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7609579 | PA      | $7699454.26   | 0.05%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2894                      | CUSIP: 36179RGB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    393837 | PA      | $385955.79    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0475                      | CUSIP: 3140XFQ53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1827422 | PA      | $1443084.28   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735591                      | CUSIP: 31402RF87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146700 | PA      | $147518.65    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2995                      | CUSIP: 31418CKH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1346084 | PA      | $1256672.80   | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08848                      | CUSIP: 3128MJ5J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2408271 | PA      | $2307297.87   | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4180                      | CUSIP: 3138ELUE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6530 | PA      | $6465.44      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5324                      | CUSIP: 3133KY4H9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1227707 | PA      | $1217874.84   | 0.01%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9542                      | CUSIP: 36179YS70<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7830941 | PA      | $7934404.11   | 0.05%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8871                      | CUSIP: 3140QG2D8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3904745 | PA      | $3331319.44   | 0.02%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5586                      | CUSIP: 31418FF44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4458895 | PA      | $4417003.41   | 0.03%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8231                      | CUSIP: 3140XQED5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4440860 | PA      | $4596043.19   | 0.03%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5855                      | CUSIP: 3133KMQG3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1773620 | PA      | $1451862.14   | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9163                      | CUSIP: 3140XRFD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7331747 | PA      | $6782997.64   | 0.04%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5018                        | CUSIP: 36202FSF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    163866 | PA      | $165004.29    | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08711                      | CUSIP: 3128MJYH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1476997 | PA      | $1341389.38   | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4179                      | CUSIP: 31418DUD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6967963 | PA      | $6340231.00   | 0.04%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL0429                      | CUSIP: 31427MPP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2442137 | PA      | $2555331.78   | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BV7937                      | CUSIP: 3140MMZB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167028 | PA      | $153388.64    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA7256                      | CUSIP: 3133A2BZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2130479 | PA      | $1834254.93   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8439                      | CUSIP: 3132DWLU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6648199 | PA      | $6717889.77   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7254                      | CUSIP: 36179WBX5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  31569115 | PA      | $25374455.71  | 0.16%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1113                      | CUSIP: 3140QLGX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11231239 | PA      | $8770848.18   | 0.05%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4418                      | CUSIP: 31418D4C3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6660961 | PA      | $6021337.00   | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2931                      | CUSIP: 31418CHH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    235487 | PA      | $227775.12    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3375                      | CUSIP: 36179RXC8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3075756 | PA      | $2722320.17   | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8026                      | CUSIP: 3132D54K5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1629831 | PA      | $1523634.06   | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3561                      | CUSIP: 3140XJ5X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1552171 | PA      | $1463594.81   | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4101                      | CUSIP: 31418RRX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55479 | PA      | $54552.41     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8694                      | CUSIP: 3140XQUU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9319711 | PA      | $8452896.49   | 0.05%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1354                      | CUSIP: 3138EHQG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193095 | PA      | $189463.31    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1980                      | CUSIP: 31418BFW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    303240 | PA      | $277790.35    | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI1886                      | CUSIP: 3138AFCY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    404245 | PA      | $397057.74    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5096                      | CUSIP: 3133KYUV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2521267 | PA      | $2217461.67   | 0.01%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BY4493                      | CUSIP: 3140NL7F0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4552099 | PA      | $4517866.57   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782628                      | CUSIP: 36241K4M7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    396069 | PA      | $381333.23    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9591                      | CUSIP: 3138ERUR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    829418 | PA      | $803495.74    | 0.01%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1948                      | CUSIP: 3138EJEW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    513483 | PA      | $488813.28    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8547                      | CUSIP: 3140QUP91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2784637 | PA      | $2867126.95   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5137                      | CUSIP: 36179TV69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5102883 | PA      | $4747961.26   | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5431                      | CUSIP: 3140X9A96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    491349 | PA      | $504594.39    | 0.00%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6416                      | CUSIP: 3140QEDW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1474021 | PA      | $1275059.85   | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3737                      | CUSIP: 36179SEJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    280666 | PA      | $262548.45    | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82678                       | CUSIP: 36225E6Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      1939 | PA      | $1974.96      | 0.00%             | 2040-11-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9107                      | CUSIP: 36179YDL5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13037298 | PA      | $13240103.77  | 0.08%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3912                      | CUSIP: 36179SKZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    368300 | PA      | $353522.35    | 0.00%             | 2031-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI3791                      | CUSIP: 3138AHF92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2508 | PA      | $2492.03      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8378                      | CUSIP: 3132DWJX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4515032 | PA      | $4720103.00   | 0.03%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5315                      | CUSIP: 3132DS3Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4478034 | PA      | $4440161.07   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5990                      | CUSIP: 3140X9UQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6218657 | PA      | $5150754.58   | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2403                      | CUSIP: 3132DPU48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3829469 | PA      | $3881878.37   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QA4670                      | CUSIP: 31346YFK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    105744 | PA      | $104070.69    | 0.00%             | 2049-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1173                      | CUSIP: 3140XGJT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4009973 | PA      | $3583126.90   | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0923                      | CUSIP: 3132DNAY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2630363 | PA      | $2175374.00   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97626                      | CUSIP: 312946PK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    266455 | PA      | $268157.86    | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4445                      | CUSIP: 31418D5F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13313053 | PA      | $10891731.84  | 0.07%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4434                      | CUSIP: 31417A4U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245143 | PA      | $227840.13    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8629                      | CUSIP: 3140XCST6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2327081 | PA      | $1719778.40   | 0.01%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU7032                      | CUSIP: 3138X6Y66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1251922 | PA      | $1187410.70   | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 784114                      | CUSIP: 3622A2SB9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1991245 | PA      | $1806407.94   | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18677                      | CUSIP: 3128MMXF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1381327 | PA      | $1333306.37   | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9362                      | CUSIP: 3138MRML2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    405346 | PA      | $396434.49    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3277                      | CUSIP: 31418CUB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1982753 | PA      | $1847953.97   | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256851                      | CUSIP: 31371NH40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10184 | PA      | $10982.85     | 0.00%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8189                      | CUSIP: 3132D6C24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3694292 | PA      | $3590572.10   | 0.02%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0025                      | CUSIP: 36179MA26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     22201 | PA      | $22355.61     | 0.00%             | 2042-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2186                      | CUSIP: 3140X5NC3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    378664 | PA      | $329800.98    | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6020                      | CUSIP: 3140QDVN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    797432 | PA      | $681323.46    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08641                      | CUSIP: 3128MJWB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    764844 | PA      | $695578.01    | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4858                      | CUSIP: 3140X8MG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1497973 | PA      | $1436569.46   | 0.01%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7473                      | CUSIP: 31417EJT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207984 | PA      | $186607.24    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1457                      | CUSIP: 3132CXTN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1430824 | PA      | $1451130.65   | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1101                      | CUSIP: 3138WAGK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    636981 | PA      | $602158.16    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7534                      | CUSIP: 3132DVLP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9799962 | PA      | $8175244.90   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7680                      | CUSIP: 3138E0RA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    975995 | PA      | $907166.95    | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7207                      | CUSIP: 3138EQAH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12909 | PA      | $12541.34     | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90938                      | CUSIP: 3128P7BF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       614 | PA      | $613.28       | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8507                      | CUSIP: 3132DWNY5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12856199 | PA      | $12987953.25  | 0.08%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01527                      | CUSIP: 31292HVU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43666 | PA      | $44710.50     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 733933                      | CUSIP: 3620AMLN0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    174918 | PA      | $168096.38    | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0088                      | CUSIP: 36179MCZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2880039 | PA      | $2664578.04   | 0.02%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3818                      | CUSIP: 31418DG48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       867 | PA      | $853.36       | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6319                      | CUSIP: 3140XNAV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7497939 | PA      | $5541189.26   | 0.03%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5703                      | CUSIP: 3140QRKR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5060003 | PA      | $5159296.88   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08554                      | CUSIP: 3128MJTL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1750419 | PA      | $1612687.37   | 0.01%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2928                      | CUSIP: 3140XJHE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2721089 | PA      | $2648944.70   | 0.02%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3372                      | CUSIP: 31418CXA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    867026 | PA      | $852167.16    | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08534                      | CUSIP: 3128MJSY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1037166 | PA      | $929434.77    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3926                      | CUSIP: 3140J8LG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    290116 | PA      | $274918.42    | 0.00%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1996                      | CUSIP: 36179QGD7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    666764 | PA      | $633363.12    | 0.00%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3504                      | CUSIP: 3132DQ3M6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5509444 | PA      | $5595175.46   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995023                      | CUSIP: 31416BLC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    572213 | PA      | $587884.89    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0797                      | CUSIP: 3138W93F5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     35594 | PA      | $33685.14     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0030                      | CUSIP: 3138EGA87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     45580 | PA      | $46853.01     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2224                      | CUSIP: 36179QPH8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2701746 | PA      | $2564575.04   | 0.02%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BP3421                      | CUSIP: 3140KAYT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8030920 | PA      | $6281651.43   | 0.04%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8645                      | CUSIP: 36179XTA4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1061455 | PA      | $977179.24    | 0.01%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3306                      | CUSIP: 31418CU85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2372710 | PA      | $2211399.74   | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6615                      | CUSIP: 3138EPK52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15241 | PA      | $15121.58     | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI2128                      | CUSIP: 3138AFLJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7583 | PA      | $7873.12      | 0.00%             | 2041-05-01      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1064                      | CUSIP: 3132DNFD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    965894 | PA      | $827218.28    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02482                      | CUSIP: 3128M4CT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3237 | PA      | $3403.10      | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7511                      | CUSIP: 3132DVKY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1710424 | PA      | $1543856.90   | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5279                      | CUSIP: 3140XL2M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5476826 | PA      | $4595505.21   | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18472                      | CUSIP: 3128MMQ22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    823063 | PA      | $803186.83    | 0.01%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4767                      | CUSIP: 3140XLJM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3989991 | PA      | $3307300.99   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4143                      | CUSIP: 3140X7S91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1066655 | PA      | $1017119.12   | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8493                      | CUSIP: 3132DWNJ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  33998889 | PA      | $33679465.65  | 0.21%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9145                      | CUSIP: 3140QVET7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5822318 | PA      | $5805825.53   | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14203                      | CUSIP: 3128MC3L7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15056 | PA      | $14994.37     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8151                      | CUSIP: 3132DWBU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6871158 | PA      | $5618198.56   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8090                      | CUSIP: 3132DV7B5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21522533 | PA      | $16888372.27  | 0.11%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A13590                      | CUSIP: 31296M7B9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17425 | PA      | $17864.84     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3856                      | CUSIP: 3132E0H96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3379408 | PA      | $3466052.74   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08518                      | CUSIP: 3128MJSG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    529465 | PA      | $475411.40    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8319                      | CUSIP: 3132D6G46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3896385 | PA      | $3951684.65   | 0.02%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2371                      | CUSIP: 36179QT43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    560292 | PA      | $512153.81    | 0.00%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91905                      | CUSIP: 3128P8DJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1841329 | PA      | $1728959.27   | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7558                      | CUSIP: 3140XBMG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4041679 | PA      | $3625350.87   | 0.02%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q14875                      | CUSIP: 3132HRMY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    310560 | PA      | $279449.85    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5273                      | CUSIP: 31418E2F6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1470992 | PA      | $1510902.34   | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5134                      | CUSIP: 3133KYV30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5361358 | PA      | $4383149.39   | 0.03%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4141                      | CUSIP: 3140QBS74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    656883 | PA      | $569860.43    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1585                      | CUSIP: 3138WAXP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     60536 | PA      | $59173.10     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 932135                      | CUSIP: 31412QSY6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151793 | PA      | $152572.81    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8299                      | CUSIP: 3132DWGG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3525929 | PA      | $3421774.44   | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3357                      | CUSIP: 31418CWT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    591587 | PA      | $550812.83    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5154                      | CUSIP: 3133KYWP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7135298 | PA      | $6217448.22   | 0.04%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735036                      | CUSIP: 31402QSZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    139409 | PA      | $142975.64    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5592                      | CUSIP: 3132DTF96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9651208 | PA      | $7570125.80   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7918                      | CUSIP: 3133KPYP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173484 | PA      | $159425.98    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2728                      | CUSIP: 3138WCA60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91407 | PA      | $88802.75     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0753                      | CUSIP: 3140XFZT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3196981 | PA      | $2641982.94   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2488                      | CUSIP: 3140QMXS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2256503 | PA      | $1988814.99   | 0.01%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18626                      | CUSIP: 3128MMVU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1336677 | PA      | $1279991.19   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5996                      | CUSIP: 3140XMUW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16079521 | PA      | $16269432.71  | 0.10%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4399                      | CUSIP: 3140X73H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1972689 | PA      | $1566430.00   | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0813                      | CUSIP: 31418M3X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    148446 | PA      | $149205.96    | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2754                      | CUSIP: 36179RBX6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4818325 | PA      | $4398551.46   | 0.03%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1490                      | CUSIP: 31418AUQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    987903 | PA      | $945570.78    | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0541                      | CUSIP: 3132ACS68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3315642 | PA      | $3104731.11   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3659                      | CUSIP: 3140XKB58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3995567 | PA      | $3991741.02   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03120                      | CUSIP: 3128M4YR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    100623 | PA      | $105565.65    | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4287                      | CUSIP: 31418DXR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    497747 | PA      | $422653.38    | 0.00%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2847                      | CUSIP: 3140QNEV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13875953 | PA      | $10866547.20  | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5670                      | CUSIP: 31417CJQ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1322734 | PA      | $1223241.05   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8079                      | CUSIP: 3132D56Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1857333 | PA      | $1690008.97   | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK4615                      | CUSIP: 3138E9DV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    159588 | PA      | $151989.32    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4471                      | CUSIP: 31418D6H0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1549762 | PA      | $1432800.98   | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7988                      | CUSIP: 36179W2V9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10512339 | PA      | $9166389.24   | 0.06%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 848983                      | CUSIP: 31408EFY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6244 | PA      | $6413.02      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA7739                      | CUSIP: 3140QFS59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3405371 | PA      | $2817389.12   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01740                      | CUSIP: 31283H4Z5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    264520 | PA      | $271510.21    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8646                      | CUSIP: 36179XTB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1089105 | PA      | $1035639.10   | 0.01%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1155                      | CUSIP: 3132DNH89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4387400 | PA      | $3767773.71   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18577                      | CUSIP: 3128MMUB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1022127 | PA      | $984208.62    | 0.01%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0291                      | CUSIP: 3140XFKD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    889595 | PA      | $703888.09    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5616                      | CUSIP: 3138ENG29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    136905 | PA      | $140861.42    | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8261                      | CUSIP: 3132D6FA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    520184 | PA      | $528054.27    | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5.5 6/25                  | CUSIP: 21H052660<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  42472344 | PA      | $42181051.68  | 0.26%             | 2025-06-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR8881                      | CUSIP: 3140L72P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1138998 | PA      | $890905.57    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1560                      | CUSIP: 3140Q8WW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251106 | PA      | $240970.12    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA2014                      | CUSIP: 3133KHGX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13976155 | PA      | $12436035.61  | 0.08%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2604                      | CUSIP: 3140XH3N5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3990870 | PA      | $3909335.72   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3987                      | CUSIP: 31418DND0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1706377 | PA      | $1511870.95   | 0.01%             | 2040-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4587                      | CUSIP: 31418ECZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6324741 | PA      | $5513929.82   | 0.03%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08838                      | CUSIP: 3128MJ4Y3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197095 | PA      | $195214.10    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5936                      | CUSIP: 3140X9S22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4398648 | PA      | $3923722.69   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8183                      | CUSIP: 3132D6CU2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2057924 | PA      | $1972079.79   | 0.01%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18619                      | CUSIP: 3128MMVM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1081422 | PA      | $1036454.44   | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08699                      | CUSIP: 3128MJX54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1161307 | PA      | $1087032.17   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4418                      | CUSIP: 3133KK4B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247315 | PA      | $203531.22    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1401                      | CUSIP: 31418ARX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    944655 | PA      | $905389.18    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6867                      | CUSIP: 36179VTY6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2088417 | PA      | $1876285.95   | 0.01%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 964874                      | CUSIP: 31414FMX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10206 | PA      | $10697.52     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0916                      | CUSIP: 3140XGAS8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4195340 | PA      | $3573995.42   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DC2546                      | CUSIP: 3140APZL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    325082 | PA      | $314859.39    | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8490                      | CUSIP: 36179XNF9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13799710 | PA      | $13454954.98  | 0.08%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01931                      | CUSIP: 3128LXEC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    897081 | PA      | $923327.83    | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01449                      | CUSIP: 31283HTE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9656 | PA      | $10098.05     | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6293                      | CUSIP: 3140X97F6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4604120 | PA      | $3933743.75   | 0.02%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0711                      | CUSIP: 3140QKYH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1360947 | PA      | $1013858.76   | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0028                      | CUSIP: 3132ACA59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3581915 | PA      | $3171191.36   | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06877                      | CUSIP: 3128M86N9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95260 | PA      | $99881.55     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 AV8890                      | CUSIP: 36195K2X1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    855998 | PA      | $794320.78    | 0.00%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5259                        | CUSIP: 36202FZY5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    439405 | PA      | $420288.07    | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5442                      | CUSIP: 31418FBL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2510406 | PA      | $2369453.64   | 0.01%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07859                      | CUSIP: 3128MAB40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211208 | PA      | $207006.97    | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7326                      | CUSIP: 3140XPD89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1065764 | PA      | $1004945.31   | 0.01%             | 2038-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1893                      | CUSIP: 3132DPC63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3544582 | PA      | $3471057.45   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3783                      | CUSIP: 3140X7FZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2187875 | PA      | $2034925.37   | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01786                      | CUSIP: 31292H6X7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12048 | PA      | $12357.97     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08443                      | CUSIP: 3128MJP53<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    307432 | PA      | $302414.38    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0781                      | CUSIP: 3132DM2N4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14024173 | PA      | $12050134.95  | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3104                      | CUSIP: 3140QNNW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1143994 | PA      | $947183.68    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5515                      | CUSIP: 3140XMDV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3266880 | PA      | $3346300.81   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0716                      | CUSIP: 3132DMYM1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1656674 | PA      | $1317566.88   | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2373                      | CUSIP: 36179QT68<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    948715 | PA      | $920448.41    | 0.01%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 848206                      | CUSIP: 31300LDK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2241 | PA      | $2331.66      | 0.00%             | 2039-12-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2030                      | CUSIP: 3132DPHF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1749504 | PA      | $1768604.26   | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3034                      | CUSIP: 36179RLP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2370672 | PA      | $2150614.21   | 0.01%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786317                      | CUSIP: 3622AB4A7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3222526 | PA      | $3141766.28   | 0.02%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13585                      | CUSIP: 3128PS6W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25697 | PA      | $25591.77     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08451                      | CUSIP: 3128MJQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    341640 | PA      | $336027.99    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9649                      | CUSIP: 3140QVWK6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6292794 | PA      | $6118019.04   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8390                      | CUSIP: 3132DWKB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76760 | PA      | $70432.09     | 0.00%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5422                      | CUSIP: 31418FAY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6061692 | PA      | $6224262.45   | 0.04%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 995196                      | CUSIP: 31416BRR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    241143 | PA      | $252522.18    | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5651                      | CUSIP: 3140QRH55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2728151 | PA      | $2770603.14   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4770                        | CUSIP: 36202FJP2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    186365 | PA      | $178734.79    | 0.00%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4814                      | CUSIP: 3140XLK49<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2864097 | PA      | $2484218.19   | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01222                      | CUSIP: 31292HLB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       894 | PA      | $937.25       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5114                        | CUSIP: 36202FVF0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    259503 | PA      | $248427.00    | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2838                      | CUSIP: 3140QNEL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    563199 | PA      | $445629.22    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3101                      | CUSIP: 31418CNT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    888281 | PA      | $851869.19    | 0.01%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61582                      | CUSIP: 31335BXK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    337721 | PA      | $314854.68    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 787108                      | CUSIP: 3622ACYD6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7919444 | PA      | $8238883.36   | 0.05%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8967                      | CUSIP: 3138ET6D3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    168937 | PA      | $158665.84    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4383                      | CUSIP: 31418D2R2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8544671 | PA      | $7726832.53   | 0.05%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH3430                      | CUSIP: 3138A4Y41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25225 | PA      | $25078.89     | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18459                      | CUSIP: 3128MMQM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23116 | PA      | $22607.88     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8800                      | CUSIP: 36179XX50<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17795211 | PA      | $17350637.20  | 0.11%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3803                      | CUSIP: 36179SGL5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4078934 | PA      | $3693934.00   | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2680                      | CUSIP: 36179Q6R7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    249464 | PA      | $244562.51    | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5384                      | CUSIP: 3140X86W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    715623 | PA      | $678148.31    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3936                      | CUSIP: 36179SLR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8255774 | PA      | $7301941.24   | 0.05%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05958                      | CUSIP: 3128M75T9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1189987 | PA      | $1197678.81   | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738882                      | CUSIP: 3620AS2P3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    159036 | PA      | $152357.31    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5445                      | CUSIP: 31418FBP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  34450711 | PA      | $34801081.18  | 0.22%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7878                      | CUSIP: 3140XPXG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3049537 | PA      | $3102708.61   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX5316                      | CUSIP: 3138Y64A9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    351925 | PA      | $345715.76    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4019                      | CUSIP: 31418DPD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11291561 | PA      | $9310167.66   | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8875                      | CUSIP: 36179X2G0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9738212 | PA      | $8718621.58   | 0.05%             | 2053-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3851                      | CUSIP: 3140XKH52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5870775 | PA      | $5085684.64   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD2342                      | CUSIP: 31418PS89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    170542 | PA      | $171409.27    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0314                      | CUSIP: 3142GQK43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3191315 | PA      | $3229006.53   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7536                      | CUSIP: 3132DVLR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10459644 | PA      | $8679798.62   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6293                      | CUSIP: 3140XM7F7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1850576 | PA      | $1906320.14   | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8162                      | CUSIP: 3132DWB77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2794425 | PA      | $2400209.35   | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6775                      | CUSIP: 3140XNQ56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3623890 | PA      | $3789618.82   | 0.02%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7310                      | CUSIP: 36179WDP0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5355522 | PA      | $4114878.02   | 0.03%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8470                      | CUSIP: 3138ETMU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2313561 | PA      | $2114285.79   | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60899                      | CUSIP: 31335A7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    160583 | PA      | $158310.32    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0998                      | CUSIP: 3132DNDB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1033353 | PA      | $853962.13    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04331                      | CUSIP: 3128M6EC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    233953 | PA      | $235640.23    | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8682                      | CUSIP: 3132A9UF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     52747 | PA      | $50870.42     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782998                      | CUSIP: 36241LKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     76062 | PA      | $76417.43     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08168                      | CUSIP: 3128MJFJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    338569 | PA      | $354652.81    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1813                      | CUSIP: 3133L8AN5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1754094 | PA      | $1547102.65   | 0.01%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05030                      | CUSIP: 3128M64P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57127 | PA      | $59827.95     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6306                      | CUSIP: 3138EPAG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    272103 | PA      | $266348.34    | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU0949                      | CUSIP: 3138X0BT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    175421 | PA      | $162573.87    | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0260                      | CUSIP: 3618N5JE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12602441 | PA      | $12738423.67  | 0.08%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q54334                      | CUSIP: 3132XWY88<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1022915 | PA      | $924523.21    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN BA0938                      | CUSIP: 3617ADBF4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    151335 | PA      | $144605.42    | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5279                        | CUSIP: 36202F2L9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2260217 | PA      | $2093580.48   | 0.01%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3804                      | CUSIP: 36179SGM3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    240489 | PA      | $224589.28    | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723434                      | CUSIP: 3620A9V32<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     53342 | PA      | $53591.73     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6988                      | CUSIP: 3140QEXS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9799869 | PA      | $8150667.96   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0103                      | CUSIP: 3140EUDH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5585768 | PA      | $5104644.86   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2929                      | CUSIP: 31418CHF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1217376 | PA      | $1102627.34   | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0658                      | CUSIP: 3138EGWU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    348089 | PA      | $342056.07    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8532                      | CUSIP: 3132DWPR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3240000 | PA      | $3137862.70   | 0.02%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8824                      | CUSIP: 3140XQYW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4403193 | PA      | $3757944.70   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8447                      | CUSIP: 3132DWL43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28044436 | PA      | $28338417.70  | 0.18%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ0534                      | CUSIP: 3138MFSY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    267372 | PA      | $241596.05    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08678                      | CUSIP: 3128MJXG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    195645 | PA      | $188970.18    | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5141                      | CUSIP: 3133KYWA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     70674 | PA      | $59528.02     | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2473                      | CUSIP: 31418BXB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    553479 | PA      | $526042.15    | 0.00%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0511                      | CUSIP: 31417YR90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    119432 | PA      | $118951.76    | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL1927                      | CUSIP: 3138EJD96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3774 | PA      | $3926.40      | 0.00%             | 2039-11-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8345                      | CUSIP: 36179XHW9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1088766 | PA      | $972390.40    | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8045                      | CUSIP: 3132DV5E1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1318608 | PA      | $1182779.80   | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0218                      | CUSIP: 31419AG43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    634200 | PA      | $623860.83    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB7522                      | CUSIP: 3140QTLC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12574319 | PA      | $13014702.70  | 0.08%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786091                      | CUSIP: 3622ABUQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4540495 | PA      | $4100577.55   | 0.03%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4326                      | CUSIP: 31418DYY2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11226692 | PA      | $9200547.86   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4492                      | CUSIP: 3133KK7D5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1076967 | PA      | $851136.14    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB5665                      | CUSIP: 31417CJK2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46400 | PA      | $42972.21     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2569                      | CUSIP: 36179Q2A8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    193003 | PA      | $188092.93    | 0.00%             | 2030-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5709                      | CUSIP: 3138LWKX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    197348 | PA      | $188685.50    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2758                      | CUSIP: 3132DQB39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2119558 | PA      | $2124151.90   | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18725                      | CUSIP: 3128MMYX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77288 | PA      | $74025.07     | 0.00%             | 2034-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3775                      | CUSIP: 3140QPFR3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    775174 | PA      | $714297.35    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2181                      | CUSIP: 3132DPM62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3887937 | PA      | $3886644.14   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5596                      | CUSIP: 36179UGD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    313062 | PA      | $300897.13    | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889745                      | CUSIP: 31410KP65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    151266 | PA      | $155038.10    | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01584                      | CUSIP: 31283HXM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    157273 | PA      | $158314.57    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7883                      | CUSIP: 36179WXL7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1865031 | PA      | $1669325.10   | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q45094                      | CUSIP: 3132WJUU3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    518305 | PA      | $454124.72    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 255842                      | CUSIP: 31371MEP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     12484 | PA      | $12556.98     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37279                      | CUSIP: 31297TCQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8823 | PA      | $9073.89      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4387                      | CUSIP: 3138LU2V6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163468 | PA      | $152183.42    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8016                      | CUSIP: 3132DV3Z6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11568066 | PA      | $9992165.51   | 0.06%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4098                      | CUSIP: 3140XKRU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3085806 | PA      | $3094422.50   | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DB5477                      | CUSIP: 3140AFCP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2129816 | PA      | $2113998.89   | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8566                      | CUSIP: 36179XQT6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7257359 | PA      | $6479370.14   | 0.04%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5085                      | CUSIP: 3133KYUJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17227347 | PA      | $14659113.22  | 0.09%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6818                      | CUSIP: 36179VSF8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2348399 | PA      | $1889051.23   | 0.01%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07925                      | CUSIP: 3128MAD63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    760622 | PA      | $720761.87    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08836                      | CUSIP: 3128MJ4W7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1029886 | PA      | $960155.14    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3174                      | CUSIP: 36179RQ36<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1170552 | PA      | $1096818.45   | 0.01%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1703                      | CUSIP: 3132AD3L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    887708 | PA      | $830685.55    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4111                      | CUSIP: 31418DR95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1310893 | PA      | $1161117.34   | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9990                      | CUSIP: 3138WLC43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    535170 | PA      | $513233.11    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08648                      | CUSIP: 3128MJWJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1156096 | PA      | $1016552.48   | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3246                      | CUSIP: 31418CTC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    331866 | PA      | $316048.75    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725238                      | CUSIP: 31402CV74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150256 | PA      | $151057.18    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6284                      | CUSIP: 3140XM6W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6789021 | PA      | $5395121.82   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5906                      | CUSIP: 3140QRR47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4398549 | PA      | $4373718.30   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BE3695                      | CUSIP: 3140FPC98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    598996 | PA      | $541412.46    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4653                      | CUSIP: 3132DSE24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3050806 | PA      | $2973222.95   | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8167                      | CUSIP: 3132DWCC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12708011 | PA      | $10402611.31  | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0697                      | CUSIP: 36179MX21<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    486858 | PA      | $428576.62    | 0.00%             | 2043-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5021                      | CUSIP: 36179TSJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    120981 | PA      | $116771.43    | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0037                      | CUSIP: 3132CWBE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    187961 | PA      | $184570.81    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723526                      | CUSIP: 3620A9YX3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     55779 | PA      | $54844.16     | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03695                      | CUSIP: 3128M5NL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    240196 | PA      | $247292.39    | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4165                      | CUSIP: 3140XKTX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2820455 | PA      | $2338754.89   | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5841                      | CUSIP: 3140X9P33<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    801029 | PA      | $767443.53    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783473                      | CUSIP: 36241L2E5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    183510 | PA      | $170590.84    | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3927                      | CUSIP: 3132E0LG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11725602 | PA      | $11633759.67  | 0.07%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8349                      | CUSIP: 36179XH25<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13121047 | PA      | $13113120.92  | 0.08%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7174                      | CUSIP: 3140XA6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1563803 | PA      | $1530191.22   | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4040                      | CUSIP: 3140XKP20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1424879 | PA      | $1390424.73   | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ9191                      | CUSIP: 3140KVF96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1195144 | PA      | $944532.54    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1240                      | CUSIP: 31418ALW6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62352 | PA      | $61052.34     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3939                      | CUSIP: 31418DLV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1613411 | PA      | $1446711.19   | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2161                      | CUSIP: 3132DPMJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3281815 | PA      | $3269441.93   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2425                      | CUSIP: 31418BVT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    486251 | PA      | $472868.92    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4305                      | CUSIP: 31418DYB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20747375 | PA      | $16228250.36  | 0.10%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7413                      | CUSIP: 3132DVGW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6355013 | PA      | $6186452.91   | 0.04%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QH2144                      | CUSIP: 3133CELZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6535840 | PA      | $6619161.15   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1602                      | CUSIP: 36179NX78<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    226278 | PA      | $221878.53    | 0.00%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8441                      | CUSIP: 3140QGLX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3530253 | PA      | $2789988.19   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA7681                      | CUSIP: 31416RRB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    255317 | PA      | $251382.02    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9437                      | CUSIP: 3138EEPX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    187616 | PA      | $173953.79    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5697                      | CUSIP: 3138WFKK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    861531 | PA      | $782478.25    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87701                      | CUSIP: 312934RW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    167495 | PA      | $165076.87    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8489                      | CUSIP: 3132DWNE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  28073861 | PA      | $26495397.17  | 0.17%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2713                      | CUSIP: 3138WQAP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87979 | PA      | $90371.91     | 0.00%             | 2043-07-01      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91606                      | CUSIP: 3128P7YB3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    385659 | PA      | $370091.04    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3437                      | CUSIP: 3140XJZB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1780934 | PA      | $1800377.46   | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 366983                      | CUSIP: 36204DUG2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     22810 | PA      | $21856.80     | 0.00%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0324                      | CUSIP: 3140Q7LE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296756 | PA      | $284591.48    | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03926                      | CUSIP: 3128M5VT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213251 | PA      | $223809.41    | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889150                      | CUSIP: 31410GZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     58897 | PA      | $60607.52     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60081                      | CUSIP: 31335ACS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25607 | PA      | $24241.69     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890246                      | CUSIP: 31410LBP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171390 | PA      | $176328.32    | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05733                      | CUSIP: 3128M7V29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23152 | PA      | $23303.70     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7828                      | CUSIP: 36179WVV7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16155548 | PA      | $14097166.63  | 0.09%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4977                        | CUSIP: 36202FQ66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    375844 | PA      | $360187.56    | 0.00%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08271                      | CUSIP: 3128MJJR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    217031 | PA      | $227632.18    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8113                      | CUSIP: 3132DWAN3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31838378 | PA      | $24943245.56  | 0.16%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4869                      | CUSIP: 31418EMT4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8180269 | PA      | $8134090.80   | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08515                      | CUSIP: 3128MJSD3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143103 | PA      | $128593.89    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7533                      | CUSIP: 36179WLN6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26651424 | PA      | $21421740.57  | 0.13%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08499                      | CUSIP: 3128MJRV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     51507 | PA      | $46397.53     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1683                      | CUSIP: 3140X42R6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    267717 | PA      | $256033.69    | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZL3235                      | CUSIP: 3131XJSY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3061253 | PA      | $2844187.32   | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0007                      | CUSIP: 31419AAH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    132912 | PA      | $139401.19    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 3.5 6/25                  | CUSIP: 01F032468<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -4195000 | PA      | $-4006551.37  | -0.03%            | 2025-06-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8078                      | CUSIP: 3132D56P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10301661 | PA      | $9086017.36   | 0.06%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV3616                      | CUSIP: 3138XFAS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172639 | PA      | $168944.41    | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7467                      | CUSIP: 3140XBJM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5390070 | PA      | $4904487.84   | 0.03%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4469                      | CUSIP: 31418R6F3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       627 | PA      | $651.35       | 0.00%             | 2040-05-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5330                      | CUSIP: 3132DS4P4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2815311 | PA      | $2869676.48   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0212                      | CUSIP: 3140XFGW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    734925 | PA      | $580358.16    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08766                      | CUSIP: 3128MJZ86<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    543607 | PA      | $491997.80    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08563                      | CUSIP: 3128MJTV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    289382 | PA      | $274019.25    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18628                      | CUSIP: 3128MMVW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    590390 | PA      | $559130.41    | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786788                      | CUSIP: 3622ACND8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7152103 | PA      | $7314765.85   | 0.05%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4661                      | CUSIP: 31418EFB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    187619 | PA      | $172455.55    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3745                      | CUSIP: 31418DET5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1573520 | PA      | $1412908.62   | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6363                      | CUSIP: 3140QEB92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5704666 | PA      | $4961399.36   | 0.03%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BA2882                      | CUSIP: 3140E7FY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    285149 | PA      | $277298.38    | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4772                      | CUSIP: 3140X8JS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1647134 | PA      | $1618485.01   | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3286                      | CUSIP: 3140J7UL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    543736 | PA      | $521277.92    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7409                      | CUSIP: 3140XBGT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7147307 | PA      | $5832823.57   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08623                      | CUSIP: 3128MJVR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1815322 | PA      | $1663677.21   | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO9296                      | CUSIP: 3138M1KJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    280086 | PA      | $259887.76    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2962                      | CUSIP: 36179RJF7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1590813 | PA      | $1506333.87   | 0.01%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2772                      | CUSIP: 3132DQCH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6276671 | PA      | $6241238.17   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8063                      | CUSIP: 3132DV5Y7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1174937 | PA      | $1052806.60   | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08849                      | CUSIP: 3128MJ5K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    367891 | PA      | $363574.70    | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2828                      | CUSIP: 36179RD97<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    442724 | PA      | $429532.64    | 0.00%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE7731                      | CUSIP: 31419JSV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    239624 | PA      | $235585.06    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7545                      | CUSIP: 3138WHL34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    198560 | PA      | $180091.98    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9403                      | CUSIP: 3140XRNV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5673644 | PA      | $5769022.21   | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90993                      | CUSIP: 3128P7C68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6125 | PA      | $6139.64      | 0.00%             | 2026-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0238                      | CUSIP: 3138EGHQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3971 | PA      | $3949.57      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17969                      | CUSIP: 3128PX2A3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     56230 | PA      | $55530.45     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9055                      | CUSIP: 3138ABBZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    684017 | PA      | $672042.89    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1849                      | CUSIP: 3140X5BT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33854 | PA      | $33044.81     | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7931                      | CUSIP: 3133KPY44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2203030 | PA      | $2085015.58   | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16400                      | CUSIP: 3128PWDD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22324 | PA      | $22167.96     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 428124                      | CUSIP: 36207CSM1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     49474 | PA      | $49707.52     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3188                      | CUSIP: 31418CRJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1460508 | PA      | $1409369.66   | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4017                      | CUSIP: 31418DPB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1398202 | PA      | $1270646.33   | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3873                      | CUSIP: 36179SJS7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9118285 | PA      | $8064801.74   | 0.05%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8665                      | CUSIP: 3132A9TW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25320 | PA      | $24453.22     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1208                      | CUSIP: 31418AKW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1008913 | PA      | $907934.55    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1981                      | CUSIP: 3142GSFX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7759324 | PA      | $8011554.52   | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB4089                      | CUSIP: 31417ARK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25068 | PA      | $24750.00     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A87880                      | CUSIP: 312934XH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36151 | PA      | $35623.66     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08852                      | CUSIP: 3128MJ5N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    623351 | PA      | $580560.97    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3882                      | CUSIP: 3133KKJ34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     68511 | PA      | $53812.62     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4451                      | CUSIP: 36179S5L7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4297343 | PA      | $3885013.29   | 0.02%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI9873                      | CUSIP: 3138AP6K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104405 | PA      | $99164.02     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8199                      | CUSIP: 36179XDC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6930561 | PA      | $6196268.33   | 0.04%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8315                      | CUSIP: 3132DWGY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5345844 | PA      | $5191521.40   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0361                      | CUSIP: 3140XFMK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6393099 | PA      | $5287248.60   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3779                      | CUSIP: 3132E0FU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1704521 | PA      | $1565333.38   | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08687                      | CUSIP: 3128MJXR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    435724 | PA      | $395991.35    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18424                      | CUSIP: 3128MMPJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     76017 | PA      | $75038.41     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5562                      | CUSIP: 31418FFC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7716012 | PA      | $7654220.12   | 0.05%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB8896                      | CUSIP: 31417F3E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171267 | PA      | $153562.22    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Z50018                      | CUSIP: 3132FEAT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      3034 | PA      | $3015.03      | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785223                      | CUSIP: 3622AAVQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2126655 | PA      | $1767166.52   | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2304                      | CUSIP: 36179QRZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    825090 | PA      | $782918.96    | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7666                      | CUSIP: 3138EQQU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     63951 | PA      | $62473.33     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2975                      | CUSIP: 3138LTJV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    354836 | PA      | $329803.85    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6429                      | CUSIP: 3132DUEA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9081360 | PA      | $9018742.71   | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BA4803                      | CUSIP: 3140E9KR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    292670 | PA      | $284075.59    | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3708                      | CUSIP: 3140XKDN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3108733 | PA      | $3022877.06   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG6280                      | CUSIP: 3133C66R5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19283493 | PA      | $18719290.75  | 0.12%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4029                      | CUSIP: 3140QPPP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4465263 | PA      | $4229201.98   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1475                      | CUSIP: 31416WT93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89358 | PA      | $87888.14     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5081                        | CUSIP: 36202FUE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    188863 | PA      | $180827.10    | 0.00%             | 2041-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3371                      | CUSIP: 3140X6W98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     24375 | PA      | $23977.29     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2 6/25                    | CUSIP: 01F020661<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        | 101755000 | PA      | $79094629.57  | 0.49%             | 2025-06-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4313                      | CUSIP: 3140XKYK0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  12678445 | PA      | $10011956.09  | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5063                      | CUSIP: 3138XUTV4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    257251 | PA      | $242829.41    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZK5021                      | CUSIP: 3131X8SJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23693 | PA      | $23278.91     | 0.00%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7135                      | CUSIP: 36179V4U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  39367326 | PA      | $31642460.80  | 0.20%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A39735                      | CUSIP: 31297VY85<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10158 | PA      | $10225.11     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1158                      | CUSIP: 36179NJB5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    191246 | PA      | $182559.73    | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18614                      | CUSIP: 3128MMVG5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    992062 | PA      | $951244.60    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1134                      | CUSIP: 3132CXHK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5430984 | PA      | $5038076.02   | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888566                      | CUSIP: 31410GFF5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213939 | PA      | $219856.32    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 BX8557                      | CUSIP: 3617QDQJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    113172 | PA      | $94218.30     | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9724                      | CUSIP: 36179YYV0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12322128 | PA      | $11970966.61  | 0.07%             | 2054-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782623                      | CUSIP: 36241K4G0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    159198 | PA      | $153328.03    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 889633                      | CUSIP: 31410KLN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49603 | PA      | $50961.71     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT2015                      | CUSIP: 3138WPGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178974 | PA      | $160238.47    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08758                      | CUSIP: 3128MJZY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    427310 | PA      | $399446.30    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4279                      | CUSIP: 3138X3XH0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    407967 | PA      | $364699.94    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2860                      | CUSIP: 3138EKFA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    412294 | PA      | $371884.90    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3576                      | CUSIP: 3140X66N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4415331 | PA      | $3661244.93   | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0331                      | CUSIP: 3132D9LL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2423456 | PA      | $2293532.54   | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BJ3905                      | CUSIP: 3140H5KT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    385635 | PA      | $348080.33    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3339                      | CUSIP: 3140XJV91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14465780 | PA      | $12894308.74  | 0.08%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8795                      | CUSIP: 36179XXY7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3005495 | PA      | $2527032.87   | 0.02%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5138                      | CUSIP: 36179TV77<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2059640 | PA      | $1986687.79   | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1677                      | CUSIP: 3140X42K1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    588486 | PA      | $578606.75    | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 738419                      | CUSIP: 3620ASK81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    173834 | PA      | $170714.25    | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91431                      | CUSIP: 312939SU6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20670 | PA      | $20804.57     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8066                      | CUSIP: 3132D56B3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1269028 | PA      | $1124035.37   | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08174                      | CUSIP: 3128MJFQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     20974 | PA      | $21987.24     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4328                      | CUSIP: 31418DY22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8326765 | PA      | $7333759.74   | 0.05%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8247                      | CUSIP: 3140XCEV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14813979 | PA      | $12233004.52  | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6819                      | CUSIP: 3138EPSH8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     59730 | PA      | $58428.02     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8745                      | CUSIP: 3138ETWF9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    309093 | PA      | $303827.51    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2474                      | CUSIP: 31418BXC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144648 | PA      | $140544.55    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3637                      | CUSIP: 3132E0BE1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2109721 | PA      | $2138594.49   | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8290                      | CUSIP: 3132DWF73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11141719 | PA      | $11290720.58  | 0.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5041                      | CUSIP: 31418ES76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    580168 | PA      | $562066.58    | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR2462                      | CUSIP: 3138NYWY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    437480 | PA      | $393114.57    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE0404                      | CUSIP: 3133B9NV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315643 | PA      | $280169.64    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7589                      | CUSIP: 36179WNE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  30168628 | PA      | $25295206.10  | 0.16%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8336                      | CUSIP: 3140XCHN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3211160 | PA      | $2649686.74   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AQ9330                      | CUSIP: 3138MRLL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1045215 | PA      | $965315.69    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8960                      | CUSIP: 3138ET5W2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    112450 | PA      | $109246.38    | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18713                      | CUSIP: 3128MMYK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1090384 | PA      | $1059711.16   | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2149                      | CUSIP: 31418BL79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    193485 | PA      | $188693.80    | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4977                      | CUSIP: 3140QCQ74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1131461 | PA      | $975909.62    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0443                      | CUSIP: 3132D9P40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5242323 | PA      | $4426362.02   | 0.03%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C92031                      | CUSIP: 3128P8HG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    356534 | PA      | $340514.16    | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5326                      | CUSIP: 31418E4L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1228987 | PA      | $1160078.39   | 0.01%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7937                      | CUSIP: 31417EZB0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102787 | PA      | $92085.13     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190370                      | CUSIP: 31368HMT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150667 | PA      | $157385.26    | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5060                      | CUSIP: 31418ETS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2534632 | PA      | $2518293.90   | 0.02%             | 2043-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5699                      | CUSIP: 3140QDKM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1731384 | PA      | $1440553.85   | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08537                      | CUSIP: 3128MJS35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3203081 | PA      | $2869258.36   | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6380                      | CUSIP: 3140QECS9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    446892 | PA      | $428712.79    | 0.00%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2239                      | CUSIP: 3140XHPZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1459408 | PA      | $1193284.03   | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91837                      | CUSIP: 3128P8BE0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    252277 | PA      | $239088.47    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1399                      | CUSIP: 3140XGRV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17136256 | PA      | $14726838.73  | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1132                      | CUSIP: 31418AHJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    331748 | PA      | $298322.46    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1592                      | CUSIP: 31418NXW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     75011 | PA      | $73805.36     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95085                      | CUSIP: 312943UJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    238706 | PA      | $228153.35    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60238                      | CUSIP: 31335AHP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5452033 | PA      | $4978726.54   | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS8642                      | CUSIP: 3132A9S73<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7716 | PA      | $7463.00      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3802                      | CUSIP: 31418DGL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4875097 | PA      | $4210969.54   | 0.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4054                      | CUSIP: 3140J8QG1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    511047 | PA      | $478539.27    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5260                        | CUSIP: 36202FZZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    241164 | PA      | $237043.59    | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7591                      | CUSIP: 36179WNG9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3018873 | PA      | $2702797.01   | 0.02%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8120                      | CUSIP: 3132DWAV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20678162 | PA      | $15294671.05  | 0.10%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6137                      | CUSIP: 3138WFZB5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    598311 | PA      | $543036.67    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BX5965                      | CUSIP: 3140NATX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    763232 | PA      | $788173.49    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91840                      | CUSIP: 3128P8BH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1333679 | PA      | $1263959.18   | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4720                      | CUSIP: 3140X8G68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3822415 | PA      | $3299304.26   | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5977                      | CUSIP: 3140JAUB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    343198 | PA      | $301163.59    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 2B1862                      | CUSIP: 31326GB70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25007 | PA      | $25777.86     | 0.00%             | 2043-11-01      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4210                      | CUSIP: 3140X7VC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    345764 | PA      | $340356.43    | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5060                      | CUSIP: 3133KYTR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1278371 | PA      | $1159350.07   | 0.01%             | 2040-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7826                      | CUSIP: 36179WVT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  17193254 | PA      | $13819502.27  | 0.09%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 993076                      | CUSIP: 31415YFR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      4552 | PA      | $4775.49      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL5085                      | CUSIP: 3138EMUK5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125562 | PA      | $122874.66    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08278                      | CUSIP: 3128MJJY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5045 | PA      | $5192.71      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1096                      | CUSIP: 3132DNGD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5797238 | PA      | $4554430.36   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4696                        | CUSIP: 36202FGD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    496504 | PA      | $488577.66    | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8199                      | CUSIP: 3132DWDC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16749581 | PA      | $13048900.48  | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1500                      | CUSIP: 31416WU26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1570708 | PA      | $1499588.80   | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8008                      | CUSIP: 3132D53R1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3163969 | PA      | $2965721.15   | 0.02%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA4794                      | CUSIP: 3140QCKG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    945918 | PA      | $816466.10    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08544                      | CUSIP: 3128MJTA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213994 | PA      | $191300.50    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS2703                      | CUSIP: 3138WCAD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    524718 | PA      | $495405.54    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8220                      | CUSIP: 3132D6DZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1908670 | PA      | $1941723.66   | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1575                      | CUSIP: 3140XGXD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3861602 | PA      | $3478304.08   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4944                      | CUSIP: 3140X8P68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    617359 | PA      | $586180.80    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3513                      | CUSIP: 3133KJ3W0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6546664 | PA      | $5416296.77   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91843                      | CUSIP: 3128P8BL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    217970 | PA      | $206575.22    | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4212                      | CUSIP: 3132E0VD1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    753105 | PA      | $785188.02    | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1404                      | CUSIP: 3132CXRZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2272600 | PA      | $2205870.10   | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01649                      | CUSIP: 31292HZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80902 | PA      | $82944.01     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8374                      | CUSIP: 3132DWJT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10186512 | PA      | $10463687.18  | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3073                      | CUSIP: 3132DQMW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2985525 | PA      | $2979867.39   | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A47404                      | CUSIP: 3128K8GM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16265 | PA      | $16383.28     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6598                      | CUSIP: 36179VKK5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  11208009 | PA      | $9411483.98   | 0.06%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB1355                      | CUSIP: 3132CXQG0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1646249 | PA      | $1648453.93   | 0.01%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4069                      | CUSIP: 36179SQW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1185920 | PA      | $1073613.40   | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO5830                      | CUSIP: 3138LWPQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    178353 | PA      | $166760.85    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3600                      | CUSIP: 36179R7M5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    327546 | PA      | $329820.49    | 0.00%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8226                      | CUSIP: 3132DWD75<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3787123 | PA      | $3365062.45   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7515                      | CUSIP: 3132DVK46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3448900 | PA      | $3004928.52   | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1767                      | CUSIP: 3132DN6C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1455464 | PA      | $1385228.64   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 254982                      | CUSIP: 31371LFX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40621 | PA      | $40838.79     | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3535                      | CUSIP: 3140XJ4V2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1840164 | PA      | $1447396.04   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A37876                      | CUSIP: 31297TXD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      5557 | PA      | $5596.67      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU3794                      | CUSIP: 3138X3GC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    186290 | PA      | $180535.31    | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7615                      | CUSIP: 3140XPN96<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9763902 | PA      | $9142812.27   | 0.06%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5112                      | CUSIP: 3140XLVE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5521988 | PA      | $5511522.87   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5566                      | CUSIP: 3140XMFG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2394510 | PA      | $2344841.04   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5731                      | CUSIP: 31418FLM7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7560000 | PA      | $6709197.60   | 0.04%             | 2055-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD4927                      | CUSIP: 31418SPM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    103382 | PA      | $103905.08    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QC2085                      | CUSIP: 3133ALJ66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2795124 | PA      | $2313382.64   | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2671                      | CUSIP: 31418B6H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    601990 | PA      | $545999.97    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8678                      | CUSIP: 3138WJUC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53288 | PA      | $50970.51     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3440                      | CUSIP: 3140X6ZE4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    531499 | PA      | $483668.17    | 0.00%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4394                      | CUSIP: 3140XK3C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2371229 | PA      | $2221133.91   | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0542                      | CUSIP: 3132ACS76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2807510 | PA      | $2629799.16   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5594                      | CUSIP: 36179UGB2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    237791 | PA      | $214083.34    | 0.00%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0699                      | CUSIP: 36179MX47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1748171 | PA      | $1613499.51   | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2180                      | CUSIP: 3132DPM54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1790368 | PA      | $1820465.55   | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5280                        | CUSIP: 36202F2M7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1775254 | PA      | $1697691.70   | 0.01%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2312                      | CUSIP: 3140QMSA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4414695 | PA      | $3634505.09   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6515                      | CUSIP: 3138WGGZ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    331594 | PA      | $310190.32    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7117                      | CUSIP: 3138EP4B7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    251164 | PA      | $237784.15    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7075                      | CUSIP: 3138EP2H6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108416 | PA      | $105402.66    | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5887                      | CUSIP: 3140XMRH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6424655 | PA      | $5059388.78   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03479                      | CUSIP: 31292K2L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    102224 | PA      | $102885.10    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18434                      | CUSIP: 3128MMPU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    125143 | PA      | $123429.39    | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2907                      | CUSIP: 31418CGR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1458112 | PA      | $1361259.46   | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2911                      | CUSIP: 31418CGV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1101097 | PA      | $1001063.76   | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU4290                      | CUSIP: 3138X3XU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    436172 | PA      | $412958.82    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67702                      | CUSIP: 3132XCRX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4308595 | PA      | $4054569.88   | 0.03%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3521                      | CUSIP: 31418C4F8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3384531 | PA      | $3148085.07   | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2302                      | CUSIP: 36179QRX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1531885 | PA      | $1379629.59   | 0.01%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AN3040                      | CUSIP: 36185SLV9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     59429 | PA      | $55333.29     | 0.00%             | 2045-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9365                      | CUSIP: 36179YMN1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4330895 | PA      | $4473035.84   | 0.03%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01317                      | CUSIP: 31283HPA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2225 | PA      | $2325.35      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9392                      | CUSIP: 3140GYNJ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1762114 | PA      | $1592715.23   | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5520                      | CUSIP: 3140JAD21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3414009 | PA      | $3100744.26   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7790                      | CUSIP: 3133KPUP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2094040 | PA      | $2040788.09   | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4442                      | CUSIP: 31418D5C2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2310925 | PA      | $2088294.35   | 0.01%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3121                      | CUSIP: 3140XJPF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1504985 | PA      | $1432359.12   | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G02744                      | CUSIP: 3128M4LZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33253 | PA      | $34819.68     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4270                      | CUSIP: 3140XKW89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10314797 | PA      | $8113189.41   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4106                      | CUSIP: 31418DR46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296091 | PA      | $262261.08    | 0.00%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4697                        | CUSIP: 36202FGE0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    524772 | PA      | $528421.02    | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 726414                      | CUSIP: 3620ADAP7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     61638 | PA      | $60610.10     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE1992                      | CUSIP: 3133BBF95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10105217 | PA      | $9396890.13   | 0.06%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6397                      | CUSIP: 3138WGDB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    104859 | PA      | $95172.01     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1600                      | CUSIP: 36179NX52<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    431491 | PA      | $395832.73    | 0.00%             | 2044-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0788                      | CUSIP: 3132DM2V6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5999973 | PA      | $4762453.12   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7890                      | CUSIP: 3138WHXU1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    323287 | PA      | $282883.07    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3805                      | CUSIP: 3140XKGP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2941928 | PA      | $2999658.56   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4963                      | CUSIP: 36179TQQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1465675 | PA      | $1365106.63   | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9314                      | CUSIP: 3140XDK47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33680 | PA      | $29684.28     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 741372                      | CUSIP: 3620AVT51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     24744 | PA      | $24316.22     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7649                      | CUSIP: 36179WQA9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  29826085 | PA      | $25007997.25  | 0.16%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4999                      | CUSIP: 3138WERV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     71405 | PA      | $65163.84     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5560                      | CUSIP: 3140X9FA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22110 | PA      | $21869.08     | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6521                      | CUSIP: 3140XAG71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2907799 | PA      | $2649475.03   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK6784                      | CUSIP: 3138EBRE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    154648 | PA      | $152480.77    | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6819                      | CUSIP: 36179VSG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25902756 | PA      | $21729234.23  | 0.14%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8920                      | CUSIP: 3138WJ4E5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2831584 | PA      | $2579725.69   | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX2566                      | CUSIP: 3138Y3Z87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    461952 | PA      | $424649.17    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8007                      | CUSIP: 3132DV3Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    124536 | PA      | $119119.53    | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AY3407                      | CUSIP: 3138YGYD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10182 | PA      | $9846.31      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8221                      | CUSIP: 3132DWD26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4482818 | PA      | $3983224.80   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745418                      | CUSIP: 31403DDX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1098182 | PA      | $1128877.64   | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08558                      | CUSIP: 3128MJTQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1037465 | PA      | $982256.78    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9490                      | CUSIP: 36179YRK2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22786980 | PA      | $23344730.40  | 0.15%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09015                      | CUSIP: 31292SAQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1499391 | PA      | $1347782.24   | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14924                      | CUSIP: 3128PUPH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       141 | PA      | $140.66       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5138                      | CUSIP: 31418EV80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    343579 | PA      | $340994.98    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5312                        | CUSIP: 36202F3V6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    150434 | PA      | $136688.10    | 0.00%             | 2042-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7549                      | CUSIP: 3132DVL60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10332969 | PA      | $8182376.11   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8151                      | CUSIP: 3140XQBV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3500653 | PA      | $3569346.96   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2970                      | CUSIP: 3138LTJQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    656861 | PA      | $591819.28    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786545                      | CUSIP: 3622ACES5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3677415 | PA      | $3582957.10   | 0.02%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ1001                      | CUSIP: 3142GRDF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3384399 | PA      | $3358948.21   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM5115                      | CUSIP: 3140J9VH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    206651 | PA      | $198438.32    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783718                      | CUSIP: 3622A2DX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    415741 | PA      | $398600.63    | 0.00%             | 2042-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03696                      | CUSIP: 3128M5NM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1115902 | PA      | $1149700.48   | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 787145                      | CUSIP: 3622ACZJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   6198750 | PA      | $6458468.98   | 0.04%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4026                      | CUSIP: 31418DPL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1479233 | PA      | $1371732.53   | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3972                      | CUSIP: 3132E0MV1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6060431 | PA      | $4772563.75   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9704                      | CUSIP: 3140XDYA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6786892 | PA      | $5323439.63   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1064                      | CUSIP: 36179NFD5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    142162 | PA      | $138851.74    | 0.00%             | 2028-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6474                      | CUSIP: 3140XNFQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4428547 | PA      | $3447328.20   | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4636                        | CUSIP: 36202FEH5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1465863 | PA      | $1442785.95   | 0.01%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4902                      | CUSIP: 36179TNT8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    289682 | PA      | $279602.36    | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3916                      | CUSIP: 3140QPK63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3850237 | PA      | $3646690.19   | 0.02%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1429                      | CUSIP: 3132DNSS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6617911 | PA      | $6125073.65   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E02746                      | CUSIP: 31294MBP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     23620 | PA      | $23523.34     | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4511                      | CUSIP: 36179TAL9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3798422 | PA      | $3540165.11   | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA4214                      | CUSIP: 3133KKVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4185284 | PA      | $3278890.97   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB6762                      | CUSIP: 3140QSQQ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6477130 | PA      | $6565774.86   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1785                      | CUSIP: 3140XG6X2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2899010 | PA      | $2539816.41   | 0.02%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7548                      | CUSIP: 3132DVL52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9921174 | PA      | $8232956.34   | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08698                      | CUSIP: 3128MJX47<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1765663 | PA      | $1604656.03   | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08635                      | CUSIP: 3128MJV56<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    854292 | PA      | $756473.77    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9846                      | CUSIP: 3140XD5G7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14951636 | PA      | $12201834.41  | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18692                      | CUSIP: 3128MMXW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1403600 | PA      | $1366309.44   | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8476                      | CUSIP: 3132DWMZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5777510 | PA      | $5836268.82   | 0.04%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5328                      | CUSIP: 3133KY4M8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1254211 | PA      | $1244166.88   | 0.01%             | 2045-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J36173                      | CUSIP: 31307S2E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74113 | PA      | $70999.68     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0752                      | CUSIP: 3138W9ZS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    328771 | PA      | $318187.33    | 0.00%             | 2028-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4713                        | CUSIP: 36202FGW0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    437646 | PA      | $430596.94    | 0.00%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783217                      | CUSIP: 36241LSE7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    159328 | PA      | $160076.93    | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3979                      | CUSIP: 36179SM46<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    130129 | PA      | $125969.56    | 0.00%             | 2031-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2549                      | CUSIP: 3140X5ZP1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    879787 | PA      | $848359.13    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7510                      | CUSIP: 3132DVKX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2732306 | PA      | $2377164.55   | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4415                      | CUSIP: 31418D3Z3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3993944 | PA      | $3430509.38   | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3865                      | CUSIP: 31418DJK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    821286 | PA      | $781604.44    | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5066                      | CUSIP: 3133KYTX7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    513086 | PA      | $453343.29    | 0.00%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01840                      | CUSIP: 31292JBH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    685599 | PA      | $703589.56    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA2406                      | CUSIP: 31329KU77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    156944 | PA      | $149016.60    | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8791                      | CUSIP: 3133KQXU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4549081 | PA      | $4420602.42   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5084                      | CUSIP: 3140QQUJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3596866 | PA      | $3522257.50   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5982                      | CUSIP: 3140X9UG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4812960 | PA      | $3815754.75   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5806                      | CUSIP: 3140X9NY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2275978 | PA      | $1998642.48   | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3774                      | CUSIP: 31418DFQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2439402 | PA      | $2107086.21   | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8163                      | CUSIP: 3140XQB97<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6685864 | PA      | $6842134.66   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4599                      | CUSIP: 31418EDD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  31586470 | PA      | $26957756.97  | 0.17%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 2 6/25                    | CUSIP: 01F020463<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  26965000 | PA      | $24351724.78  | 0.15%             | 2025-06-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS0303                      | CUSIP: 3138W9KR0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1073865 | PA      | $958164.29    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0305                      | CUSIP: 3618N5KT5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1399998 | PA      | $1283155.43   | 0.01%             | 2055-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6610                      | CUSIP: 3140XNKY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2124574 | PA      | $2182881.74   | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO8392                      | CUSIP: 3138M0KE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213289 | PA      | $202403.67    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3772                      | CUSIP: 3140QPFN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6166738 | PA      | $5665103.71   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0864                      | CUSIP: 3132DM5Z4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1983242 | PA      | $1770274.57   | 0.01%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2605                      | CUSIP: 3132DP3N6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2197578 | PA      | $2185172.03   | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5529                      | CUSIP: 36179UEA6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    687615 | PA      | $661540.43    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2600                      | CUSIP: 3140XH3J4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3409139 | PA      | $2928737.14   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QO1275                      | CUSIP: 3133WKMY9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2712732 | PA      | $2628093.41   | 0.02%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3869                      | CUSIP: 3140X7JP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1395467 | PA      | $1328044.14   | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5249                      | CUSIP: 31418EZP8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9139444 | PA      | $9526851.31   | 0.06%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3385                      | CUSIP: 31418CXP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3842017 | PA      | $3678525.29   | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G01391                      | CUSIP: 31283HRL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       852 | PA      | $890.96       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3037                      | CUSIP: 31418CLT9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    743051 | PA      | $713199.88    | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2773                      | CUSIP: 31418CCK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2115477 | PA      | $1983965.82   | 0.01%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7590                      | CUSIP: 36179WNF1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13437615 | PA      | $11725525.40  | 0.07%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0527                      | CUSIP: 3138EGSR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     43021 | PA      | $43270.84     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07277                      | CUSIP: 3128M9M25<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    141996 | PA      | $142906.09    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4958                      | CUSIP: 31418EQL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2055952 | PA      | $1945816.97   | 0.01%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4646                      | CUSIP: 3132A5ET8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1008540 | PA      | $885015.84    | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8215                      | CUSIP: 3132DWDU4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1034131 | PA      | $950979.20    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G04772                      | CUSIP: 3128M6T57<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10023 | PA      | $10813.90     | 0.00%             | 2038-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67716                      | CUSIP: 3132XCSD8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2208529 | PA      | $2129734.03   | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5651                      | CUSIP: 36179UH47<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4270898 | PA      | $3963166.92   | 0.02%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ2953                      | CUSIP: 3138YUH79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    342948 | PA      | $333749.00    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4969                      | CUSIP: 3132DSQW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7992116 | PA      | $6627157.47   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9105                      | CUSIP: 36179YDJ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  22060492 | PA      | $21521424.50  | 0.13%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6997                      | CUSIP: 3140XAX31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5408189 | PA      | $4294417.21   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7507                      | CUSIP: 3138A9KV5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     39847 | PA      | $39598.67     | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 3107                        | CUSIP: 36202DNY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     15698 | PA      | $16159.83     | 0.00%             | 2031-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4323                      | CUSIP: 36179SYU5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    361277 | PA      | $349948.60    | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 190399                      | CUSIP: 31368HNQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1013705 | PA      | $1042105.27   | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3437                      | CUSIP: 3132DQZA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2336559 | PA      | $2421312.35   | 0.02%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7150                      | CUSIP: 3132DU5K9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13896302 | PA      | $10878140.31  | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA9862                      | CUSIP: 3133KR5X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2062473 | PA      | $2137284.22   | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06766                      | CUSIP: 3128M8Z72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    624981 | PA      | $628946.70    | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2841                      | CUSIP: 3140QNEP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24812236 | PA      | $19500762.37  | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4338                      | CUSIP: 3138ELZC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209912 | PA      | $198415.97    | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7474                      | CUSIP: 36179WJT6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2647682 | PA      | $2372124.92   | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2384                      | CUSIP: 3132DPUH9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2850719 | PA      | $2946771.90   | 0.02%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3522                      | CUSIP: 36179R4F3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1704430 | PA      | $1594403.37   | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18716                      | CUSIP: 3128MMYN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    787396 | PA      | $765246.66    | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6613                      | CUSIP: 3138EPK37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2988358 | PA      | $2916049.34   | 0.02%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06493                      | CUSIP: 3128M8RN6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     22466 | PA      | $22098.26     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G15027                      | CUSIP: 3128MDYY3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      6220 | PA      | $6176.28      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7580                      | CUSIP: 3140XBM64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4868340 | PA      | $4414021.06   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18518                      | CUSIP: 3128MMSG9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143311 | PA      | $140080.40    | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5203                        | CUSIP: 36202FX84<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4518362 | PA      | $4322452.67   | 0.03%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3017                      | CUSIP: 3132DQK62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2201054 | PA      | $1909117.50   | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783418                      | CUSIP: 36241LYP5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    318850 | PA      | $321067.17    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0943                      | CUSIP: 3138A2BM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    454724 | PA      | $434803.46    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6014                      | CUSIP: 3138WFVG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207328 | PA      | $194463.88    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8492                      | CUSIP: 36179XNH5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13193578 | PA      | $13386445.95  | 0.08%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8817                      | CUSIP: 3140QGYP6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  17314450 | PA      | $13553895.02  | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 701857                      | CUSIP: 36296UWS5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    126993 | PA      | $124914.21    | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4853                        | CUSIP: 36202FMA1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    682126 | PA      | $653944.23    | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5258                        | CUSIP: 36202FZX7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1692270 | PA      | $1567955.10   | 0.01%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J21208                      | CUSIP: 31306YKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     41090 | PA      | $40255.53     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0073                      | CUSIP: 36179MCJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     35729 | PA      | $35210.72     | 0.00%             | 2027-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6763                      | CUSIP: 3138WGQR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    361046 | PA      | $327691.54    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS2789                      | CUSIP: 3132A3C24<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    403520 | PA      | $405614.26    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60344                      | CUSIP: 31335ALZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2022888 | PA      | $1905520.00   | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3860                      | CUSIP: 3138WDJE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181497 | PA      | $166130.66    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8074                      | CUSIP: 3140XB6L9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    915485 | PA      | $791055.67    | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5763                      | CUSIP: 36179UML3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    493569 | PA      | $458006.04    | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8001                      | CUSIP: 3132DV3J2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2253039 | PA      | $2023068.91   | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0305                      | CUSIP: 3132D9KS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2812343 | PA      | $2662118.78   | 0.02%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC0304                      | CUSIP: 3140EUKS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    212412 | PA      | $192788.19    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6926                      | CUSIP: 3133KNVT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4316630 | PA      | $3698905.40   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8460                      | CUSIP: 3140QGMJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3743147 | PA      | $3082806.79   | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3903                      | CUSIP: 3140QPKR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3184684 | PA      | $2826777.72   | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4004                      | CUSIP: 36179SNV5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1487913 | PA      | $1347007.59   | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2993                      | CUSIP: 3132DQKE5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2468179 | PA      | $2045871.89   | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2816                      | CUSIP: 3138EKDW2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19112 | PA      | $19801.40     | 0.00%             | 2042-10-01      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4883                        | CUSIP: 36202FM86<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    387744 | PA      | $381353.13    | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5161                      | CUSIP: 3140QQWX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3438719 | PA      | $3561032.08   | 0.02%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR3915                      | CUSIP: 3138W1K55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    106683 | PA      | $95657.68     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2910                      | CUSIP: 3140X6GU9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    574503 | PA      | $577439.13    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1442                      | CUSIP: 3140EVS81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    862275 | PA      | $782075.51    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6423                      | CUSIP: 3140QED58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1164428 | PA      | $1002160.99   | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A92241                      | CUSIP: 312940P29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     61528 | PA      | $61929.64     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 6/25                  | CUSIP: 01F042665<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2800000 | PA      | $-2642063.76  | -0.02%            | 2025-06-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3858                      | CUSIP: 3132E0JB9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2078675 | PA      | $2145303.93   | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C01725                      | CUSIP: 31292H4J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    117636 | PA      | $120645.24    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04360                      | CUSIP: 31294NZZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     11935 | PA      | $11666.18     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8267                      | CUSIP: 36179XFG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  32751173 | PA      | $30155950.44  | 0.19%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7668                      | CUSIP: 3133KPQV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4005804 | PA      | $3679950.91   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 893511                      | CUSIP: 31410PVC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      7736 | PA      | $8084.04      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8362                      | CUSIP: 3132DWJF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3511445 | PA      | $3485038.10   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4577                      | CUSIP: 31418ECP3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1937143 | PA      | $1508542.22   | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AW5055                      | CUSIP: 3138XUTM4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    297125 | PA      | $272753.93    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7534                      | CUSIP: 36179WLP1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20584477 | PA      | $17265705.98  | 0.11%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2656                      | CUSIP: 3140XH5S2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5410112 | PA      | $5132554.76   | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1083                      | CUSIP: 31418AFZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    301480 | PA      | $290183.38    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1675                      | CUSIP: 3140X42H8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    832894 | PA      | $719430.42    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4922                      | CUSIP: 3140XLPG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3977001 | PA      | $3445162.24   | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR3290                      | CUSIP: 3140L1UQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    672908 | PA      | $523814.18    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08666                      | CUSIP: 3128MJW48<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2813551 | PA      | $2473948.36   | 0.02%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2608                      | CUSIP: 3138EJ3S5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15947 | PA      | $15633.47     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5205                        | CUSIP: 36202FYA8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     29555 | PA      | $29760.48     | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5329                      | CUSIP: 36179T4N2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    111263 | PA      | $100308.89    | 0.00%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7521                      | CUSIP: 3132DVLA1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4790251 | PA      | $3985606.07   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5461                      | CUSIP: 3140QRB77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1496987 | PA      | $1512862.44   | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC1171                      | CUSIP: 3140EVJR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    133956 | PA      | $121496.93    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G03551                      | CUSIP: 3128M5H45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    322029 | PA      | $338169.50    | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A93784                      | CUSIP: 312942FZ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    143395 | PA      | $141248.20    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2901                      | CUSIP: 3140X6GK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4253640 | PA      | $3979074.97   | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1680                      | CUSIP: 3132AD2M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    609190 | PA      | $582124.51    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 695208                      | CUSIP: 31400RKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19110 | PA      | $19556.10     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1159                      | CUSIP: 3140X4JD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3500639 | PA      | $3361520.33   | 0.02%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9605                      | CUSIP: 36179YU69<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  48579623 | PA      | $48337739.84  | 0.30%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8429                      | CUSIP: 36179XLJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  12601384 | PA      | $12593771.64  | 0.08%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU1659                      | CUSIP: 3138X0ZZ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    411313 | PA      | $400930.19    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3413                      | CUSIP: 3140X6YK1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2140319 | PA      | $2027442.18   | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1614                      | CUSIP: 31416WYL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    696919 | PA      | $666409.08    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7051                      | CUSIP: 36179VZQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  30079419 | PA      | $24177075.98  | 0.15%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9171                      | CUSIP: 31417GFM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     88978 | PA      | $86873.02     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08728                      | CUSIP: 3128MJY20<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    497232 | PA      | $464963.71    | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 724275                      | CUSIP: 3620AAT81<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    165295 | PA      | $166067.02    | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9209                      | CUSIP: 3140XDGT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1641185 | PA      | $1420429.51   | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP0732                      | CUSIP: 3138M3Y65<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    134937 | PA      | $127072.45    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6038                      | CUSIP: 36179UV74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3364924 | PA      | $2956178.03   | 0.02%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8020                      | CUSIP: 3132D54D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1106823 | PA      | $1034704.91   | 0.01%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4688                      | CUSIP: 3140QQF67<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4055873 | PA      | $4005964.85   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97294                      | CUSIP: 312946C79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    330513 | PA      | $315847.97    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8308                      | CUSIP: 3132D6GR5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2583726 | PA      | $2585571.23   | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08726                      | CUSIP: 3128MJYY0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    707902 | PA      | $620244.11    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8324                      | CUSIP: 3132DWG98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8102512 | PA      | $8039047.89   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2548                      | CUSIP: 3140QMZN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2159461 | PA      | $1777153.78   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4049                      | CUSIP: 31418DQB1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1591480 | PA      | $1425057.38   | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9424                      | CUSIP: 3138ERPJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1792118 | PA      | $1629915.75   | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA0366                      | CUSIP: 3140W0MQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7166607 | PA      | $7148546.47   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8272                      | CUSIP: 3132DWFM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    227899 | PA      | $194146.31    | 0.00%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7406                      | CUSIP: 3132DVGP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7076201 | PA      | $6869605.41   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2054                      | CUSIP: 3140QMH80<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    214070 | PA      | $169449.28    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7472                      | CUSIP: 36179WJR0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  26316490 | PA      | $22065339.67  | 0.14%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q61378                      | CUSIP: 3132VMQ81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     13496 | PA      | $12138.53     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2136                      | CUSIP: 31418BLS3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    608809 | PA      | $556800.94    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3909                      | CUSIP: 3132E0KW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4087988 | PA      | $4091738.07   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH9708                      | CUSIP: 3138ABYE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     73452 | PA      | $72154.10     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2303                      | CUSIP: 36179QRY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1951382 | PA      | $1784725.75   | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7514                      | CUSIP: 3140XBK41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2638528 | PA      | $2178828.93   | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4468                      | CUSIP: 31418D6E7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1833278 | PA      | $1635268.19   | 0.01%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5163                      | CUSIP: 3133KYWY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6913220 | PA      | $6178839.25   | 0.04%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7532                      | CUSIP: 36179WLM8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    740903 | PA      | $569267.93    | 0.00%             | 2051-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8204                      | CUSIP: 3132DWDH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5495430 | PA      | $4281260.10   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 779239                      | CUSIP: 36176XPY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     95918 | PA      | $89192.10     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82907                       | CUSIP: 36225FGR4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4813 | PA      | $4879.30      | 0.00%             | 2041-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4826                      | CUSIP: 3140QQLG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2691997 | PA      | $2473016.27   | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3764                      | CUSIP: 31418DFE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2612160 | PA      | $2448486.73   | 0.02%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60194                      | CUSIP: 31335AGB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1284811 | PA      | $1154803.63   | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8767                      | CUSIP: 3133KQW44<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5300428 | PA      | $5172262.88   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO2976                      | CUSIP: 3138LTJW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    779983 | PA      | $723926.80    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03490                      | CUSIP: 31292K2X4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    250344 | PA      | $246528.18    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD3538                      | CUSIP: 3132DQ4X1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3051182 | PA      | $2524355.05   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3074                      | CUSIP: 31418CMY7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    460130 | PA      | $448556.76    | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 786931                      | CUSIP: 3622ACSU5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2574978 | PA      | $2626299.77   | 0.02%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM9774                      | CUSIP: 3140XD2G0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23881788 | PA      | $19735895.01  | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91714                      | CUSIP: 3128P73X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    724929 | PA      | $694459.96    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3563                      | CUSIP: 3133KJ5Y4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1212359 | PA      | $953591.29    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9667                      | CUSIP: 3138ERW55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     33279 | PA      | $32491.39     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7312                      | CUSIP: 36179WDR6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  25645052 | PA      | $21518394.24  | 0.13%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4499                      | CUSIP: 3140X77M5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1492467 | PA      | $1433391.56   | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5330                      | CUSIP: 36179T4P7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7331494 | PA      | $6814693.00   | 0.04%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2482                      | CUSIP: 3138EJXL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     37968 | PA      | $37367.37     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6388                      | CUSIP: 3140QEC26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1433986 | PA      | $1129257.73   | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0259                      | CUSIP: 3618N5JD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4122041 | PA      | $4096041.98   | 0.03%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9980                      | CUSIP: 3138WLCS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     44003 | PA      | $41752.28     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08117                      | CUSIP: 3128MJDX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    150138 | PA      | $157069.77    | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0040                      | CUSIP: 3138EGBJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     17878 | PA      | $18573.20     | 0.00%             | 2041-03-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4721                      | CUSIP: 36179TG66<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    713697 | PA      | $688864.03    | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3596                      | CUSIP: 36179R7H6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8445814 | PA      | $7470025.14   | 0.05%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1539                      | CUSIP: 3140X4V94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    315348 | PA      | $299267.87    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCI 3 6/25                    | CUSIP: 01F030462<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1690000 | PA      | $1592890.23   | 0.01%             | 2025-06-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3998                      | CUSIP: 31418DNQ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    110437 | PA      | $105564.83    | 0.00%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7059                      | CUSIP: 31417DZZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    243725 | PA      | $212252.53    | 0.00%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8099                      | CUSIP: 36179W7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9664021 | PA      | $8637097.86   | 0.05%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q11220                      | CUSIP: 3132HMK91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    425446 | PA      | $394211.90    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08079                      | CUSIP: 3128MJCR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     87087 | PA      | $87711.36     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DB5236                      | CUSIP: 3140AEZA0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    510134 | PA      | $518820.94    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783467                      | CUSIP: 36241LZ82<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    133426 | PA      | $127848.48    | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BQ8545                      | CUSIP: 3140KUP71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3446046 | PA      | $2548879.63   | 0.02%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08255                      | CUSIP: 3128MJH94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173988 | PA      | $175137.08    | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J17233                      | CUSIP: 3128PXBA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    177887 | PA      | $175919.98    | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06883                      | CUSIP: 3128M86U3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    188513 | PA      | $189714.93    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG E04106                      | CUSIP: 31294NR35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     29868 | PA      | $29279.66     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1138                      | CUSIP: 31418AHQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    532438 | PA      | $519038.22    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783535                      | CUSIP: 36241L4U7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    105669 | PA      | $101152.25    | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS1586                      | CUSIP: 3138WAXQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    436080 | PA      | $426508.20    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82840                       | CUSIP: 36225FEN5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |       628 | PA      | $639.26       | 0.00%             | 2041-05-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QE9001                      | CUSIP: 3133BKAA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254743 | PA      | $233702.34    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8303                      | CUSIP: 3132D6GL8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3679599 | PA      | $3682226.91   | 0.02%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2972                      | CUSIP: 3132DQJR8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2549508 | PA      | $2189843.14   | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6849                      | CUSIP: 31417DTF0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    133980 | PA      | $120294.04    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SI2084                      | CUSIP: 3133USJ51<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5314375 | PA      | $5078265.13   | 0.03%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784353                      | CUSIP: 3622A2ZS4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    505704 | PA      | $470852.81    | 0.00%             | 2046-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2747                      | CUSIP: 3142GTBR6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4759540 | PA      | $4738620.87   | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4637                        | CUSIP: 36202FEJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    596580 | PA      | $600727.67    | 0.00%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8245                      | CUSIP: 3132DWES8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20958658 | PA      | $19842471.06  | 0.12%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL4404                      | CUSIP: 3138EL3N1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40498 | PA      | $40880.09     | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA0665                      | CUSIP: 31417YW37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    113997 | PA      | $108811.17    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4378                      | CUSIP: 31418D2L5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  41538363 | PA      | $32438691.15  | 0.20%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3238                      | CUSIP: 3140QNS45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6045703 | PA      | $5366264.71   | 0.03%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8139                      | CUSIP: 3132DWBG7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15321311 | PA      | $11322882.64  | 0.07%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3266                      | CUSIP: 3133KJTX0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3435002 | PA      | $2707196.18   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4935                      | CUSIP: 36179TPU3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    263138 | PA      | $253302.45    | 0.00%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6304                      | CUSIP: 3140QEAE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8340687 | PA      | $6882313.26   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2373                      | CUSIP: 3140X5T78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    221418 | PA      | $217915.41    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8847                      | CUSIP: 3140QGZM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3808824 | PA      | $3010145.56   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AP9736                      | CUSIP: 3138MDZA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    506580 | PA      | $468059.25    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0704                      | CUSIP: 3132DMX91<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13714813 | PA      | $11445346.18  | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4446                        | CUSIP: 36202E5F2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    615688 | PA      | $606340.56    | 0.00%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5175                      | CUSIP: 3140XLXD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4102331 | PA      | $3985828.87   | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8136                      | CUSIP: 3140XQBE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  19452605 | PA      | $19656520.92  | 0.12%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 757030                      | CUSIP: 36230RY34<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    154593 | PA      | $148339.24    | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5816                      | CUSIP: 36179UN99<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    348744 | PA      | $313865.38    | 0.00%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3881                      | CUSIP: 3140XKJ35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2793419 | PA      | $2778959.32   | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 555743                      | CUSIP: 31385XLY1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    140247 | PA      | $140986.07    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08835                      | CUSIP: 3128MJ4V9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    146361 | PA      | $132008.79    | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4397                        | CUSIP: 36202E3E7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    154940 | PA      | $152598.05    | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 6/25                    | CUSIP: 01F030660<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5580000 | PA      | $4749972.21   | 0.03%             | 2025-06-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9394                      | CUSIP: 3138WKNL5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    596408 | PA      | $572705.68    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0232                      | CUSIP: 3132DMHH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2057687 | PA      | $1779300.56   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2276                      | CUSIP: 3140QMQ64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8437084 | PA      | $6946035.64   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1285                      | CUSIP: 3140QLNB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7296771 | PA      | $6276520.04   | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA6261                      | CUSIP: 3133KM5W1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1551014 | PA      | $1290965.80   | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4133                      | CUSIP: 3140QPSX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3056596 | PA      | $2895006.10   | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4515                      | CUSIP: 31418EAR1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9738079 | PA      | $8552422.73   | 0.05%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6323                      | CUSIP: 3138WGAZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     62188 | PA      | $59812.31     | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91858                      | CUSIP: 3128P8B34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    253117 | PA      | $239489.13    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8161                      | CUSIP: 3140QUB70<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10820004 | PA      | $11012310.76  | 0.07%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4876                      | CUSIP: 31418EM23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3113947 | PA      | $3163375.84   | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1091                      | CUSIP: 3132DNF81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7288673 | PA      | $5769410.00   | 0.04%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2037                      | CUSIP: 3132DPHN1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4131834 | PA      | $4015720.80   | 0.03%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4599                        | CUSIP: 36202FDC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    226389 | PA      | $227962.57    | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AL5247                      | CUSIP: 36184BZL4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    332457 | PA      | $305504.20    | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ5688                      | CUSIP: 3138YXKA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    254708 | PA      | $247960.86    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8147                      | CUSIP: 3132DWBQ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20414496 | PA      | $16730177.40  | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5011                      | CUSIP: 31418ER93<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2581438 | PA      | $2614347.28   | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE5776                      | CUSIP: 31419GM27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       288 | PA      | $286.42       | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J13166                      | CUSIP: 3128PSQT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |        95 | PA      | $94.29        | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08669                      | CUSIP: 3128MJW71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2397142 | PA      | $2246823.13   | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4536                      | CUSIP: 31418EBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2052114 | PA      | $1853775.30   | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0148                      | CUSIP: 3618N5EW5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  34857830 | PA      | $35223060.27  | 0.22%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SL1133                      | CUSIP: 31427NHK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8099641 | PA      | $8051386.51   | 0.05%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18707                      | CUSIP: 3128MMYD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    682718 | PA      | $664579.99    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2320                      | CUSIP: 31418BSJ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    545743 | PA      | $516592.02    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DA4283                      | CUSIP: 3140A4XM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1314721 | PA      | $1304423.00   | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 735484                      | CUSIP: 31402RCV9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    245697 | PA      | $247103.47    | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5435                      | CUSIP: 3140X9BD6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    780281 | PA      | $767425.81    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G14221                      | CUSIP: 3128MC4E2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     32757 | PA      | $32622.90     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6864                      | CUSIP: 36179VTV2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  13422184 | PA      | $10796801.07  | 0.07%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07961                      | CUSIP: 3128MAFA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1288681 | PA      | $1182732.66   | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3984                      | CUSIP: 31418DNA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    482819 | PA      | $450303.21    | 0.00%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9019                      | CUSIP: 3140QVAV6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7143647 | PA      | $7223554.40   | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3215                      | CUSIP: 31418CSD7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1527694 | PA      | $1443848.65   | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5374                      | CUSIP: 3140XL6L7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6172173 | PA      | $4910709.40   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH9277                      | CUSIP: 3140GYJX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1281633 | PA      | $1156822.43   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8254                      | CUSIP: 3132D6E30<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2182184 | PA      | $2240315.45   | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 890230                      | CUSIP: 31410LA77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     84813 | PA      | $85243.12     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2222                      | CUSIP: 36179QPF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    252084 | PA      | $226209.50    | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9322                      | CUSIP: 3140QVLC6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5575212 | PA      | $5578584.71   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4419                      | CUSIP: 31418D4D1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1025886 | PA      | $948462.20    | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB9663                      | CUSIP: 31417GWZ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    741740 | PA      | $662153.83    | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7880                      | CUSIP: 36179WXH6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10774638 | PA      | $8660381.71   | 0.05%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 781908                      | CUSIP: 36241KDM7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     39614 | PA      | $39805.50     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7096                      | CUSIP: 3133KN3D3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8026029 | PA      | $7139082.76   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD0649                      | CUSIP: 31418MWK4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     49390 | PA      | $50735.61     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD8529                      | CUSIP: 31418WPP9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1238819 | PA      | $1218132.10   | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V81296                      | CUSIP: 3132L6NM9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     74539 | PA      | $70429.72     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8293                      | CUSIP: 3140QUGB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11288093 | PA      | $11305503.45  | 0.07%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2743                      | CUSIP: 3140X6BM2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2116454 | PA      | $2044038.78   | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4123                      | CUSIP: 31418DSM5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1650707 | PA      | $1501997.95   | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4954                      | CUSIP: 3140XLQG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4617975 | PA      | $4530484.01   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07921                      | CUSIP: 3128MAD22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1811057 | PA      | $1677901.51   | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4823                      | CUSIP: 31418ELD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1650148 | PA      | $1633108.48   | 0.01%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60564                      | CUSIP: 31335ATV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    199385 | PA      | $200675.72    | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3778                      | CUSIP: 36179SFT9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     38154 | PA      | $36970.64     | 0.00%             | 2031-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FA1509                      | CUSIP: 3140W1VB6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4808989 | PA      | $4811898.05   | 0.03%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 711076                      | CUSIP: 36297F6M9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     18156 | PA      | $17847.68     | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18622                      | CUSIP: 3128MMVQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4504864 | PA      | $4315730.67   | 0.03%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ0530                      | CUSIP: 3142GQSU7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2744631 | PA      | $2821670.41   | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08062                      | CUSIP: 3128MJB82<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     46810 | PA      | $47144.58     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08776                      | CUSIP: 3128MJ2J8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    354825 | PA      | $340724.42    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1028                      | CUSIP: 31418AEA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    202763 | PA      | $192597.32    | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6902                      | CUSIP: 3140QEU42<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3364883 | PA      | $2649831.14   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08800                      | CUSIP: 3128MJ3J7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1717950 | PA      | $1552704.43   | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G61006                      | CUSIP: 31335BDK9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182586 | PA      | $173314.26    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6300                      | CUSIP: 3140XNAA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1659692 | PA      | $1425815.11   | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6 6/25                    | CUSIP: 01F060667<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -14060000 | PA      | $-14201149.75 | -0.09%            | 2025-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7419                      | CUSIP: 36179WG44<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3423249 | PA      | $2988162.15   | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4898                      | CUSIP: 3140QQNQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4451833 | PA      | $4345578.45   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS8270                      | CUSIP: 3138WJFL7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    582240 | PA      | $490442.37    | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8218                      | CUSIP: 3132D6DX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2214753 | PA      | $2253107.10   | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0160                      | CUSIP: 3138EGFA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2374381 | PA      | $2334703.81   | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3456                      | CUSIP: 36179RZV4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    175071 | PA      | $169854.96    | 0.00%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08477                      | CUSIP: 3128MJQ78<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    686457 | PA      | $638058.25    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9363                      | CUSIP: 36179YML5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10569343 | PA      | $10737060.25  | 0.07%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A95960                      | CUSIP: 312944TR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    122654 | PA      | $117187.88    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97052                      | CUSIP: 312945ZR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    115246 | PA      | $115954.62    | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AI4815                      | CUSIP: 3138AJK50<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    165619 | PA      | $162714.98    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8779                      | CUSIP: 3140XCXH6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8708790 | PA      | $7221432.29   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 785098                      | CUSIP: 3622AART3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5137016 | PA      | $4771047.30   | 0.03%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6065                      | CUSIP: 3138WFW36<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    164288 | PA      | $149212.70    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3154                      | CUSIP: 31418CQG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    362915 | PA      | $345907.70    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745355                      | CUSIP: 31403DBY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    409260 | PA      | $411654.25    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV0634                      | CUSIP: 3138XBV43<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    163070 | PA      | $159635.91    | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A15852                      | CUSIP: 31296QQD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8202 | PA      | $8255.06      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2677                      | CUSIP: 36179Q6N6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    847428 | PA      | $758427.04    | 0.00%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2842                      | CUSIP: 3132DQEP7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8814477 | PA      | $7602675.86   | 0.05%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C09004                      | CUSIP: 31292SAD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1440618 | PA      | $1335247.97   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6181                      | CUSIP: 3138WF2P0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    361588 | PA      | $317301.11    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C03478                      | CUSIP: 31292K2K2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    247494 | PA      | $243728.66    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH8953                      | CUSIP: 3138AA5P2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     10288 | PA      | $10733.61     | 0.00%             | 2041-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5091                      | CUSIP: 3133KYUQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1503929 | PA      | $1323543.45   | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5918                      | CUSIP: 3140XMSG2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2178259 | PA      | $2181619.10   | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 942980                      | CUSIP: 31413ECR4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1136 | PA      | $1191.92      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0754                      | CUSIP: 3140XFZU8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2074193 | PA      | $1887332.85   | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4732                      | CUSIP: 31418EHJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8136252 | PA      | $7471864.59   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS9736                      | CUSIP: 3138WKZA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    609355 | PA      | $588947.24    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QF0481                      | CUSIP: 3133BMRA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3096144 | PA      | $3020794.74   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5389                      | CUSIP: 31418E7B0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9906665 | PA      | $10010514.05  | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5651                      | CUSIP: 3140XMH58<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    568572 | PA      | $591371.64    | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 783449                      | CUSIP: 36241LZN9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     11116 | PA      | $11193.69     | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8572                      | CUSIP: 36179XQZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2904365 | PA      | $2978403.50   | 0.02%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1275                      | CUSIP: 31418AMZ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1485629 | PA      | $1426282.22   | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6153                      | CUSIP: 3140X9ZT5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2445283 | PA      | $2109109.00   | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3245                      | CUSIP: 36179RTA7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    624851 | PA      | $585491.19    | 0.00%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4708                      | CUSIP: 3138LVGS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    127129 | PA      | $118237.08    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2523                      | CUSIP: 31418BYV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2587856 | PA      | $2443153.43   | 0.02%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5061                      | CUSIP: 31418ETT7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1086351 | PA      | $1103466.83   | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3448                      | CUSIP: 3140X6ZN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    339812 | PA      | $333563.84    | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5204                      | CUSIP: 31418EYA2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    346281 | PA      | $349304.13    | 0.00%             | 2043-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5257                      | CUSIP: 3133KLZW0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6913265 | PA      | $5407440.10   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J39295                      | CUSIP: 31307WKG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     53398 | PA      | $51979.10     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AX1644                      | CUSIP: 3138Y2ZJ5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    145609 | PA      | $133276.81    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD9175                      | CUSIP: 3133B7FQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2219782 | PA      | $1844832.06   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV7157                      | CUSIP: 3138XJ5T0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    132385 | PA      | $124911.36    | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL2696                      | CUSIP: 3138EJ7J1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     19403 | PA      | $20129.30     | 0.00%             | 2042-02-01      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2750                      | CUSIP: 3140QNBU5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4356343 | PA      | $3583742.96   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9903                      | CUSIP: 36180AAC7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   9860265 | PA      | $9040415.16   | 0.06%             | 2054-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0392                      | CUSIP: 31419ANJ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    311976 | PA      | $321121.88    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08793                      | CUSIP: 3128MJ3B4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2840892 | PA      | $2651205.45   | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4617                        | CUSIP: 36202FDW3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2347355 | PA      | $2310394.35   | 0.01%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BH2671                      | CUSIP: 3140GQ6H4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    665909 | PA      | $601892.27    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 257043                      | CUSIP: 31371NP41<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    350953 | PA      | $368249.09    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8268                      | CUSIP: 3140XQFJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2176028 | PA      | $2203088.89   | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4285                      | CUSIP: 3132E0XN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1827389 | PA      | $1822783.94   | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08323                      | CUSIP: 3128MJLD0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    181480 | PA      | $182673.48    | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7936                      | CUSIP: 36179WY93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  16966250 | PA      | $14228182.39  | 0.09%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18514                      | CUSIP: 3128MMSC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    495869 | PA      | $484838.43    | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2894                      | CUSIP: 3140XJGC1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    708742 | PA      | $673930.98    | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5377                      | CUSIP: 3132DS6N7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4921397 | PA      | $5008743.77   | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C00680                      | CUSIP: 31292GXH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2952 | PA      | $3000.40      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS7162                      | CUSIP: 3138WG5Y6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1107944 | PA      | $1010088.69   | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4521                      | CUSIP: 31418EAX8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    756406 | PA      | $660099.29    | 0.00%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QI5350                      | CUSIP: 3133WB5K8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3626975 | PA      | $3664995.01   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD9110                      | CUSIP: 36180NDP7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    382854 | PA      | $343903.68    | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RR0002                      | CUSIP: 3142JCAC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4778165 | PA      | $4781578.04   | 0.03%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6283                      | CUSIP: 36179U6U1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  20327004 | PA      | $17759367.74  | 0.11%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5931                      | CUSIP: 36179USU7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   3756500 | PA      | $3482310.46   | 0.02%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08659                      | CUSIP: 3128MJWV8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    546113 | PA      | $496655.64    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2908                      | CUSIP: 3140X6GS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    628159 | PA      | $619399.09    | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG V83156                      | CUSIP: 3132L8QH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    393366 | PA      | $378225.01    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 784703                      | CUSIP: 3622AADG6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    972700 | PA      | $902595.12    | 0.01%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5605                      | CUSIP: 3140X9GP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7059821 | PA      | $6219413.24   | 0.04%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08827                      | CUSIP: 3128MJ4M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1403564 | PA      | $1345593.64   | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2629                      | CUSIP: 3140QM4P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7241772 | PA      | $5959702.81   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AR8561                      | CUSIP: 3138W6QP4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    158777 | PA      | $156910.66    | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4992                      | CUSIP: 31418ERN2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2948107 | PA      | $2960346.90   | 0.02%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 6/25                    | CUSIP: 01F040669<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        |  -2800000 | PA      | $-2567248.60  | -0.02%            | 2025-06-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737269                      | CUSIP: 3620ARCE9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     68102 | PA      | $66945.03     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AV2326                      | CUSIP: 3138XDSQ4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    269843 | PA      | $266067.76    | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5983                      | CUSIP: 3140XMUH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13128497 | PA      | $10832971.27  | 0.07%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9608                      | CUSIP: 36179YU93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1628604 | PA      | $1681418.65   | 0.01%             | 2054-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4978                        | CUSIP: 36202FQ74<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1708241 | PA      | $1679976.05   | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3389                      | CUSIP: 31418CXT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1289380 | PA      | $1233954.52   | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8432                      | CUSIP: 36179XLM6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    521235 | PA      | $538993.82    | 0.00%             | 2052-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ2857                      | CUSIP: 3142GTE77<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8479784 | PA      | $8239629.71   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS4173                      | CUSIP: 3138WDT76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     67654 | PA      | $63805.87     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6957                      | CUSIP: 3132DUWS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6331071 | PA      | $6362599.20   | 0.04%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BC9083                      | CUSIP: 3140F5CV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3604037 | PA      | $3153609.63   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3907                      | CUSIP: 3138WDKV2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1544084 | PA      | $1455852.16   | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT1799                      | CUSIP: 3132AD7L6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    278873 | PA      | $269854.34    | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 745275                      | CUSIP: 31403C6L0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    808749 | PA      | $813489.43    | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18660                      | CUSIP: 3128MMWW9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    344566 | PA      | $336272.69    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4900                      | CUSIP: 36179TNR2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  10197668 | PA      | $9193707.20   | 0.06%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD0857                      | CUSIP: 3132DM5S0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4154951 | PA      | $3433648.89   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4216                      | CUSIP: 3132E0VH2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5271331 | PA      | $5460063.94   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BW2025                      | CUSIP: 3140MTHB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    582706 | PA      | $525778.14    | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8137                      | CUSIP: 3132D6BE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4613477 | PA      | $4169022.79   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08010                      | CUSIP: 3128MJAL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     78827 | PA      | $80910.61     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06021                      | CUSIP: 3128M8AW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    185595 | PA      | $191322.96    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2 6/25                    | CUSIP: 01F020661<br>LEI: N/A            | Short            | ABS-MBS          | USGSE             | US        | -13500000 | PA      | $-10493612.10 | -0.07%            | 2025-06-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AA7720                      | CUSIP: 31416RSJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    207203 | PA      | $198381.94    | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2125                      | CUSIP: 31418BLF1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    172186 | PA      | $157525.38    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4364                      | CUSIP: 31418DZ62<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10828649 | PA      | $9171565.35   | 0.06%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725423                      | CUSIP: 31402C4G4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    514180 | PA      | $526478.30    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08036                      | CUSIP: 3128MJBE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    257724 | PA      | $264816.49    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9966                      | CUSIP: 36180ACB7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   7527525 | PA      | $7604043.43   | 0.05%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AD1699                      | CUSIP: 36180C3G2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    175535 | PA      | $157948.75    | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5679                      | CUSIP: 3140XMJZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5469837 | PA      | $5428703.05   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA9221                      | CUSIP: 3140QHG74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    664893 | PA      | $521522.51    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4910                      | CUSIP: 3140XLN46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5213791 | PA      | $5212056.53   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08587                      | CUSIP: 3128MJUM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     80738 | PA      | $78538.58     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08761                      | CUSIP: 3128MJZ37<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1126726 | PA      | $1021869.61   | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5787                      | CUSIP: 3140XMND4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2445313 | PA      | $2504760.33   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7879                      | CUSIP: 3140XPXH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  16926834 | PA      | $13808478.19  | 0.09%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4143                      | CUSIP: 3140XKS92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6989975 | PA      | $6950515.65   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD8536                      | CUSIP: 31418WPW4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    171501 | PA      | $172371.37    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5552                      | CUSIP: 31418FE29<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  22682725 | PA      | $21967677.35  | 0.14%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8011                      | CUSIP: 3132DV3U7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2557811 | PA      | $2296732.27   | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5270                      | CUSIP: 3133KL2B2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1553530 | PA      | $1340438.66   | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97620                      | CUSIP: 312946PD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    479067 | PA      | $471559.76    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14198                      | CUSIP: 3128PTUX1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     28029 | PA      | $27902.21     | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08341                      | CUSIP: 3128MJLX6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     82469 | PA      | $83010.32     | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4866                      | CUSIP: 3140XLMQ8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3419466 | PA      | $3357085.27   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6649                      | CUSIP: 31417DL76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     54724 | PA      | $53583.35     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5119                      | CUSIP: 3132DSVL3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4062440 | PA      | $4058549.37   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698392                      | CUSIP: 36296Q2Z1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    182977 | PA      | $176199.67    | 0.00%             | 2039-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782818                      | CUSIP: 36241LDX1<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    175112 | PA      | $172246.29    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0731                      | CUSIP: 3140XFY54<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5548610 | PA      | $4390314.60   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1876                      | CUSIP: 3132DPCM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1673731 | PA      | $1667420.76   | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3147                      | CUSIP: 31418CP99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1379303 | PA      | $1202609.82   | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5037                      | CUSIP: 3133KYS26<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    885915 | PA      | $785295.56    | 0.00%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE0548                      | CUSIP: 31419ATE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     38550 | PA      | $37898.56     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4256                      | CUSIP: 31418DWS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  14274897 | PA      | $11720931.16  | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5423                      | CUSIP: 3140QRAZ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1994496 | PA      | $1911337.46   | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5263                      | CUSIP: 31418EZ52<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    176681 | PA      | $162115.68    | 0.00%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91912                      | CUSIP: 3128P8DR9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2682760 | PA      | $2514011.02   | 0.02%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AK9419                      | CUSIP: 3138EEPD5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     95098 | PA      | $90330.51     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2870                      | CUSIP: 3140X6FL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11668733 | PA      | $10137463.09  | 0.06%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB0176                      | CUSIP: 3140QKFS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3115057 | PA      | $2543130.37   | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5199                        | CUSIP: 36202FX43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     23460 | PA      | $23255.64     | 0.00%             | 2026-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM2259                      | CUSIP: 3140X5QM8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    433429 | PA      | $415662.06    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5421                      | CUSIP: 31418FAX5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  46122272 | PA      | $46605758.38  | 0.29%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06193                      | CUSIP: 3128M8GA6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     15331 | PA      | $15803.76     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 698386                      | CUSIP: 36296Q2T5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     60929 | PA      | $59931.69     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2925                      | CUSIP: 3132DQHA7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2474359 | PA      | $2207106.39   | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS7854                      | CUSIP: 3132A8WP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     92845 | PA      | $90625.42     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07661                      | CUSIP: 3128M9Z21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209077 | PA      | $187359.77    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1513                      | CUSIP: 3140XGVF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1202946 | PA      | $1012519.45   | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL0939                      | CUSIP: 3138EHBH4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    128929 | PA      | $126926.93    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7648                      | CUSIP: 36179WP93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21284520 | PA      | $17121261.83  | 0.11%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J14785                      | CUSIP: 3128PUJ60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     36336 | PA      | $36186.86     | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0616                      | CUSIP: 3140XFVJ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1143968 | PA      | $967948.79    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6202                      | CUSIP: 3138WF3L8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    466907 | PA      | $423772.08    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9381                      | CUSIP: 3132AAM68<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    291514 | PA      | $283208.25    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4979                      | CUSIP: 31418EQ94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  25988931 | PA      | $25825977.87  | 0.16%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB2281                      | CUSIP: 3140QMRB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5148976 | PA      | $4048360.76   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5170                      | CUSIP: 3140XLW87<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5559933 | PA      | $5514647.02   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8487                      | CUSIP: 3140XQND5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5880417 | PA      | $5596647.93   | 0.03%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS4675                      | CUSIP: 3132A5FQ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    918046 | PA      | $773304.00    | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AU6739                      | CUSIP: 3138X6PZ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    223631 | PA      | $206029.83    | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN DA0912                      | CUSIP: 3140A1AN7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1766520 | PA      | $1815304.23   | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G60460                      | CUSIP: 31335AQM3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     91224 | PA      | $88539.97     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3581                      | CUSIP: 3140XJ6T5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3652173 | PA      | $3745810.91   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08583                      | CUSIP: 3128MJUH1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    201850 | PA      | $196351.42    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05149                      | CUSIP: 3128M7BS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      1322 | PA      | $1420.09      | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5687                      | CUSIP: 3140QRJ95<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2935765 | PA      | $2953137.42   | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8093                      | CUSIP: 3132D57E6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4362108 | PA      | $3950048.84   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5436                      | CUSIP: 3140QRBE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3825027 | PA      | $3745685.77   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RC1871                      | CUSIP: 3133L8CG8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     57502 | PA      | $50716.18     | 0.00%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS2509                      | CUSIP: 3140XHYF8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6419558 | PA      | $5941492.55   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4531                      | CUSIP: 3140X8A98<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    666111 | PA      | $573493.99    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO4133                      | CUSIP: 3138LUSX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    329876 | PA      | $306378.82    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5468                      | CUSIP: 36179UCD2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    561987 | PA      | $554576.74    | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA5287                      | CUSIP: 3133KL2U0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2748790 | PA      | $2156070.61   | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4356                      | CUSIP: 31418DZW5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  15632583 | PA      | $12811283.19  | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN AA5897                      | CUSIP: 36178DRS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    493467 | PA      | $442883.42    | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5202                        | CUSIP: 36202FX76<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    839403 | PA      | $777571.30    | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4197                      | CUSIP: 3140J8UX9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    296822 | PA      | $260653.63    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5378                      | CUSIP: 3140XL6Q6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6540530 | PA      | $5144508.47   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3599                      | CUSIP: 36179R7L7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    239487 | PA      | $232351.43    | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG J16933                      | CUSIP: 3128PWV21<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    149057 | PA      | $147409.16    | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737271                      | CUSIP: 3620ARCG4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     34889 | PA      | $34299.19     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS1580                      | CUSIP: 3140XGXJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2980867 | PA      | $2868924.58   | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4540                        | CUSIP: 36202FBH8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     75210 | PA      | $74040.06     | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8253                      | CUSIP: 3133KQE28<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3880474 | PA      | $3881608.78   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5676                      | CUSIP: 31418FJW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3415947 | PA      | $3565761.31   | 0.02%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08002                      | CUSIP: 3128MJAC4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    299905 | PA      | $307881.30    | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3812                      | CUSIP: 3140X7GW3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1096614 | PA      | $1013623.35   | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA5423                      | CUSIP: 3140QDAZ7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1139832 | PA      | $981348.85    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4282                      | CUSIP: 3132E0XK3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2694983 | PA      | $2689033.27   | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS5749                      | CUSIP: 3140XML79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  24992676 | PA      | $25674678.95  | 0.16%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QH4901                      | CUSIP: 3133CHNS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    293889 | PA      | $284922.96    | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA5528                      | CUSIP: 36179UD90<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2143332 | PA      | $1992247.25   | 0.01%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM4439                      | CUSIP: 3140X74Z9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9083177 | PA      | $7947975.21   | 0.05%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5611                      | CUSIP: 31418FGV3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  18546042 | PA      | $17008432.52  | 0.11%             | 2055-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL6031                      | CUSIP: 3138ENVZ9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1312735 | PA      | $1245516.47   | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD7501                      | CUSIP: 3132DVKN4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4743203 | PA      | $4431107.87   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1224                      | CUSIP: 36179NLD8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1472485 | PA      | $1356240.87   | 0.01%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G67705                      | CUSIP: 3132XCR23<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8465307 | PA      | $7950339.32   | 0.05%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM3664                      | CUSIP: 3140X7CA5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  13704274 | PA      | $12759730.04  | 0.08%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BR5609                      | CUSIP: 3140L4GT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    833594 | PA      | $655931.12    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS3392                      | CUSIP: 3138WCXW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    213805 | PA      | $201645.23    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9828                      | CUSIP: 3132AA4M3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2121506 | PA      | $1867633.70   | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8172                      | CUSIP: 3140QUCJ3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4001983 | PA      | $4159963.46   | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB0355                      | CUSIP: 3132CWMC5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    450290 | PA      | $434461.91    | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB3120                      | CUSIP: 3140QNPE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6116899 | PA      | $5210965.08   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18605                      | CUSIP: 3128MMU76<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    680327 | PA      | $660235.93    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM3743                      | CUSIP: 3140J8ER0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    654864 | PA      | $616072.15    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL9405                      | CUSIP: 3138ERNX4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    800098 | PA      | $742550.63    | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 357705                      | CUSIP: 31376KKS4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    108241 | PA      | $111091.59    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9604                      | CUSIP: 36179YU51<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     17944 | PA      | $17432.40     | 0.00%             | 2054-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08752                      | CUSIP: 3128MJZS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1473935 | PA      | $1377823.37   | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7227                      | CUSIP: 3140XBA59<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    965318 | PA      | $900595.25    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8502                      | CUSIP: 3132D6NT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2644521 | PA      | $2411239.11   | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7505                      | CUSIP: 3138EQKT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    456575 | PA      | $429528.97    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL7620                      | CUSIP: 3138EQPE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    595738 | PA      | $523145.37    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS3416                      | CUSIP: 3132A3YM6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1860387 | PA      | $1729637.76   | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1290                      | CUSIP: 3132DNNF6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2699555 | PA      | $2563901.11   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A91395                      | CUSIP: 312939RQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     14186 | PA      | $14277.74     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA7137                      | CUSIP: 36179V4W7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2755309 | PA      | $2407698.33   | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD5189                      | CUSIP: 3132DSXS6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4536654 | PA      | $4526638.47   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7542                      | CUSIP: 3140XBLY4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4535150 | PA      | $4009901.82   | 0.03%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 724273                      | CUSIP: 3620AAT65<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     81401 | PA      | $81781.59     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5137                      | CUSIP: 3133KYV63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3378486 | PA      | $2760257.47   | 0.02%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA1237                      | CUSIP: 31418ALT3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    263198 | PA      | $252889.69    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4045                      | CUSIP: 31418DP71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  21561123 | PA      | $18444896.31  | 0.12%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZM8782                      | CUSIP: 3131Y3XK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    209824 | PA      | $201354.42    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS0873                      | CUSIP: 3132A06J0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     25985 | PA      | $26135.07     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM2007                      | CUSIP: 3140J6GR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    796077 | PA      | $741208.98    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA9305                      | CUSIP: 36179YKS2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   8507885 | PA      | $8481476.15   | 0.05%             | 2053-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AZ1502                      | CUSIP: 3138YSU46<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2270 | PA      | $2205.97      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BM4413                      | CUSIP: 3140J83X9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2100427 | PA      | $2012359.56   | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4566                      | CUSIP: 31418ECC2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1766666 | PA      | $1551565.89   | 0.01%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737424                      | CUSIP: 3620ARG96<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    122746 | PA      | $117824.42    | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8106                      | CUSIP: 3132D6AF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9013416 | PA      | $7938524.88   | 0.05%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5166                      | CUSIP: 3140X8W45<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4501263 | PA      | $3876809.12   | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 785016                      | CUSIP: 3622AAN91<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    817355 | PA      | $785814.42    | 0.00%             | 2034-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5300                        | CUSIP: 36202F3H7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     67712 | PA      | $66823.16     | 0.00%             | 2027-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB4129                      | CUSIP: 3140QPST5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2337916 | PA      | $2214319.66   | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA3849                      | CUSIP: 36179SH26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    148038 | PA      | $142097.70    | 0.00%             | 2031-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AT1896                      | CUSIP: 3138WPDA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      9052 | PA      | $9241.39      | 0.00%             | 2041-12-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 725773                      | CUSIP: 31402DJS0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     16760 | PA      | $17180.48     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 783406                      | CUSIP: 36241LYB6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     45419 | PA      | $45633.03     | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 782979                      | CUSIP: 36241LJY3<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     70356 | PA      | $70681.41     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AE3049                      | CUSIP: 31419DL74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     40551 | PA      | $39879.65     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 745230                      | CUSIP: 3620C04P0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    139421 | PA      | $133831.77    | 0.00%             | 2040-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 955770                      | CUSIP: 31413UJP5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42740 | PA      | $44816.21     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS8142                      | CUSIP: 3140XQBL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11393778 | PA      | $11293853.88  | 0.07%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA1368                      | CUSIP: 3140Q8QW8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    996424 | PA      | $933040.29    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3181                      | CUSIP: 31418CRB2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    512270 | PA      | $484474.70    | 0.00%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RJ3293                      | CUSIP: 3142GTUT1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8575152 | PA      | $8537463.53   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4778                      | CUSIP: 36179TJX4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2904245 | PA      | $2622859.86   | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8424                      | CUSIP: 3140XCLE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1388996 | PA      | $1396059.01   | 0.01%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4236                      | CUSIP: 3140XKV64<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9544907 | PA      | $8262515.23   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0062                      | CUSIP: 3140Q7B89<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    144054 | PA      | $134395.69    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS4151                      | CUSIP: 3140XKTH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6394446 | PA      | $5061577.04   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 82980                       | CUSIP: 36225FJ26<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      4646 | PA      | $4700.30      | 0.00%             | 2041-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8851                      | CUSIP: 3140XCZR2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    302490 | PA      | $267078.68    | 0.00%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5890                      | CUSIP: 3140X9RL1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3091666 | PA      | $2804114.34   | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5841                      | CUSIP: 3140QRP31<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1722059 | PA      | $1697639.79   | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS3040                      | CUSIP: 3140XJLW1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10725666 | PA      | $9231006.79   | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH5574                      | CUSIP: 3138A7FQ6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    558227 | PA      | $532459.60    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6528                      | CUSIP: 3138WGHE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    418078 | PA      | $391092.22    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ7689                      | CUSIP: 3138E0RK7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1229395 | PA      | $1169505.60   | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AJ1416                      | CUSIP: 3138ASSE3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    631086 | PA      | $619416.56    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6328                      | CUSIP: 3138WGA61<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4603698 | PA      | $4178391.23   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA8779                      | CUSIP: 3140QGXH5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4343773 | PA      | $3403056.43   | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G06566                      | CUSIP: 3128M8TX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     77741 | PA      | $81467.32     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8141                      | CUSIP: 3132DWBJ1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5845528 | PA      | $4799686.72   | 0.03%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS7040                      | CUSIP: 3140XNZE7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3471761 | PA      | $3611794.35   | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0777                      | CUSIP: 3140XF2K6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  10741428 | PA      | $9398980.18   | 0.06%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AO7076                      | CUSIP: 3138LX2J7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     81553 | PA      | $75946.17     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM1578                      | CUSIP: 3140X4XG6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1329901 | PA      | $1286893.20   | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5639                      | CUSIP: 3140QRHR7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5490361 | PA      | $5337013.81   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A97217                      | CUSIP: 312946AS5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    516340 | PA      | $508219.61    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0093                      | CUSIP: 3140XFC74<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2871951 | PA      | $2771279.30   | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18475                      | CUSIP: 3128MMQ55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    333982 | PA      | $325743.31    | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08767                      | CUSIP: 3128MJZ94<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1387880 | PA      | $1297379.23   | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS9385                      | CUSIP: 3140XRNB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5363075 | PA      | $5268127.36   | 0.03%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BK5282                      | CUSIP: 3140HJ2Q3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     89060 | PA      | $82921.61     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA1448                      | CUSIP: 36179NTD0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    345537 | PA      | $317330.63    | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8341                      | CUSIP: 3140XCHT8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3017731 | PA      | $2789935.01   | 0.02%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8000                      | CUSIP: 3132D53H3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    512252 | PA      | $489262.70    | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8477                      | CUSIP: 3140XCM39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3672940 | PA      | $3163398.42   | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS5816                      | CUSIP: 3138WFPA8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    206430 | PA      | $187487.92    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB8494                      | CUSIP: 3140QUNL6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8589737 | PA      | $8693873.37   | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0392                      | CUSIP: 36179MNH9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2215090 | PA      | $2046349.46   | 0.01%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723234                      | CUSIP: 3620A9PT2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    177015 | PA      | $174035.57    | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5332                        | CUSIP: 36202F4R4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    565513 | PA      | $540481.81    | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4718                      | CUSIP: 36179TG33<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   4378028 | PA      | $3857162.21   | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2382                      | CUSIP: 3132DPUF3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4397954 | PA      | $3954547.09   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18691                      | CUSIP: 3128MMXV0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    358827 | PA      | $345995.52    | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7211                      | CUSIP: 3133KPAL2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2452350 | PA      | $2258993.69   | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G18601                      | CUSIP: 3128MMU35<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    472816 | PA      | $459154.84    | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8200                      | CUSIP: 3132DWDD2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    893764 | PA      | $730785.65    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8386                      | CUSIP: 3132DWJ79<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3938496 | PA      | $4108765.83   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB1149                      | CUSIP: 31416WH39<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    182804 | PA      | $183730.60    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8057                      | CUSIP: 3132D55S7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1136226 | PA      | $1035995.33   | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8288                      | CUSIP: 3140XCF60<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1624015 | PA      | $1467892.80   | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7842                      | CUSIP: 3140XBWC0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    173023 | PA      | $166412.51    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4901                      | CUSIP: 36179TNS0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1604222 | PA      | $1494146.92   | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZT0789                      | CUSIP: 3132AC2W9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    925738 | PA      | $861354.92    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0410                      | CUSIP: 3132D9N34<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5731658 | PA      | $5055667.24   | 0.03%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MB0364                      | CUSIP: 3618N5MN6<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1939901 | PA      | $1831785.86   | 0.01%             | 2055-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM8030                      | CUSIP: 3140XB4Q0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2255630 | PA      | $2048655.98   | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3439                      | CUSIP: 31418CZD9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    352712 | PA      | $346226.09    | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4496                      | CUSIP: 31418D7J5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9105230 | PA      | $7996626.24   | 0.05%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q26692                      | CUSIP: 3132M7C55<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    131409 | PA      | $124442.95    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G05889                      | CUSIP: 3128M72W5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8730 | PA      | $8786.78      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AD1593                      | CUSIP: 31418NXX3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    289654 | PA      | $284979.43    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA4587                      | CUSIP: 36179TCY9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   2051685 | PA      | $1912190.04   | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 748486                      | CUSIP: 3620C4RF9<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    359397 | PA      | $353103.66    | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH7009                      | CUSIP: 3138A8YF7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     42549 | PA      | $41827.57     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AS6746                      | CUSIP: 3138WGP81<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    354448 | PA      | $344041.43    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA0859                      | CUSIP: 3140Q75V5<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    486580 | PA      | $439195.25    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA7549                      | CUSIP: 3133KPL63<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5514049 | PA      | $5065507.74   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS6150                      | CUSIP: 3140XMZQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3443567 | PA      | $3435965.35   | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB9468                      | CUSIP: 3140QVQW7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   6544958 | PA      | $6363690.33   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AH0969                      | CUSIP: 3138A2CF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     55153 | PA      | $54857.11     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 888268                      | CUSIP: 31410FZ99<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    229643 | PA      | $240250.76    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8463                      | CUSIP: 3132DWML4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  36236650 | PA      | $36605184.21  | 0.23%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA2145                      | CUSIP: 31418BL38<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1258929 | PA      | $1186279.91   | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA2753                      | CUSIP: 36179RBW8<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   1602983 | PA      | $1434124.50   | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6925                      | CUSIP: 3140QEVT6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1057398 | PA      | $832696.62    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5498                      | CUSIP: 31418FDC8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5491462 | PA      | $5547311.48   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FS0197                      | CUSIP: 3140XFGF2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8677057 | PA      | $6418013.91   | 0.04%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4881                        | CUSIP: 36202FM60<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    224281 | PA      | $208495.56    | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA0155                      | CUSIP: 36179ME48<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    485179 | PA      | $463432.97    | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q00876                      | CUSIP: 3132GD6M9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    457473 | PA      | $450070.89    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM6285                      | CUSIP: 3140X96X8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    782231 | PA      | $658902.06    | 0.00%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM7743                      | CUSIP: 3140XBS92<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    354530 | PA      | $345834.00    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1725                      | CUSIP: 3132DN4J9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1495693 | PA      | $1372156.19   | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA8799                      | CUSIP: 36179XX43<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |  21940999 | PA      | $20800455.45  | 0.13%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QD4857                      | CUSIP: 3133B2ME6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    244635 | PA      | $193642.73    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5847                      | CUSIP: 3140X9P90<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    569055 | PA      | $447595.19    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8364                      | CUSIP: 3132DWJH7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   4810556 | PA      | $4945585.02   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 7/25                    | CUSIP: 01F030678<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  65825000 | PA      | $56033498.34  | 0.35%             | 2025-07-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SB8108                      | CUSIP: 3132D6AH3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    400783 | PA      | $371036.47    | 0.00%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 4771                        | CUSIP: 36202FJQ0<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    896753 | PA      | $882207.07    | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C91908                      | CUSIP: 3128P8DM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    603548 | PA      | $565584.45    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA3209                      | CUSIP: 31418CR71<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    231185 | PA      | $201569.59    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RB5100                      | CUSIP: 3133KYUZ0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5479762 | PA      | $4652753.36   | 0.03%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8189                      | CUSIP: 3132DWC27<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  23300686 | PA      | $19073636.48  | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA5137                      | CUSIP: 31418EV72<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2106630 | PA      | $2043677.35   | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG C90918                      | CUSIP: 3128P7AT0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $343.74       | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 737941                      | CUSIP: 3620ARZE4<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     14762 | PA      | $14664.47     | 0.00%             | 2026-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA3575                      | CUSIP: 3133KJ6L1<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2440610 | PA      | $1920444.79   | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 723344                      | CUSIP: 3620A9S93<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |    244672 | PA      | $235327.26    | 0.00%             | 2039-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5453                      | CUSIP: 3140X9BX2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    232022 | PA      | $197304.76    | 0.00%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB7040                      | CUSIP: 31417DZE6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |     66082 | PA      | $64666.31     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q04651                      | CUSIP: 3132GKZQ2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   5231792 | PA      | $4998052.50   | 0.03%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG A96312                      | CUSIP: 312945AM0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    397945 | PA      | $379713.47    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 MA6217                      | CUSIP: 36179U4A7<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |   5116187 | PA      | $4308907.05   | 0.03%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G07025                      | CUSIP: 3128M9D66<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174567 | PA      | $175679.71    | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AB6012                      | CUSIP: 31417CVE2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    211256 | PA      | $189592.00    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                         | FH 1B7911                      | CUSIP: 3128UGFB8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      2501 | PA      | $2585.51      | 0.00%             | 2040-12-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8233                      | CUSIP: 3132DWEE9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   8342916 | PA      | $8120325.11   | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                 | GN 605098                      | CUSIP: 36200NGF2<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |      9666 | PA      | $9711.17      | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD4267                      | CUSIP: 3132E0W40<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7062691 | PA      | $7260875.62   | 0.05%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2 5281                        | CUSIP: 36202F2N5<br>LEI: N/A            | Long             | ABS-MBS          | USGA              | US        |     74733 | PA      | $73470.17     | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG G08672                      | CUSIP: 3128MJXA3<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    676580 | PA      | $634153.03    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6701                      | CUSIP: 3132DUNS2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7619672 | PA      | $7814437.06   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD6599                      | CUSIP: 3132DUKL0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   7235194 | PA      | $7228265.09   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8402                      | CUSIP: 3133KQKP0<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3484033 | PA      | $3403054.54   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD1706                      | CUSIP: 3132DN3P6<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   1865933 | PA      | $1813817.40   | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN FM5290                      | CUSIP: 3140X82Y2<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3121985 | PA      | $2724974.87   | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR QG6306                      | CUSIP: 3133C7AF4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  20012725 | PA      | $19427186.74  | 0.12%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AL8772                      | CUSIP: 3138ETXA9<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |    174573 | PA      | $156482.70    | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CA6630                      | CUSIP: 3140QELL4<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   2377251 | PA      | $1879503.98   | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8277                      | CUSIP: 3132DWFS7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   3283619 | PA      | $3269186.88   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD2250                      | CUSIP: 3132DPQB7<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |   9363967 | PA      | $8897462.22   | 0.06%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                             | FG Q02113                      | CUSIP: 3132GFK22<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |      8581 | PA      | $8197.38      | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB1293                      | CUSIP: 3140QLNK8<br>LEI: N/A            | Long             | ABS-MBS          | USGSE             | US        |  11778656 | PA      | $9301408.32   | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-29

**Name of Applicant:** VANGUARD SCOTTSDALE FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer